Earnings Announcements, Private Information, and Liquidity
16 Pages Posted: 8 Mar 2006
In this article, the author examines how the price impact of a trade varies throughout the days surrounding public earnings announcements. The results indicate that public news releases correlate with a reduction in the price impact of a trade on the day of the announcement.
Keywords: earnings announcements, liquidity, price impact, Information and Market Efficiency, Event Studies
Suggested Citation: Suggested Citation