The Earnings Announcement Premium and Trading Volume

53 Pages Posted: 27 Jun 2007 Last revised: 27 Oct 2007

See all articles by Andrea Frazzini

Andrea Frazzini

AQR Capital Management, LLC

Owen A. Lamont

Harvard University - Department of Economics

Date Written: May 2007

Abstract

On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.

Suggested Citation

Frazzini, Andrea and Lamont, Owen A., The Earnings Announcement Premium and Trading Volume (May 2007). NBER Working Paper No. w13090. Available at SSRN: https://ssrn.com/abstract=986940

Andrea Frazzini

AQR Capital Management, LLC ( email )

Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
United States
203-742-3894 (Phone)
203-742-3394 (Fax)

HOME PAGE: http://www.econ.yale.edu/~af227/

Owen A. Lamont (Contact Author)

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States

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