Differential Interpretations and Trading Volume

Bamber, Linda Smith; Barron, Orie E.; Stöber, Thomas

doi:10.2307/2676264

Cited by 192 publications

(65 citation statements)

References 11 publications

(36 reference statements)

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“…Furthermore, Bailey, Li, Mao, and Zhong (2003) and Francis, Nanda, and Wang (2006) reported an increase in share turnover following increased non-discrimination disclosure requirements of U.S. regulation F-D. A different stream of literature discusses a negative relation between corporate disclosure and share turnover under certain conditions. Share turnover increases with increasing uncertainty of investors and a greater variance in individual expectations (Barron 1995, Bamber, Barron, and Stober 1997, Bamber, Barron, and Stober 1999, Linsmeier, Thornton, Venkatachalam, and Welker 2002. The higher the variance of individual expectations the higher the information advantage of informed investors that must be transformed into real economic benefits by market transactions-causing share turnover.…”

Section: Trading Activitymentioning

confidence: 99%

Capital Market Implications of Corporate Disclosure: German Evidence

Grüning

2011

Bus Res

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This paper investigates the relationship between annual report disclosure, market liquidity, and capital cost for firms registered on the Deutsche Börse. Disclosure is comprehensively measured using the innovative Artificial Intelligence Measurement of Disclosure (AIMD). Results show that annual report disclosure enhances market liquidity by changing investors’ expectations and inducing portfolio adjustments. Trading frictions are negatively associated with disclosure. The study provides evidence for a capital-cost-reduction effect of disclosure based on the analysis of investors’ return requirements and market values. Altogether, no evidence is found that the information processing at the German capital market is structurally different from other markets.

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Section: Trading Activitymentioning

confidence: 99%

Capital Market Implications of Corporate Disclosure: German Evidence

Grüning

2011

Bus Res

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“…Kim and Verrecchia (1991a, 1991b, 1994, Kandel and Pearson (1995), Bamber, Barron, and Stober (1997), (1999), among others. Subsequent research (Atiase & Bamber, 1994;Bamber, 1987;Bamber et al, 1999) provides evidence of two phenomena: (1) high trading volume is associated with investor disagreement, and (2) small firm trading volume is also correlated with divergent beliefs among investors. Combining these two leads to the opposite hypothesis discussed above, namely, that trading volume among firms can be associated with less precise signals about the true value of the underlying asset.…”

Section: Additional Stratification Resultsmentioning

confidence: 99%

Options listings and individual equity volatility

Jubinski

Tomljanovich

2006

Journal of Futures Markets

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This article examines the effect of options introduction on the conditional volatility of 1,576 individual firms over the 1973-1996 time period. With the use of a GJR-GARCH specification for daily volatility, it is found, for the majority of firms, that option listing does not impact the underlying equity security. Listing effects are identified for a small subset of firms, specifically smaller firms with high trading volume and/or volatility. For these firms there is evidence of a change in the conditional volatility process after option listing, and it is concluded that options continue to provide additional information about the underlying equity for these companies.

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“…If beliefs are confirmed (unconfirmed) prior to announcement by the arrival of public information, then investors' aggressive trading behaviour should continue (discontinue) (Daniel et al, 1998). Both informed and uninformed traders trade heavily when dispersion of belief is high prior to scheduled announcements (Bamber et al, 1999). Similarly, Chae (2005) investigates trading volume before scheduled and unscheduled corporate announcements and finds cumulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement.…”

Section: Background Literaturementioning

confidence: 99%

Individual and institutional trading volume around firm-specific announcements

Mudalige

Kalev

Duong

2016

International Journal of Managerial Finance

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Purpose – The purpose of this paper is to investigate the immediate impact of firm-specific announcements on the trading volume of individual and institutional investors on the Australian Securities Exchange (ASX), during a period when the market becomes fragmented. Design/methodology/approach – This study uses intraday trading volume data in five-minute intervals prior to and after firm-specific announcements to measure individual and institutional abnormal volume. There are 70 such intervals per trading day and 254 trading days in the sample period. The first 10 minutes of trading (from 10.00 to 10.10 a.m.) is excluded to avoid the effect of opening auction and to ensure consistency in the “starting time” for all stocks. The volume transacted during five-minute intervals is aggregated and attributed to individual or institutional investors using Broker IDs. Findings – Institutional investors exhibit abnormal trading volume before and after announcements. However, individual investors indicate abnormal trading volume only after announcements. Consistent with outcomes expected from a dividend washing strategy, abnormal trading volume around dividend announcements is statistically insignificant. Both individual and institutional investors’ buy volumes are higher than sell volumes before and after scheduled and unscheduled announcements. Research limitations/implications – The study is Australian focused, but the results are applicable to other limit order book markets of similar design. Practical implications – The results add to the understanding of individual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure. Social implications – The results add to the understanding of individual and institutional investors’ trading behaviour around firm-specific announcements in a securities market with continuous disclosure. Originality/value – These results will help regulators to design markets that are less predatory on individual investors.

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Differential Interpretations and Trading Volume

Cited by 192 publications

References 11 publications

Capital Market Implications of Corporate Disclosure: German Evidence

Capital Market Implications of Corporate Disclosure: German Evidence

Options listings and individual equity volatility

Individual and institutional trading volume around firm-specific announcements

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