Work

Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift

Year: 2006

Type: article

Abstract: This paper examines the relationship between post-earnings announcement returns and different measures of volume at the earnings date. We find that post-event returns are strictly increasing in the component of volume that is unexplained by prior trading activity. We interpret unexplained volume as an indicator of opinion divergence among investors and conclude that post-event returns are increasing in ex-ante opinion divergence. Our evidence is consistent with Varian (1985) who suggests that opinion divergence may be treated as an additional risk factor affecting asset prices.

Source: Journal of Accounting Research

DOI: 10.1111/j.1475-679x.2006.00193.x

Authors: JON A. GARFINKEL, JONATHAN SOKOBIN

Institutions: University of Iowa, United States Securities and Exchange Commission

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3121250331

FWCI: 18.15

Cites: 59

Cited by: 307

Related to: 10