Under information asymmetry-the behavior of stock market price and volume prior to the earnings announcement
Date Issued
2006
Date
2006
Author(s)
Lin, Chih-Yuan
DOI
zh-TW
Abstract
Given information asymmetry, we discuss the behavior of stock market price and volume prior to the earnings announcement of Taiwan Stock Market listed firms. The tests provide that two weeks prior to the earnings announcement, the daily trade volume is smaller compared to the 40-day average trade volume. The volume is rising one week prior to or after the earnings announcement. As to the relationship between price and volume, the evidence shows that the higher trade volume will have stronger positive influence on the next day stock price. We regard the foreign institutional investors as the proxy of informed traders. From the empirical evidence, we can’t conclude that the behavior of foreign institutional investors will affect the price around the earnings announcement.
Subjects
交易量
價量關係
外資
盈餘宣告
information asymmetry
trade volume
the relationship between price and volume
QFII
earnings announcement
Type
thesis
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