Journal article
Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift
Journal of accounting research, Vol.44(1), pp.85-112
Received 6 December 2004; accepted 18 July 2005
03/2006
DOI: 10.1111/j.1475-679X.2006.00193.x
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. Copyright ©, University of Chicago on behalf of the Institute of Professional Accounting, 2006.
Details
- Title: Subtitle
- Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift
- Creators
- JON A. Garfinkel - University of IowaJONATHAN Sokobin - United States Securities and Exchange Commission
- Resource Type
- Journal article
- Publication Details
- Journal of accounting research, Vol.44(1), pp.85-112
- Edition
- Received 6 December 2004; accepted 18 July 2005
- Publisher
- Blackwell Publishing Inc
- DOI
- 10.1111/j.1475-679X.2006.00193.x
- ISSN
- 0021-8456
- eISSN
- 1475-679X
- Language
- English
- Date published
- 03/2006
- Academic Unit
- Finance
- Record Identifier
- 9984380531602771
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