{"title":"对公司特定新闻公告的成交量反应","authors":"H. N. Duong, P. Kalev, P. Mudalige","doi":"10.2139/ssrn.2137004","DOIUrl":null,"url":null,"abstract":"This study investigates individual and institutional investors’ behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days without announcements. Both investor types show significant abnormal volume around progress reports, periodic reports, dividend and takeover announcements. Individual and institutional investors exhibit positive abnormal volume around scheduled and unscheduled firm specific announcements. Buy and sell abnormal volume around scheduled announcements are positive for the investor classes whereas institutional buy and individual sell abnormal volume are positive around unscheduled announcements, both at 1% significant level.","PeriodicalId":246130,"journal":{"name":"FIRN (Financial Research Network) Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Volume Reaction to Firm Specific News Announcements\",\"authors\":\"H. N. Duong, P. Kalev, P. Mudalige\",\"doi\":\"10.2139/ssrn.2137004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study investigates individual and institutional investors’ behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days without announcements. Both investor types show significant abnormal volume around progress reports, periodic reports, dividend and takeover announcements. Individual and institutional investors exhibit positive abnormal volume around scheduled and unscheduled firm specific announcements. Buy and sell abnormal volume around scheduled announcements are positive for the investor classes whereas institutional buy and individual sell abnormal volume are positive around unscheduled announcements, both at 1% significant level.\",\"PeriodicalId\":246130,\"journal\":{\"name\":\"FIRN (Financial Research Network) Research Paper Series\",\"volume\":\"5 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-08-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"FIRN (Financial Research Network) Research Paper Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2137004\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"FIRN (Financial Research Network) Research Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2137004","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Volume Reaction to Firm Specific News Announcements
This study investigates individual and institutional investors’ behaviour around firm specific news announcements. We find that individual investors and institutional investors have positive and significant abnormal volume on announcement days and significantly less abnormal volume on days without announcements. Both investor types show significant abnormal volume around progress reports, periodic reports, dividend and takeover announcements. Individual and institutional investors exhibit positive abnormal volume around scheduled and unscheduled firm specific announcements. Buy and sell abnormal volume around scheduled announcements are positive for the investor classes whereas institutional buy and individual sell abnormal volume are positive around unscheduled announcements, both at 1% significant level.
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