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Owen Lamont, Andrea Frazzini
NBER Working Paper No. 13090
Issued in May 2007
NBER Program(s): AP
An NBER digest for this paper is available.
---- Abstract -----
On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
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