NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Earnings Announcement Premium and Trading Volume

Owen Lamont, Andrea Frazzini

NBER Working Paper No. 13090
Issued in May 2007

---- Acknowledgements -----

We thank Malcolm Baker, Gur Huberman, Jeffrey Wurgler, Wei Xiong, seminar participants at Barclays Global Investors, the Chicago Quantitative Alliance, University of Chicago, NBER, NYU, University of Illinois, The Stockholm Institute for Financial Research, Yale, and especially Nicholas Barberis and Jeremy Stein for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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