This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of...

The first author is at Concordia University, Montreal, Quebec and The Hong Kong Polytechnic University. The second author is at McMaster University, Hamilton, Ontario and The Hong Kong Polytechnic University. The third author is at Concordia University. They have received very helpful comments...

This study investigates the behavior of the components of the bid-ask spread around earnings announcements. The authors find that the adverse selection cost component significantly increases surrounding the announcements, while the inventory holding and order processing components significantly...

We investigate the impact of ownership structure on trading volume reaction to earnings announcements using a sample of Japanese companies. Our primary tests focus on differential trading activities carried out by three types of shareholders in response to earnings announcements: corporate...