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Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements.
Abstract
Abstract This paper investigates the association between aspects of investors' disagreement around earnings announcements and investors' trading decisions. Theory suggests that trading volume arises because of investor disagreement, but disagreement is a multi-faceted construct. We find that three distinctly different aspects of disagreement each play an incremental role in explaining trading volume around earnings announcements, even after controlling for the magnitude of the contemporaneous price change. These aspects of disagreement are: dispersion in prior beliefs, change in dispersion, and belief jumbling. Dispersion in prior beliefs is the level of variation in expectations before the earnings announcement, change in dispersion is the difference in the level of dispersion in beliefs after vs. before the earnings announcement, and belief jumbling occurs when investors' beliefs change positions relative to each other around the earnings announcement. Our results indicate that each of these three aspects of disagreement is associated with investors' real economic (i.e., trading) decisions around earnings announcements.
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Citations
Cited by
Barber, B. M., & Odean, T. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm079 · Cited by 4,556
Experimental research in financial accounting
Libby, R., Bloomfield, R., & Nelson, M. W. (2002) · Accounting, Organizations and Society · doi:10.1016/s0361-3682(01)00011-3 · Cited by 1,201
The Effects of Reporting Complexity on Small and Large Investor Trading
Miller, B. P. (2010) · The Accounting Review · doi:10.2308/accr.00000001 · Cited by 801
Which Institutional Investors Trade Based on Private Information About Earnings and Returns?
BUSHEE, B. J., & GOODMAN, T. H. (2007) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2007.00234.x · Cited by 396
Measuring Investors' Opinion Divergence
GARFINKEL, J. A. (2009) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2009.00344.x · Cited by 257
Metadata
- Authors
- Bamber, L. S., Barron, O. E., & Stöber, T.
- Venue
- The Accounting Review
- Publisher
- American Accounting Association
- Published
- 1997-10-01
- Volume
- 72
- Issue
- 4
- Pages
- 575-597
- ISSN
- 0001-4826 (ISSN-L)
- OpenAlex
- W2280949288
- Cited by
- 199
- References
- 0
- FWCI
- 5.65
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements. https://app.cochat.ai/papers/10.2308/tar-9712114166
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- Bamber, L. S., Barron, O. E., & Stöber, T. (1997). Trading Volume and Different Aspects of Disagreement Coincident with Earnings Announcements. The Accounting Review. https://doi.org/10.2308/tar-9712114166
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
