Trading volume, information asymmetry, and timing information

Deskripsi

This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cummulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry..Printed Journal