Trading volume and information asymmetry: Routine versus non-routine earnings announcements in Australia

Focussing on earnings-related rather than different classes of corporate announcements as in Chae (20056. Chae , J . 2005 . Trading volume, information asymmetry, and timing information . Journal of Finance , 60 : 413 – 42 . [CrossRef], [Web of Science ®] View all references), we examine trading volume behaviour and the role played by informed and uninformed investors around routine and nonroutine announcements. Prior to preliminary final earnings announcements, there is a consistent decline in trading volume consistent with higher adverse selection costs. For interim announcements, there is an increase in pre-announcement trading volume while no significant volumes are observed for Annual General Meetings (AGMs) and nonroutine Management Earnings Forecast (MEF) announcements. As for post-announcement, trading volume is negatively related to firm size and number of analysts, suggesting a positive link between volume and information asymmetry. However, the news content of any MEF contained in nonroutine, AGM or interim announcements does not appear to have an impact upon pre- and post-announcement abnormal trading volume.