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The Disposition Effect as a Determinant of the Abnormal Volume and Return Reactions to Earnings Announcements


Abstract I examine the degree to which stockholders' aggregate gain/loss frame of reference in the equity of a given firm affects their response to the firm's quarterly earnings announcements. Contrary to predictions from rational expectations models of trade (Shackelford and Verrecchia 2002), I find that abnormal trading volume around earnings announcements is larger (smaller) when stockholders are in an aggregate unrealized capital gain (loss) position. This relation is stronger among seller-initiated trades and weaker in December, consistent with the cognitive bias referred to as the disposition effect (Shefrin and Statman 1985). Sensitivity analysis reveals that the relation is stronger among less sophisticated investors and for firms wi... (more)
Created Date 2012
Contributor Weisbrod, Eric (Author) / Hillegeist, Stephen (Advisor) / Kaplan, Steven (Committee member) / Mikhail, Michael (Committee member) / Arizona State University (Publisher)
Subject Accounting / Finance / Behavioral sciences / Abnormal Returns / Abnormal Volume / Behavioral Finance / Capital Gains / Disposition Effect / Earnings Announcement
Type Doctoral Dissertation
Extent 76 pages
Language English
Copyright
Reuse Permissions All Rights Reserved
Note Ph.D. Accountancy 2012
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS


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Description Dissertation/Thesis