Information leakage and informed trading around unscheduled earnings announcements

Heggen, Campbell and Gannon, Gerard 2008, Information leakage and informed trading around unscheduled earnings announcements, Corporate ownership & control, vol. 6, no. 2, Winter, pp. 143-163.

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Title Information leakage and informed trading around unscheduled earnings announcements
Author(s) Heggen, Campbell
Gannon, Gerard
Journal name Corporate ownership & control
Volume number 6
Issue number 2
Season Winter
Start page 143
End page 163
Total pages 21
Publisher Virtus Interpress
Place of publication Sumy, Ukraine
Publication date 2008
ISSN 1727-9232
1810-3057
Keyword(s) information leakage
unscheduled announcements
downgrades
Summary While there has been much judicial discussion regarding the competency of Australia's continuous disclosure regime with reference to contemporaneous international standards, there has to date been limited empirical analysis of the Australian system's effectiveness in preventing selective disclosure and information leakage. This paper presents an empirical study of information content and trading behaviour around unscheduled earnings announcements - comprising of profit upgrades, profit warnings and neutral trading statements - made by ASX-listed companies during 2004. The contention is that informed trading impacts on the stock returns and trading volumes of listed entities, and hence abnormal returns or trading volumes observed prior to an announcement provide evidence of information leakage. The paper models a range of factors that potentially influence firm disclosure practices and contribute to the level information asymmetry in the market during the pre- announcement period. Previous research has investigated the influence of firm size and information content in contributing to information leakage. This study further considers the variables of firm growth, capital structure and industry group.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30017331

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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