Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research

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Evaluating the Information in the Federal Reserve Stress Tests (2015, background): “This measure, which is similar to one used in the accounting literature (see Bamber et al. 2011 for a summary) is based on the assumption that trading volume increases if new information affects investors’ prior beliefs (Karpoff 1986).(10) We would thus expect to see abnormally high trading volume d”
Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2018, unknown): “larger earnings surprises are more informative and drive more trading (e.g., Karpoff 1986; Holthausen & Verrecchia 1990; Kim & Verrecchia 1991; Bamber et al. 2011).”
The benefits of specific risk-factor disclosures (2016, unknown): “Empirically, there is a long history in research using unsigned, unexpected returns (e.g., Beaver 1968; May 1971; Cready and Mynatt 1991; Griffin 2003; Brown and Tucker 2011) or unexpected trading volume (see the review by Bamber et al. 2011) to measure information content in financial reports.”
Hyperbole or Reality? Investor Response to Extreme Language in Earnings Conference Calls (2019, unknown): “Stock returns capture the average change in investors’ beliefs following the event, while trading volume reflects the differences in investors’ reactions to the event (Beaver 1968; Bamber, Barron, and Stevens 2011).”