Volume, Opinion Divergence and Returns: A Study of Post-Earnings Announcement Drift

By Jon A. Garfinkel, Jonathan S. Sokobin. 2006

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The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research (2008, unknown): “Garfinkel and Sokobin (2006) Archival, I/B/E/S, 1985-1998.”
On the Information Role of Stock Recommendation Revisions (2009, background): “Small firm size (Foster et al., 1984; Bernard and Thomas, 1989, 1990); firm risk (Bernard and Thomas, 1989); and trading volume (Garfinkel and Sokobin, 2006), are associated with larger momentum.”
Financial reporting complexity and investor underreaction to 10-K information (2009, unknown): “Forth, Garfinkel and Sokobin (2006) show that investor opinion divergence, as a measure of risk, increases the sensitivity of the post earnings announcement drift to earnings surprises.”
Are Investors Confused by Restatements after Sarbanes-Oxley? (2011, methodology): “VOLUME Abnormal volume in the three-day window around the restatement announcement, computed similarly to Garfinkel and Sokobin (2006) Discussion of Control Variables for Restatement Announcement Returns Restatement controls When comparing restatement announcement returns across SOX periods, I…”
Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research (2010, unknown): “Garfinkel and Sokobin (2006) attempt to isolate the portion of earnings announcement date trading that reflects divergence of opinion.”