Trading Volume, Heterogeneous Expectations, and Earnings Announcements

Thanh Huong Dinh and Jean-François Gajewski ()
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Jean-François Gajewski: Laboratoire de Recherche Magellan - UJML - Université Jean Moulin - Lyon 3 - Université de Lyon - Institut d'Administration des Entreprises (IAE) - Lyon

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Abstract: Using the experimental method, this paper provides evidence that the dispersion of beliefs is the main driver behind trading volume. However, in contrast with existing literature, we show that the relationship between trading volume and heterogeneity of expectations is more concave than linear. We study investors' reactions in terms of trading volume to the announcement of earnings. The experiment shows that heterogeneity of expectations does not decrease when investors have more information about the final results. This heterogeneity is also the main factor behind transactions in our experimental asset markets. However, too large a dispersion in expectations dissuades investors from trading.

Keywords: Trading volume; Heterogeneity of expectations; Earnings announcement; Experimental asset markets (search for similar items in EconPapers)
Date: 2015-12-11
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Published in Journal of Behavioral Finance, 2015, 16 (4), pp.327-343. ⟨10.1080/15427560.2015.1095753⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04131383

DOI: 10.1080/15427560.2015.1095753

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