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| Author: | Kim, O. Verrecchia, R. E. |
| Title: | The relation among disclosure, returns, and trading volume information |
| Journal: | Accounting Review
2001 : OCT, VOL. 76:4, p. 633-654 |
| Index terms: | Disclosure Financial statements Financial reporting Capital asset pricing Trading volumes |
| Language: | eng |
| Abstract: | This paper introduces a model in which the firm's returns depend on trading volume when the firm defers disclosure, because market makers use volume to draw inferences about better-informed investors' private information on firm value. Also they show that a firm's commitment to a policy of timely disclosure of a broader range of outcomes dampens the slope coefficient on volume in a Taylor expansion of the log of the absolute value of returns on volume. |
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