文章基本信息

标题：THE EFFECT OF INSTITUTIONAL OWNERSHIP TO VOLUME REACTION AROUND EARNINGS ANNOUNCEMENTS AT THE JAKARTA STOCK EXCHANGE
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作者：Rafika Yuniasih
期刊名称：JAKI (Jurnal Akuntansi dan Keuangan Indonesia)
印刷版ISSN：1829-8494
电子版ISSN：2406-9701
出版年度：2005
卷号：2
期号：2
页码：29-47
DOI：10.21002/jaki.2005.09
语种：English
出版社：Universitas Indonesia
摘要：This study examines trading vohume reaction t0 ernings announcements;specifically the ffeet of information asymmetry across investors before earnings announcement,in the form of diffenences in ownership structures measured ty the level of instiutional ownership,to trading volume around earnings announcements.Further,this study also examines other,factors related to volume reaction around earnings announcements such as price changes resulted in certain unexpected earning levels,cost of transactions,and firm size.The Ordinary Least Square (OLS) method is illy used im finding the relation between unexpected trading volume in two-day and seven day announcement period windows to the independent variables used in this study.Further,this study applies the Weighted Least Square (WLS) merthod 10 eliminate the potenial heteroscedasticity and 1o increase eficiency of the model.This study jinds that istitutional ownership level as a measure of information asymmery across investors affects wolume response 10 earnings announcement.The study finds that trading volume reaction is an increasing function of the level of information asymmetry.The study also finds that trading volume reaction is an increasing fiunction of price changes and frm size,yer i has a negative relation to transaction costs.
关键词：institutional ownership;information asymmetry;earnings announcement