LAUSR

Abstract This study examines the changes in trading volume around quarterly earnings announcements in regard to market uncertainty. When market conditions are volatile, investors face difficulty in predicting future cash flows and their beliefs are more dispersed. Under this larger dispersion in prior beliefs, investors learn more from earnings news, but they are also likely to differ in their interpretations. This leads to increased trading volume around earnings announcements under high market uncertainty. I find that abnormal trading volume around the 2-day announcement window increase with market return volatility and the VIX index. The increase in trading volume is more pronounced for firms with more market-wide information and larger firms, which tend to have larger market earnings components.