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Timing of accounting information disclosure and informed trading—An empirical study on the time gap between annual and 1st quarterly financial reports and extra abnormal trading volume


Considering the cost of capital, systematic risk and the probability of being monitored and punished, informed traders are most likely to conduct informed trading at the small time gap between the disclosure of annual report of year t and 1st quarter reports of year t+1 because the gap is the best and safest time for informed trading. Meanwhile, due to the high cost and risks of informed trading, traders need huge trading volumes to gain abnormal returns. Based on these characteristics of informed trading, a research sample and a control sample are found for this paper. The former refers to companies with loss annual report in year t and profit-making 1st quarter financial report in year t+1 in tandem. The latter refers to companies announced loss in the previous year and and profit-making 1st quarter financial report in year t+1 simultaneously or companies with loss annual report in the year t and loss 1st quarter financial report in year t+1 in tandem. Results confirm the existence of informed trading by measuring “extra abnormal trading volume”. Therefore, authors suggest that a good disclosure policy should not only consider the timeliness and accuracy of the financial reports, but also the overall information disclosure process to prevent potential informed trading.


考虑到资金成本、 市场的系统性风险和被监管的可能性, 内幕交易者最可能利用两个相隔时间很短的定期报告进行内幕交易。 因为这种交易模式最隐蔽, 最安全。 同时, 因承担了高成本和高风险, 内幕交易需要巨额的交易量才能获得超额收益。 利用内幕交易的这些特征, 找到了极好的研究样本(年报亏损下年首季报盈利且年报首季报先后公布的样本)和控制样本(年报亏损下年首季报盈利但年报首季报同时披露的样本或者年报亏损下年首季报仍然亏损且年报首季报先后公布的样本), 通过异常的超额交易量验证了内幕交易的存在。 研究表明, 在信息披露监管政策中, 不仅要考虑信息披露的及时性和充分性, 还应考虑信息披露过程是否为内幕交易提供了可乘之机。


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Correspondence to Shuang Xue.

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Translated and revise from Zhongguo Kuaiji Pinglun 中国会计评论 (China Accounting Review), 2008, 6(2): 207–222

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Xue, S., Jiang, Y. Timing of accounting information disclosure and informed trading—An empirical study on the time gap between annual and 1st quarterly financial reports and extra abnormal trading volume. Front. Bus. Res. China 3, 432–452 (2009).

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