Articles

CEO-related announcements, trading activity, and calendar effects

Published in: Investment Analysts Journal
Volume 54 , issue 2 : Entrepreneurship and Africa’s Cultural Context , 2024 , pages: 187–204
DOI: 10.1080/10293523.2024.2398339
Author(s): Katarzyna Byrka-Kita University of Szczecin, Poland, Mateusz Czerwiński University of Szczecin, Poland,
Keywords: abnormal trading volume, CEO turnover, emerging markets, calendar effects, G11, G40, M12,
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Abstract

This study examines how abnormal trading volumes reflect new information, such as CEO-related announcements. Using hand-collected data on 1,236 CEO reappointments and turnovers from Polish firms listed on the Warsaw Stock Exchange, we show that investor reaction to CEO-related announcements is stronger in the winter-spring season than in the summer-fall season. However, in the summer-fall season, CEO reappointment triggers higher trading activity than CEO turnover announcements, while in the winter-spring season, the reaction is opposite. We also discover that abnormal trading volumes induced by CEO-related announcements are significantly lower at the beginning and end of the week than in the middle of the week. Furthermore, when it comes to day of the week anomalies, investors are much less interested in CEO reappointment than in turnover. The findings suggest that calendar effects influence investor reactions to CEO appointments, offering new insights into market anomalies and corporate governance mechanisms.
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