“ Evidence That Investors Trade on Private Event - Period Information around Earnings Announcements ”

I replicate Barron, Harris, and Stanford's (2005) " Evidence That Investors Trade on Private-Event-Period Information around Earnings Announcements " which provides empirical support for theoretical models developed in Holthausen and Verrecchia (1990) and Kim and Verrecchia (1997). These model predict that private information generated at the time of an earnings announcement (private event-period information) is associated with greater trading volume. Using analysts as a proxy for investors, Barron et al. (2005) utilize empirical proxies from Barron et al. (1998) to measure increases in private information around earnings announcements and find that announcements that increase analysts' private information are associated with increased trading volume. They also find that announcements that decrease analysts' consensus (i.e. the amount of common information) are associated with increased trading volume, leading them to conclude that, consistent with Kim and Verrecchia's (1997) model, it is possible for public earnings announcements to increase private information and the private information generated in the event-period to spur trading.