Investigating various corporate announcements and abnormal return days, I observe that around 2% of daily trading volume decreases only before scheduled earnings announcements. This empirical pattern is robust across different specifications and periods. Also, proxies of ex ante information asymmetry are consistently related to the trading volume only before scheduled earnings announcements. Th...

This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest when information asymmetry is high, while the opposite relation holds for volume after the announcement. I...