We examine the Kondor theoretical explanation of an enduring puzzle: trading volumes and stock return volatility peak after the release of public information. Using a comprehensive data set of institutional holdings and earnings announcements, we find supporting evidence that the proportion of short-term investors is positively associated with post-announcement spikes in trading volume and return volatility. This finding survives in the identification test based on the annual reconstitutions of the Russell 1000 and 2000 indices. We show our results largely withstand several alternative explanations related to the constitution of institutional investors, informed trading, and heterogeneous beliefs.

中文翻译：

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我们知道的越多，我们同意的越少：交易期限异质性理论的检验

我们研究了 Kondor 对一个经久不衰的难题的理论解释：交易量和股票回报波动率在公开信息发布后达到峰值。使用机构持股和收益公告的综合数据集，我们发现支持证据表明，短期投资者的比例与公告后交易量和收益波动的峰值呈正相关。这一发现在基于罗素 1000 和 2000 指数年度重组的识别测试中仍然存在。我们表明，我们的结果在很大程度上经受住了与机构投资者构成、知情交易和异质信念相关的几种替代解释。