AN EMPIRICAL INVESTIGATION INTO THE RELATIONSHIP BETWEEN THE VALUE OF ACCOUNTING EARNINGS ANNOUNCEMENTS AND EQUITY INVESTOR ENDOWMENT SIZES (TRANSACTION VOLUME, SPEED OF ADJUSTMENT, INFORMATION CONTENT)

A model proposed by Ohlson (1975) suggests that information value increases as endowment size increases while a strong interpretation of a result by LaValle (1968) suggests that there is no relationship between information value and endowment size. This theoretical conflict is the central empirical question addressed in this dissertation. A second question, clearly related to the first question, is also of central importance in the dissertation. This question concerns the presence of a positive relationship between information processing speed and endowment size. The discovery of such a relationship is consistent with Ohlson but inconsistent with LaValle. Such a relationship's presence is also consistent with a model of information processing speed proposed by Verrecchia (1980). However, the theoretical basis posited in the dissertation for the presence of such a relationship is based on a more general line of reasoning than Verrecchia's model.;The empirical evidence is consistent with Ohlson's proposition of information value increasing with endowment size for both annual and quarterly earnings announcements in that a stronger unexpected large versus small transaction size response is observed for both types of announcements. The evidence is also consistent with the proposition that endowment size and information processing speed are positively related with respect to the quarterly announcement. The evidence does not, however, support the presence of such a relationship with respect to the annual earnings announcement.;Quarterly and annual accounting earnings announcements constitute the information systems of interest in this study while transaction sizes and equity trading activity levels serve as proxies for trader endowment sizes and information system (earnings announcement) utilization rates respectively. When the information system is costly to utilize (as is maintained to be the case for annual and quarterly announcements in this study) then the presence of the hypothesized relationships among information value, information processing speed, and endowment size should manifest themselves in the relative trading responses to earnings announcements by larger and smaller endowment holders (measured via transaction sizes).