Abstract: In this study,we investigate the firm size effect of trading volume reaction to the disclosure of annual financial reports.Our empirical results show that,in line with research findings on developed markets,not only is trading volume negatively associated with firm size in China’s stock market,but also is the duration of the trading volume reaction.This implies that trading volume reaction to information disclosure varies with firm size,or more specifically,small firm’s annual reports are more informative than large firms’.

Key words: annual report, unexpected earnings, trading volume.