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This study draws on the case of event studies of qualified audit reports to illustrate that despite numerous improvements in research design, findings do not converge over time. The conflicting evidence is attributed to the nature of the market for a company's shares, and the fact that past studies rely only on one measure of information content, namely, price change or volume change measures. After construction of a simple micromarket structure of a company's shares by drawing on traditional microeconomics, qualitative comparative statics are used to identify the circumstances in which either the volume or the price change caused by a revision of investor expectations, is relatively reduced. Insights are also provided into the question of post-event volume of trading.

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