Author: Myung Chul ChungPublisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 316
Book Description
An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises
Author: Myung Chul ChungPublisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 316
Book Description
An Examination of the Systematic Post Announcement Drift Anomaly of Sales
Author: Kyong YunWhen Two Anomalies Meet
Author: Zhipeng YanPublisher:
ISBN:
Category :
Languages : en
Pages : 15
Book Description
This study of the post-earnings announcement drift and the value-glamour anomaly finds that value stocks have greater information uncertainty, exhibit more-muted initial market reactions to earnings surprises, and have better (more positive or less negative) post-earnings announcement drifts than do glamour stocks. A trading strategy based on these findings can generate an average annual abnormal return of 16.6-18.8 percent before transaction costs.
Post-Earnings Announcement Drift?
Author: Peter F. PopePublisher:
ISBN:
Category :
Languages : en
Pages : 43
Book Description
The predictability of abnormal returns based on information contained in past earnings announcements is a statistically and economically significant anomaly. Neither is it illusory, nor is it an artifact of the experimental design. It may be a result of market inefficiency. Our results cannot rule out this explanation. However, we find that the magnitude of the post-earnings announcement effect is correlated with factors that proxy for the ex ante probability of the firm surviving to be part of the earnings surprise sample, and with determinants of the bid-ask spread.
Investor Inattention and the Post-earnings Announcement Drift - Evidence from Switzerland
Author: Sarah SuterPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Earlier studies on earnings numbers have discovered a market anomaly which could not be explained by flaws in the applied research design. They claim that stock prices do not incor-porate earnings news immediately, as suggested by the efficient market theory, but tend to drift into the direction of the unexpected earnings after an earnings announcement. In addi-tion, this effect seems to be stronger if investors are distracted by competing announcements at the announcement date. Based on Swiss earnings and stock price data, this paper analyses whether unexpected earnings are followed by cumulative abnormal stock returns. I find post-earnings announcement drift that increases with the magnitude of the earnings surprise. By comparing immediate and delayed market reaction and post-earnings announcement drift on high-news and low-news days, this study examines the effect of investor inattention on post-earnings announcement drift. The findings are consistent with lower immediate market re-sponse and stronger drift when investors are distracted.
STOCK PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A
Author: VICTOR L. BERNARDEarnings Announcements are Full of Surprises
Author: Runeet KishorePublisher:
ISBN:
Category :
Languages : en
Pages : 37
Book Description
We study the drift in returns of portfolios formed on the basis of the stock price reaction around earnings announcements. The Earnings Announcement Return (EAR) captures the market reaction to unexpected information contained in the company's earnings release. Besides the actual earnings news, this includes unexpected information about sales, margins, investment, and other less tangible information communicated round the earnings announcement. A strategy that buys and sells companies sorted on EAR produces an average abnormal return of 7.55% per year, 1.3%more than a strategy based on the traditional measure of earnings surprise, SUE. The post earnings announcement drift for EAR strategy is stronger than post earnings announcement drift for SUE. More importantly, unlike SUE, the EAR strategy returns do not show a reversal after 3 quarters. The EAR and SUE strategies appear to be independent of each other. A strategy that exploits both pieces of information generates abnormal returns of about 12.5% on an annual basis.
Investor Trading and the Post Earnings Announcement Drift
Author: Benjamin C. AyersPublisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We examine whether the two distinct post-earnings-announcement drifts associated with seasonal random walk-based and analyst-based earnings surprises are attributable to the trading activities of distinct sets of investors. We predict and find that small (large) traders continue to trade in the direction of seasonal random walk-based (analyst-based) earnings surprises after earnings announcements. We also find that when small (large) traders react more thoroughly to seasonal random walk- (analyst-) based earnings surprises at the earnings announcements, the respective drift attenuates. Further evidence suggests that delayed small trades associated with random walk-based surprises are consistent with small traders' failure to understand time-series properties of earnings, whereas delayed large trades associated with analyst-based surprises are more consistent with a longer price discovery process. We also find that the analyst-based drift has declined in recent years.
Post-Earnings-Announcement Drift in the UK.
Author: Weimin LiuPublisher:
ISBN:
Category :
Languages : en
Pages : 48
Book Description
This paper fills a void in the market efficiency literature by testing for the presence of post-earnings announcement drift in the non-US market. We test for drift using alternative earnings surprise measures based on: (i) the time-series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post-earnings-announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one-dimensional analysis, the price-based measure of earnings surprise gives the strongest drift, and using a two-dimensional analysis the drift associated with the price-based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out-of-sample confirmation of the post-earnings-announcement drift documented in the US.
Drift Or Jump
Author: Linda H. ChenPublisher:
ISBN:
Category :
Languages : en
Pages : 36
Book Description
One of the contentious issues regarding the post-earnings announcement drift (PEAD) is whether the abnormal stock return is driven by investors' delayed reaction to earnings information or by unexpected information shocks subsequent to earnings announcement. In this paper, we disentangle unexpected large changes in stock prices, known as jumps, from total stock returns. Although on average jump occurs only once per firm quarter, it accounts for up to 40% of the return differential between top and bottom SUE deciles. This is evidence that a significant part of PAED is driven by unexpected information shocks. Nevertheless, the drift component still explains at least 50% of the variation of anomalous PEAD returns. The findings suggest that PEAD cannot be entirely attributed to investors' delayed reaction to earnings information, but neither can the hypothesis be ruled out. In particular, we find that delayed reaction is more pronounced following positive earnings surprises.