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초록
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We hypothesize that post-earnings-announcement drift (PEAD) is caused by underreaction of long-term investors since they do not pay much attention to short-term events. Consistent with the hypothesis, empirical observations show that stocks mostly held by long-term investors exhibit strong PEAD. It is striking because these stocks have low transaction costs and are highly recognizable.
목차
ABSTRACT
I. Data and Construction of Measures
A. Data
B. Construction of Measures
II. Empirical Results
A. Characteristics of the Three Sturn Groups
B. Different Post-Earnings-Announcement Drift in Different Sturn Groups
C. Short-selling restrictions
D. Subperiod Tests
E. Alternative Ways to Estimate Abnormal Returns
F. Temporal Inattention to Earnings Announcement
G. Construction of SUE Groups Using the Prior Quarter’s Breakpoints
H. Reversal in Earnings Surprises
I. Time-Series Regression of Continuously Rebalanced PEAD Strategy Returns
III. Cross-Sectional Determinants of Post-Earnings-Announcement Drift
IV. Conclusion
References
I. Data and Construction of Measures
A. Data
B. Construction of Measures
II. Empirical Results
A. Characteristics of the Three Sturn Groups
B. Different Post-Earnings-Announcement Drift in Different Sturn Groups
C. Short-selling restrictions
D. Subperiod Tests
E. Alternative Ways to Estimate Abnormal Returns
F. Temporal Inattention to Earnings Announcement
G. Construction of SUE Groups Using the Prior Quarter’s Breakpoints
H. Reversal in Earnings Surprises
I. Time-Series Regression of Continuously Rebalanced PEAD Strategy Returns
III. Cross-Sectional Determinants of Post-Earnings-Announcement Drift
IV. Conclusion
References
저자정보
참고문헌
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