An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises PDF full book. Access full book title An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises by Myung Chul Chung. Download full books in PDF and EPUB format.
Author: Myung Chul Chung
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 316
Get Book Here
Book Description
Author: Myung Chul Chung
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 316
Get Book Here
Book Description
Author: Kyong Yun
Publisher:
ISBN:
Category :
Languages : en
Pages : 160
Get Book Here
Book Description
Author: Zhipeng Yan
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
Get Book Here
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.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 648
Get Book Here
Book Description
Author: Weimin Liu
Publisher:
ISBN:
Category :
Languages : en
Pages : 48
Get Book Here
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.
Author: Lakshmanan Shivakumar
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
Get Book Here
Book Description
Several prior studies have shown that cash flows have significantly greater impact on stock prices than accruals. We examine the implications of these findings for the post-earnings-announcement-drift anomaly. We argue that, if investors under-react to earnings news, then the larger price impact of cash flows causes the cash flow component of earnings news to predict future returns better than the accruals component. Consistent with this argument, we show that unexpected cash flows are more positively related to future returns, than are unexpected accruals. Also, unexpected cash flows are found to predict future returns above and beyond that predicted by earnings surprises. Finally, we show that a strategy that decomposes earnings news into its components significantly outperforms strategies based on earnings news alone. The results support under-reaction explanations for the drift.
Author: Lihong Liang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Prior research has been unable to explain the phenomenon known as post-earnings announcement drift, raising questions concerning the semi-strong form efficiency of the market typically assumed in capital market research. This study contributes to our understanding of this anomaly by examining drift in the context of theories that consider investors' non-Bayesian behaviors. The empirical evidence reveals that investors' overconfidence about their private information and the reliability of the earnings information are two important factors that explain drift. Finally, this study also provides insight into the puzzling relationship between dispersion and drift discussed in prior research.
Author: Ronen Feldman
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
Get Book Here
Book Description
This study explores whether the management discussion and analysis (MDamp;A) section of Forms 10-Q and 10-K has incremental information content beyond financial measures such as earnings surprises and accruals. It uses a classification scheme of words into positive and negative categories to measure the tone change in the MDamp;A section relative to prior periodic SEC filings. Our results indicate that short window market reactions around the SEC filing are significantly associated with the tone change of the MDamp;A section, even after controlling for accruals and earnings surprises. We show that management's tone change adds significantly to portfolio drift returns in the window of two days after the SEC filing date through one day after the subsequent quarter's preliminary earnings announcement, beyond financial information conveyed by accruals and earnings surprises. The drift returns are affected by the ability of the tone change signals to help predict the subsequent quarter's earnings surprise but cannot be completely attributed to this ability. We also find that the incremental information of management's tone change depends on the strength of the firm's information environment.
Author: Runeet Kishore
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
Get Book Here
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.
Author: Zhipeng Yan
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Get Book Here
Book Description
This article studies the relationship between initial market response to earnings surprise and subsequent stock price movement.We first develop a new measure - the earnings response elasticity (ERE) - to capture initial market response. It is defined as the absolute value of earnings announcement abnormal returns (EAARs) divided by the earnings surprise. The ERE is then examined under various categories contingent on the signs of earnings surprises (+/-/0) and EAARs (+/-). We find that a weaker initial market reaction to earnings surprises, or lower ERE, leads to a larger post-announcement drift.A trading strategy of taking a long position in stocks in the lowest ERE quintile when both earnings surprises and EAARs are positive and a short position when both are negative can generate an average abnormal return of 5.11 per cent per quarter.
