An Examination of the Systematic Post Announcement Drift Anomaly of Sales PDF Download
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Author: Kyong Yun
Publisher:
ISBN:
Category :
Languages : en
Pages : 160
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Author: Kyong Yun
Publisher:
ISBN:
Category :
Languages : en
Pages : 160
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Author: Myung Chul Chung
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 316
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Author: Zhipeng Yan
Publisher:
ISBN:
Category :
Languages : en
Pages : 15
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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: Lihong Liang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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: Gil Sadka
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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This paper investigates the relation between the post-earnings-announcement drift anomaly and liquidity. First, we find that, on average, bad-news firms (low standardized unexpected earnings (SUE)) are less liquid than good-news firms (high SUE), reflecting more information asymmetry and/or uncertainty among bad-news firms. Yet, we argue that this liquidity spread is less likely to explain the drift. Second, the returns of SUE-sorted portfolios are sensitive to fluctuations in market-wide liquidity. We find that systematic liquidity risk is an important determinant in explaining the cross-sectional variation of expected returns among SUE-sorted portfolios. This implies that a substantial part of the post-earnings-announcement drift anomaly can be viewed as compensation for risk associated with shocks to the information environment in the economy. Therefore, the evidence suggests that the previously reported anomalous returns are associated with model misspecification and/or hidden transaction costs.
Author: VICTOR L. BERNARD
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
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Author: Arunas Grigaitis
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ISBN:
Category :
Languages : en
Pages :
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Author: Karthik Balakrishnan
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ISBN:
Category :
Languages : en
Pages : 64
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We document a failure of the market to price the implications of a current loss (profit) for a future loss (profit). In a 120-day window following the quarterly earnings announcement date, a portfolio of firms with extreme losses (profits) exhibits a -6.58 percent (3.55 percent) abnormal return. These patterns in stock returns translate into an annualized return of approximately 21 percent on a hedge portfolio that takes a long position in an extreme profit firm quintile and a short position in an extreme loss firm quintile. The results also demonstrate that this loss/profit anomaly is incremental to, and more pronounced than previously documented accounting-related anomalies. In an effort to explain this finding, we show that this mispricing is related to differences between conditional and unconditional probabilities of losses/profits, as if stock prices do not fully reflect conditional probabilities in a timely fashion. A battery of sensitivity tests shows that this loss/profit anomaly is robust to alternative risk adjustments, distress risk, short sales constraints, transaction costs, and sample periods.
Author: Lin Zheng
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Using intraday transactions data including short sales, I study short-selling around quarterly earnings announcements and linkages between short sales and post earnings announcement stock returns. Short sales increase immediately after both negative and positive earnings surprises. Furthermore, patterns in shorting at subsequent surprises in series of same-sign earnings surprises suggest that short sellers exploit the consequences of other investors' behavioral biases. The results highlight motivations for short sales after earnings announcements, and illustrate how short-selling contributes to market efficiency after positive (but not negative) earnings surprises.
Author: Dean Gillan
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 50
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