The Study of the Post-earnings-announcement Drift in the UK. PDF Download
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Author: Stephen Man Kit Tsien
Publisher:
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Category :
Languages : en
Pages :
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Author: Stephen Man Kit Tsien
Publisher:
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Category :
Languages : en
Pages :
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Author: Phoebe Sze Chan Chan
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Languages : en
Pages :
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Author: Denis Wei-Yen Hew
Publisher:
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Category :
Languages : en
Pages : 410
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Author: Weimin Liu
Publisher:
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Category :
Languages : en
Pages : 48
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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: D. W. Hew
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Languages : en
Pages :
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Author: Weimin Liu
Publisher:
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Category :
Languages : en
Pages : 46
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Author: Arunas Grigaitis
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Languages : en
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Author: Ngọc Dũng Nguyễn
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Languages : en
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Author: Tomas Tomcany
Publisher: LAP Lambert Academic Publishing
ISBN: 9783843367813
Category :
Languages : en
Pages : 92
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It is a well documented finding in finance theory that share prices drift in the direction of firms' unexpected earnings changes, a phenomenom known as post-earnings announcement drift, or earnings momentum. In this book, I study the stock prices' reaction to firms' quarterly earnings announcements. The book shows that the timeframe in which the drift occurs is related to the size of a firm and is limited in time after the earnings announcement. I further analyze the effect of the number of analysts covering a firm on the magnitude and persistance of post-earnings announcement drift. I document that recent analyst coverage predicts large drifts after the earnings announcements. I suggest several possible explanations, but the evidence seems most consistent with recent analyst coverage providing information about investor (or analyst) expectations regarding firm's future earnings. This book should be useful to professionals in Financial Economics, especially to those interested in Behavioral Finance in stock markets, but also to equity analysts, traders or investors interested in the stocks' response to earnings news.
Author: Josef Fink
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Category :
Languages : en
Pages :
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