Asymmetric Learning From Prices And Post Earnings Announcement Drift PDF Download
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| Author | : Jaewon Choi |
| Publisher | : |
| Total Pages | : 77 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Asymmetric Learning from Prices and Post-Earnings-Announcement Drift Book in PDF, ePub and Kindle
Motivated by research in psychology and experimental economics, we assume that investors update their beliefs about an asset's value upon observing the price, but only when the price clearly reveals that others obtained private information that differs from their own private information. Specifically, we assume that investors learn from the price of an asset in an asymmetric manner -- they learn from the price if they observe good (bad) private information and the price is worse (better) than what is justified based on public information alone. We show that asymmetric learning from an asset's price leads to post-earnings-announcement drift (PEAD), and that it generates arbitrage opportunities that are less attractive than alternative explanations of PEAD. In addition, our model predicts that PEAD will be concentrated in earnings surprises that are not dominated by accruals, and it also predicts that earnings response coefficients will decline in the magnitude of the earnings surprises.
| Author | : Tomas Tomcany |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 92 |
| Release | : 2010-11 |
| Genre | : |
| ISBN | : 9783843367813 |
Download Post-Earnings Announcement Drift Book in PDF, ePub and Kindle
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 | : Thomas J. George |
| Publisher | : |
| Total Pages | : 68 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Anchoring, the 52-Week High and Post Earnings Announcement Drift Book in PDF, ePub and Kindle
The existence of post earnings announcement drift (PEAD) depends strongly on whether stocks' prices are near (far from) their 52-week highs when positive (negative) earnings surprises arrive. We find that the coincidence of these two effects is what generates significant PEAD. Daily returns around current and future earnings announcements follow a similar pattern -- announcement returns are more muted for extreme positive (negative) surprises, the closer (farther) are prices to the 52-week high. In addition, subsequent announcement returns are greater for these firms, consistent with a correction of previous underreaction. This suggests that an important contributing factor to PEAD is investors anchoring their beliefs about fundamental value on the 52-week high, which restrains price reactions to earnings news.
| Author | : VICTOR L. BERNARD |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 1992 |
| Genre | : |
| ISBN | : |
Download STOCK PRICE REACTIONS TO EARNINGS ANNOUNCEMENTS: A Book in PDF, ePub and Kindle
| Author | : Andrew T. K. Lee |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 1994 |
| Genre | : Stocks |
| ISBN | : |
Download Price Pressure, Earnings Quality and the Post-earnings Announcement Drift Book in PDF, ePub and Kindle
| Author | : Jeroen Suijs |
| Publisher | : |
| Total Pages | : |
| Release | : 2002 |
| Genre | : |
| ISBN | : |
Download Post Earnings Announcement Drift Book in PDF, ePub and Kindle
| Author | : Julien Messias |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Post Earnings Announcement Drift, a Price Signal? Book in PDF, ePub and Kindle
This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too slow to integrate the information, although they still have a major market impact. We find a strong empirical evidence of the preeminence of this bias for Momentum stocks rather than blue-chips or non-Momentum small-caps. Even by challenging the strategy, the conclusion remains strong with abnormal returns linked to such market inefficiency, with better returns for positive signals than negative ones. We choose Nasdaq Composite as the backbone of our development as it is the closest index to Uncia's field of expertise. For indices known as Momentum, we find strong predictability of the systematic net exposure, the latter being a consequence of the long and short positions implied by the earnings signals.
| Author | : Jon A. Garfinkel |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Volume, Opinion Divergence and Returns Book in PDF, ePub and Kindle
This paper examines the relationship between post-earnings announcement returns and different measures of volume at the earnings date. We find that post-event returns are strictly increasing in the component of volume that is unexplained by prior trading activity. We interpret unexplained volume as an indicator of opinion divergence among investors and conclude that post-event returns are increasing in ex-ante opinion divergence. Our evidence is consistent with Varian (1985) who suggests that opinion divergence may be treated as an additional risk factor affecting asset prices.
| Author | : Zhipeng Yan |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Earnings Response Elasticity and Post-Earnings-Announcement Drift Book in PDF, ePub and Kindle
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.
| Author | : Jing Liu |
| Publisher | : |
| Total Pages | : 102 |
| Release | : 1999 |
| Genre | : |
| ISBN | : |
Download Post-earnings-announcement Drift and Analyst Forecasts Book in PDF, ePub and Kindle
