Earnings Autocorrelation And The Post Earnings Announcement Drift PDF Download
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Author | : Josef Fink |
Publisher | : |
Total Pages | : |
Release | : 2020 |
Genre | : |
ISBN | : |
Download Earnings Autocorrelation and the Post-earnings-announcement Drift Book in PDF, ePub and Kindle
Author | : David Craig Nichols |
Publisher | : |
Total Pages | : 146 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download A Partial Explanation for Post-earnings-announcement Drift Book in PDF, ePub and Kindle
Author | : Bok Baik |
Publisher | : |
Total Pages | : 71 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Shocks to Product Networks and Post-Earnings Announcement Drift Book in PDF, ePub and Kindle
This paper examines whether shocks to less visible product market network peers explain industry level post-earnings announcement drift (IPEAD). On the real-side, we find that peer earnings shocks propagate slowly through the peer network, creating a complex and conditional autocorrelation structure in earnings shocks. This impacts the financial-side, and IPEAD arises only when shocked peers are less visible in the network and when shocks are driven by persistent supply-side shocks to expenses rather than by demand-side shocks to sales. In addition, IPEAD is particularly strong when 10-K expense disclosures are opaque. Collectively, our results suggest that inattention to less visible peers, complex autocorrelation in earnings shocks, and a poor informational environment on the expense side are likely channels that generate IPEAD. IPEAD returns are economically large in subsamples motivated by this explanation.
Author | : Allen W. Bathke |
Publisher | : |
Total Pages | : 63 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Investor Overreaction to Earnings Surprises and Post-Earnings-Announcement Reversals Book in PDF, ePub and Kindle
Prior literature suggests that the market underreacts to the positive correlation in a typical firm's seasonal earnings changes, which leads to a post-earnings-announcement drift (PEAD) in prices. We examine the market reaction for a distinct set of firms whose seasonal earnings changes are uncorrelated and show that the market incorrectly assumes that the earnings changes of these firms are positively correlated. We also document that positive (negative) seasonal earnings changes in the current quarter are associated with negative (positive) abnormal returns in the following quarter. Thus, we observe a reversal of abnormal returns, consistent with a systematic overreaction to earnings, rather than the previously documented PEAD. Additional analysis indicates that financial analysts similarly overestimate the autocorrelation of these firms, although to a lesser extent. We also find that the magnitude of overestimation and the subsequent price reversal are inversely related to the richness of the information environment. Our results challenge the notion that investors recognize but consistently underestimate earnings correlation and provide a new perspective on the inability of prices to fully reflect the implications of current earnings for future earnings.
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 | : Josef Fink |
Publisher | : |
Total Pages | : |
Release | : 2020 |
Genre | : |
ISBN | : |
Download A Review of the Post-earnings-announcement Drift Book in PDF, ePub and Kindle
Author | : Roger Loh |
Publisher | : |
Total Pages | : 34 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Streaks in Earnings Surprises and the Cross-section of Stock Returns Book in PDF, ePub and Kindle
The gambler's fallacy (Rabin, 2002) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings announcement drift is strong and significant. In contrast, the drift is negligible following the termination of a streak. Indeed, streaks explain about half of the post-earnings announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude of earnings surprises and their autocorrelation. Overall, post-earnings announcement drift has a significant time-series component that is consistent with the gambler's fallacy.
Author | : Changling Chen |
Publisher | : |
Total Pages | : 140 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Essays on Earnings Persistence, Earnings Trends, and the Predictability of Post-earnings-announcement Stock Returns Book in PDF, ePub and Kindle
Author | : Justin Cox |
Publisher | : |
Total Pages | : 33 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Market Fragmentation and Post-Earnings Announcements Drift Book in PDF, ePub and Kindle
This study examines the effects of dark and lit market fragmentation around both earnings announcements and earnings surprises. I find that both dark and lit market fragmentation increase around earnings announcements. I further test whether dark and lit fragmentation hinders the level of price discovery around the earnings announcement, resulting in greater post-earnings announcement drift, PEAD. My analysis reveals that lit fragmentation has no significant impact on PEAD while dark fragmentation reduces the level of PEAD for stocks with positive earnings surprises consistent with the notion that dark venues capture more uninformed trading around positive news events, resulting in greater informed trading and higher informational efficiency on the lit venue. However, my results also indicate that dark fragmentation leads to stronger PEAD for stocks with negative earnings surprises. This last finding suggests that informed traders migrate to dark venues around negative earnings surprise, consistent with previous literature that argues informed traders follow passive trading strategies around negative news events.
Author | : Amir Guttman |
Publisher | : |
Total Pages | : 302 |
Release | : 1994 |
Genre | : |
ISBN | : |
Download The Effect of Corporate Disclosure on the Post-earnings Announcement Drift Book in PDF, ePub and Kindle