Shocks To Product Networks And Post Earnings Announcement Drift PDF Download
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| 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 | : Mingyi Hung |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Post-Earnings-Announcement Drift in Global Markets Book in PDF, ePub and Kindle
We investigate whether and how an exogenous and unprecedented improvement in the quality of non-U.S. firms' financial reporting affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and the decrease is more pronounced among firms with fewer concurrent earnings announcements, higher institutional holdings, and lower limits-to-arbitrage, and in countries with stronger enforcement. In addition, the decrease in PEAD is primarily driven by firms with greater changes in financial reporting, and an increase in analyst forecast accuracy, institutional ownership, and liquidity. Taken together, these findings support the mispricing explanation of PEAD in an international setting.
| Author | : Linda H. Chen |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Drift Or Jump Book in PDF, ePub and Kindle
One of the contentious issues regarding the post-earnings announcement drift (PEAD) is whether the abnormal stock return is driven by investors' delayed reaction to earnings information or by unexpected information shocks subsequent to earnings announcement. In this paper, we disentangle unexpected large changes in stock prices, known as jumps, from total stock returns. Although on average jump occurs only once per firm quarter, it accounts for up to 40% of the return differential between top and bottom SUE deciles. This is evidence that a significant part of PAED is driven by unexpected information shocks. Nevertheless, the drift component still explains at least 50% of the variation of anomalous PEAD returns. The findings suggest that PEAD cannot be entirely attributed to investors' delayed reaction to earnings information, but neither can the hypothesis be ruled out. In particular, we find that delayed reaction is more pronounced following positive earnings surprises.
| Author | : Gil Sadka |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download The Post-Earnings-Announcement Drift and Liquidity Risk Book in PDF, ePub and Kindle
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 | : 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 | : Soojin Yim |
| Publisher | : |
| Total Pages | : 164 |
| Release | : 2002 |
| Genre | : Dividends |
| ISBN | : |
Download The Effect of Short-selling Constraints on Post-earnings Announcement Drift Book in PDF, ePub and Kindle
| 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 | : 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 | : 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
| 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.
