Empirical Findings from Post-Earnings Announcement Drift Finance Essay
We show that the PEAD drift following earnings announcements is stronger for conglomerates than for single-segment firms. Conglomerates are larger on average than single-segment companies, so arbitrage limits are unlikely to determine the difference in PEAD. Instead, we hypothesize that market participants find it more expensive and difficult to generate abnormal returns using a long-short strategy applied to anomalies following earnings announcements. This was later confirmed by Foster, Olsen and Shevlin 1984, Bernard and Thomas. Introduction. Post-earnings-announcement drift PEAD is a key problem in asset pricing and describes slow stock price responses to unexpected corporate earnings news for subsequent months. Brown and Han, 2000 Chung and Hrazdil, 2011 Hirshleifer and Teoh, 2003. This article examines how the Chinese stock market trades differently in the face of state-controlled and market-oriented media reporting. If we assume a drift after earnings announcements, we conclude that information from state-controlled media feeds into the stock price at a faster rate, while the message from market-oriented media takes more time. The Cross Section of Momentum MOM and Post-Earnings Announcement Drift PEAD Portfolio Returns and Liquidity Risk. Two different sets of portfolios are analyzed: portfolios portfolios sorted by standardized unexpected income SUE. Momentum is calculated as the cumulative return over the month, excluding the, SUMMARY The study provides new evidence for the theory of limited attention in explaining the post-earnings announcement drift PEAD using data from stocks listed in Shanghai and Shenzhen A shares. We introduce two types of inattentive investors: one ignores market or sector information, while the other, Abstract: We investigate whether rational investor responses to information uncertainty IU explain the properties of and returns to the anomaly after - earnings - announcement - drift PEAD trading. Consistent. Information uncertainty and post-earnings announcement – Drift - Francis - 2007 - Journal of Business Finance,