A review of the Post-Earnings-Announcement Drift
Journal of Behavioral and Experimental Finance, 2021, vol. 29, issue C
The “Post-Earnings-Announcement Drift” refers to an anomaly in financial markets. It describes the drift of a firm’s stock price in the direction of the firm’s earnings surprise for an extended period of time. Contrary to what the efficient market hypothesis predicts, an earnings surprise does not lead to a full, instantaneous adjustment of stock prices, but to a slow, predictable drift. The phenomenon has been described at length for decades. Numerous studies have investigated the drift’s origins and properties, covering drivers such as insufficient risk adjustment of returns, trading frictions, or behavioral explanations. This paper summarizes the literature around the phenomenon. While there is evidence for a number of different factors, an all-encompassing explanation remains out of sight.
Keywords: Post-earnings-announcement drift; Earnings autocorrelation; Anomaly; Efficient market hypothesis; Risk; Transaction costs (search for similar items in EconPapers)
JEL-codes: G12 G14 G40 M41 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303750
Access Statistics for this article
Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and JÃ¼rgen Huber
More articles in Journal of Behavioral and Experimental Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().