Post-earnings-announcement drift and post-earnings-announcement news

Y.C. George Lin, Junming Hsu and Shiao-Tuan Tsai

International Journal of Management and Enterprise Development, 2008, vol. 5, issue 2, 225-250

Abstract: This study investigates the impacts of five types of firm-specific news events on the Post-Earnings-Announcement Drift (PEAD). The results show that about one third of the Cumulative Abnormal Returns (CARs) for the extremely positive Standardised Unexpected Earning (SUE) portfolio sources from ex post firm-specific news events. It indicates that the magnitude of the 'pure' PEAD is not so pronounced as that documented in previous studies.

Keywords: post earnings announcement drift; PEAD; capital market efficiency; enterprise; cumulative abnormal returns; CARs; standardised unexpected earnings; portfolios. (search for similar items in EconPapers)
Date: 2008
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