Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock

Xi Li (), Mingyi Hung () and Shiheng Wang ()
Additional contact information
Xi Li: Department of Accounting, Hong Kong University of Science and Technology
Mingyi Hung: Department of Accounting, Hong Kong University of Science and Technology
Shiheng Wang: Department of Accounting, Hong Kong University of Science and Technology

No 2015-17, HKUST IEMS Working Paper Series from HKUST Institute for Emerging Market Studies

Abstract: We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms’ financial reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in analyst forecast accuracy and institutional ownership, and a decrease in limits to arbitrage. These findings support the mispricing explanation of PEAD, in particular the limited attention hypothesis, in an international setting.

Keywords: information and market efficiency; information shock; global markets; post-earnings-announcement drift (search for similar items in EconPapers)
JEL-codes: G10 G14 G30 (search for similar items in EconPapers)
Pages: 67 pages
Date: 2015-03, Revised 2015-03
New Economics Papers: this item is included in nep-cfn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Published in the Review of Financial Studies (2015), 28(4): 1242-1283

Downloads: (external link)
http://iems.ust.hk/assets/publications/working-papers-2015/iemswp2015-17.pdf First version, 2015 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hku:wpaper:201517

Access Statistics for this paper

More papers in HKUST IEMS Working Paper Series from HKUST Institute for Emerging Market Studies Contact information at EDIRC.
Bibliographic data for series maintained by Carla Chan ( this e-mail address is bad, please contact ).