Rest in Peace Post-Earnings Announcement Drift

Charles Martineau
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Charles Martineau: University of Toronto

No z7k3p, SocArXiv from Center for Open Science

Abstract: This paper revisits price formation following earnings announcements. In modern financial markets, stock prices fully reflect earnings surprises on the announcement date, leading to the disappearance of post-earnings announcement drifts (PEAD). For large stocks, PEAD have been non-existent since 2006 but has only disappeared recently for microcap stocks. PEAD remain a prevalent area of study in finance and accounting despite having largely disappeared. This paper concludes with a set of recommendations for researchers who conduct such studies to better assess the existence of PEAD and suggests future research avenues to examine price formation following earnings news.

Date: 2021-11-29
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:z7k3p

DOI: 10.31219/osf.io/z7k3p

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