EconPapers    
Economics at your fingertips  
 

Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift

Ron Bird (), Daniel Choi and Danny Yeung ()
Additional contact information
Daniel Choi: Waikato Management School, University of Waikato

No 15, Working Paper Series from The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney

Abstract: The post-earnings announcement drift (PEAD) was first identified over 40 years ago and seems to be as much alive today as it ever was. There have been numerous attempts to explain its continued existence. In this paper we provide evidence to support a new explanation: the PEAD is very much a reflection of the level of market uncertainty and sentiment that prevails during the post-announcement period. The finding that uncertainty plays a role in explaining how investors respond to information suggests that it should be included as a factor in our pricing models while the fact that market sentiment also has a role is another instance of the importance of human behaviour in establishing prices.

JEL-codes: D81 G12 G14 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011-09-01
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 (2) Track citations by RSS feed

Downloads: (external link)
http://www.uts.edu.au/sites/default/files/wp15.pdf (application/pdf)

Related works:
Journal Article: Market uncertainty, market sentiment, and the post-earnings announcement drift (2014) Downloads
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:uts:pwcwps:15

Access Statistics for this paper

More papers in Working Paper Series from The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().

 
Page updated 2023-01-23
Handle: RePEc:uts:pwcwps:15