39:
327:
Once a firm's current earnings become known, the information content should be quickly digested by investors and incorporated into the efficient market price. However, it has long been known that this is not exactly what happens. For firms that report good news in quarterly earnings, their abnormal
354:
Bernard & Thomas (1989) and
Bernard & Thomas (1990) provided a comprehensive summary of PEAD research. According to Bernard & Thomas (1990), PEAD patterns can be viewed as including two components. The first component is a positive autocorrelation between seasonal difference (i.e.,
328:
security returns tend to drift upwards for at least 60 days following their earnings announcement. Similarly, firms that report bad news in earnings tend to have their abnormal security returns drift downwards for a similar period. This phenomenon is called post-announcement drift.
359:
forecast errors – the difference between the actual returns and forecasted returns) that is strongest for adjacent quarters, being positive over the first three lag quarters. Second, there is a negative auto correlation between seasonal differences that are four quarters apart.
385:
Bernard, V. L., & Thomas, J. K. (1990). Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of
Accounting and Economics, 13(4), 305-340
351:
The phenomenon can be explained with a number of hypotheses. The most widely accepted explanation for the effect is investor under-reaction to earnings announcements.
278:
376:
Bernard, V. L., & Thomas, J. K. (1989). Post-Earnings-Announcement Drift: Delayed Price
Response or Risk Premium? Journal of Accounting Research, 27, 1-36.
188:
128:
271:
396:
Dharmesh, V. K., & Nakul, S. (1995). contemporary issues in accounting. Post earnings announcement drift., ed 5th, p. 269.
183:
153:
193:
406:
55:
436:
426:
264:
198:
171:
441:
340:
446:
339:, Autumn 1968, pp. 159–178. As one of major earnings anomalies, which supports the counterargument against
105:
343:, PEAD is considered a robust finding and one of the most studied topics in financial market literature.
431:
178:
75:
158:
100:
70:
65:
38:
296:
292:
221:
148:
133:
93:
48:
30:
411:
110:
17:
316:
236:
143:
138:
312:
241:
80:
420:
226:
356:
332:
254:
393:
Do
Individual Investors Drive Post Earnings Announcement Drift? OSU Finance
319:
for several weeks (even several months) following an earnings announcement.
231:
216:
60:
335:& P. Brown, 'An empirical evaluation of accounting income numbers',
331:
This was initially proposed by the information content study of
272:
8:
311:) is the tendency for a stock’s cumulative
279:
265:
26:
369:
29:
7:
189:Journal of Accounting and Economics
129:Convergence of accounting standards
25:
315:to drift in the direction of an
301:post–earnings-announcement drift
184:Contemporary Accounting Research
154:Post-earnings announcement drift
37:
18:Post-earnings announcement drift
337:Journal of Accounting Research
194:Journal of Accounting Research
56:Accounting information systems
1:
407:Earnings response coefficient
199:Review of Accounting Studies
463:
341:market efficiency theory
179:The Accounting Review
76:Management accounting
252:Part of a series on
159:Voluntary disclosure
66:Financial accounting
437:Financial economics
427:Accounting research
297:accounting research
293:financial economics
222:Academic publishing
172:Accounting journals
149:Positive accounting
134:Earnings management
31:Accounting research
442:Behavioral finance
447:Financial markets
317:earnings surprise
289:
288:
237:Scientific method
144:Earnings surprise
16:(Redirected from
454:
386:
383:
377:
374:
323:Cause and effect
313:abnormal returns
307:(also named the
281:
274:
267:
139:Earnings quality
41:
27:
21:
462:
461:
457:
456:
455:
453:
452:
451:
417:
416:
403:
390:
389:
384:
380:
375:
371:
366:
349:
325:
285:
253:
247:
246:
212:
204:
203:
174:
164:
163:
124:
123:Specific topics
116:
115:
96:
86:
85:
51:
23:
22:
15:
12:
11:
5:
460:
458:
450:
449:
444:
439:
434:
429:
419:
418:
415:
414:
409:
402:
399:
398:
397:
394:
388:
387:
378:
368:
367:
365:
362:
348:
345:
324:
321:
287:
286:
284:
283:
276:
269:
261:
258:
257:
249:
248:
245:
244:
242:Social science
239:
234:
229:
224:
219:
213:
211:Related topics
210:
209:
206:
205:
202:
201:
196:
191:
186:
181:
175:
170:
169:
166:
165:
162:
161:
156:
151:
146:
141:
136:
131:
125:
122:
121:
118:
117:
114:
113:
108:
103:
97:
92:
91:
88:
87:
84:
83:
81:Tax accounting
78:
73:
68:
63:
58:
52:
49:Research areas
47:
46:
43:
42:
34:
33:
24:
14:
13:
10:
9:
6:
4:
3:
2:
459:
448:
445:
443:
440:
438:
435:
433:
430:
428:
425:
424:
422:
413:
410:
408:
405:
404:
400:
395:
392:
391:
382:
379:
373:
370:
363:
361:
358:
352:
346:
344:
342:
338:
334:
329:
322:
320:
318:
314:
310:
306:
302:
298:
294:
282:
277:
275:
270:
268:
263:
262:
260:
259:
256:
251:
250:
243:
240:
238:
235:
233:
230:
228:
225:
223:
220:
218:
215:
214:
208:
207:
200:
197:
195:
192:
190:
187:
185:
182:
180:
177:
176:
173:
168:
167:
160:
157:
155:
152:
150:
147:
145:
142:
140:
137:
135:
132:
130:
127:
126:
120:
119:
112:
109:
107:
104:
102:
99:
98:
95:
94:Methodologies
90:
89:
82:
79:
77:
74:
72:
69:
67:
64:
62:
59:
57:
54:
53:
50:
45:
44:
40:
36:
35:
32:
28:
19:
432:Stock market
381:
372:
353:
350:
336:
330:
326:
308:
304:
300:
290:
227:Econometrics
111:Experimental
357:random walk
333:Ray J. Ball
421:Categories
364:References
347:Hypotheses
309:SUE effect
255:Accounting
101:Analytical
71:Governance
355:seasonal
232:Economics
412:Momentum
401:See also
217:Academia
106:Archival
61:Auditing
305:PEAD
295:and
303:or
291:In
423::
299:,
280:e
273:t
266:v
20:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
