A review of the Post-Earnings-Announcement Drift

Post - Earnings Announcement Drift ?

The predictability of abnormal returns based on information contained in past earnings announcements is a statistically and economically significant anomaly. Neither is it illusory, nor is it an artefact of the experimental design. It may be a result of market inefficiency. Our results cannot rule out this explanation. However, we find that the magnitude of the post-earnings announcement effect...

Post-Earnings-Announcement Drift: The Role of Revenue Surprises

Consistent with prior evidence about greater persistence of revenues and greater noise caused by heterogeneity of expenses, this study shows that the post-earningsannouncement-drift is stronger when the revenue surprise is in the same direction as the earnings surprise. The results of the study are consistent for the earnings and revenue surprise estimated from historical time series and also f...

Management’s Tone Change, Post Earnings Announcement Drift and Accruals

This study explores whether the Management Discussion and Analysis (MD&A) section of Form 10-Q and 10-K has incremental information content beyond financial measures such as earnings surprises and accruals. It uses a well-established classification scheme of words into positive and negative categories to measure the tone change in a specific MD&A section relative to prior periodic SEC filings. ...

International Diversification , SFAS 131 , and Post - Earnings Announcement Drift

Using data from 1990-2013, we show 1) the serial correlation of analyst forecast errors increases in the extent of international diversification, 2) PEAD based on analyst forecast errors increases in the extent of international diversification, and 3) the impact of international diversification on the serial correlation of analyst forecast errors and the associated drift is significantly reduce...

Do Individual Investors Cause Post-earnings Announcement Drift? Direct Evidence from Personal Trades