announcement drift ?

Streaks in Earnings Surprises and the Cross-Section of Stock Returns

The gambler’s fallacy (Rabin, 2002) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings announcement drift is strong and significant. In contrast, the drift is negligible following the termination ...

Ex-day Pricing and Post-Announcement Drift

This study examines share price and trading volumes data around the date of cash dividend distributions made by a sample of companies listed on The London Stock Exchange. The ex-day share price behaviour is modelled to take account of the personal taxes of long-term investors as well as the transaction costs and holding risks of short-term traders. The post-announcement drift is linked to the b...

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

How good is good news? technology depth, book-to-market ratio, and innovative events

This paper examines the stock market reactions to US biotech firms’ innovation news announcements during 1983-1993. Besides the positive abnormal returns observed during the announcement period, the paper identifies a medium-horizon negative drift in the stock price subsequent to firms’ innovative events. The observed negative drift is robust to the benchmarks and procedures used in calculating...

Information Diffusion and the Boundary of Market Efficiency: Empirical Evidence from Earnings Announcements

This paper tests the implications of an information diffusion model (Lu, 2003) in the quarterly earnings announcement setting. Post-announcement-drift is documented only for earnings announcements that have high information uncertainty, measured by high abnormal trading volume and return volatility surrounding the announcement. The results are robust after controlling for the magnitude of earni...