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این مقاله علمی ترویجی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۱۳ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی موجود می باشد.
کد محصول: H723
سال نشر: ۲۰۲۱
نام ناشر (پایگاه داده): الزویر
نام مجله: Journal of Behavioral and Experimental Finance
نوع مقاله: مروری (Review articles)
تعداد صفحه انگلیسی: ۱۳ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۱ : مروری بر انحراف پس از اعلان سود
عنوان کامل انگلیسی:
A review of the Post-Earnings-Announcement Drift
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Abstract
The ‘‘Post-Earnings-Announcement Drift’’ refers to an anomaly in financial markets. It describes the drift of a firm’s stock price in the direction of the firm’s earnings surprise for an extended period of time. Contrary to what the efficient market hypothesis predicts, an earnings surprise does not lead to a full, instantaneous adjustment of stock prices, but to a slow, predictable drift. The phenomenon has been described at length for decades. Numerous studies have investigated the drift’s origins and properties, covering drivers such as insufficient risk adjustment of returns, trading frictions, or behavioral explanations. This paper summarizes the literature around the phenomenon. While there is evidence for a number of different factors, an all-encompassing explanation remains out of sight.
Keywords: Post-earnings-announcement drift, Earnings autocorrelation, Anomaly, Efficient market hypothesis, Risk, Transaction costs
The objective of this paper is to give an overview of the literature discussing the Post-Earnings-Announcement Drift (PEAD). It includes the findings from 216 published and 8 working papers, as well as a book chapter. The intention is to summarize the research conducted on the topic for more than 50 years now, give audiences unfamiliar with the topic an introduction, and give researchers a source of reference. Prior literature reviews served as a reference for this present review (Kothari, 2001; Richardson et al., 2010; Taylor, 2011). The present review’s main contributions are that it updates this prior work with more recent research, and that it is more comprehensive, referencing at least four times as many sources as any of these prior reviews. The structure of the paper is as follows: Section 1 summarizes the main elements of the drift. Section 2 gives an overview of the different potential drivers for the drift brought forward so far. Section 3 summarizes and concludes…
۳.Summary and conclusion
More than 50 years after the original paper by Ball and Brown (1968), and especially since Bernard and Thomas (1989, 1990), research around the PEAD has grown into a large body of literature. The PEAD continues to be one of the most prominent anomalies in financial markets and garners strong research interest. It is clear that anomalies often disappear or at least weaken following their publication (Chordia et al., 2014). Remarkably, however, the PEAD has been studied for decades already.
Many explanations for the PEAD point to investor irrationality, posing a challenge to the EMH. Most notably, it appears as if investors, and even analysts, have difficulty processing earnings news accurately. Attention constraints and a host of behavioral biases also play a role. The decades-long persistence of the anomaly, however, makes researchers rightfully reluctant to accept an explanation based on irrationality. Explanations compatible with the EMH, therefore, have also been studied extensively. Insufficient risk-adjustment does not seem to be the driving force. Information uncertainty, however, is an important factor. Limits to arbitrage in general do play a role in the existence and persistence of the PEAD. Abnormal returns appear to be concentrated in stocks that are more difficult to arbitrage (i.e., small, low liquidity, low volume, high transaction cost stocks)…
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