The differential effect of directional unexpected earnings and post-earnings announcement drift behaviour
AbstractThis research investigates whether the post-earnings announcement equity security price return drift is monotonic but (1) at a different rate than at the time of the earnings announcement, and (2) at different rates for positive unexpected earnings and negative unexpected earnings. Our results indicate that the post-earnings announcement equity security price return drift amplifies the equity security return reaction at the time of the earnings announcement for negative earnings changes. However, post-earnings announcement equity security price return drift reverses the equity security return reaction at the time of the earnings announcement for positive unexpected earnings. Implications of our research results for equity security return drift, reversal, and volatility are that equity security prices under-react at the time of the earnings announcement to negative unexpected earnings and over-react at the time of the earnings announcement to positive unexpected earnings.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Inderscience Enterprises Ltd in its journal Int. J. of Accounting, Auditing and Performance Evaluation.
Volume (Year): 1 (2004)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.inderscience.com/browse/index.php?journalID=41
post earnings announcement drift; market efficiency; investors' expectations; trading volume; equity security returns; unexpected earnings.;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Graham Langley) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.