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Post-earnings announcement drift: Spanish evidence

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Author Info
Carlos Forner ()
Sonia Sanabria ()
Joaquín Marhuenda ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10108-008-9048-4
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Publisher Info
Article provided by Springer in its journal Spanish Economic Review.

Volume (Year): 11 (2009)
Issue (Month): 3 (September)
Pages: 207-241
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:specre:v:11:y:2009:i:3:p:207-241

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Related research
Keywords: Post-earnings announcement drift; Business cycle; Conditional analysis; Under-reaction; G14; G11; M41;

References listed on IDEAS
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  1. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March. [Downloadable!] (restricted)
  2. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  3. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March. [Downloadable!] (restricted)
    Other versions:
  4. Tarun Chordia & Lakshmanan Shivakumar, 2005. "Inflation Illusion and Post-Earnings-Announcement Drift," Journal of Accounting Research, Blackwell Publishing, vol. 43(4), pages 521-556, 09. [Downloadable!] (restricted)
  5. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103. [Downloadable!] (restricted)
  7. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June. [Downloadable!] (restricted)
    Other versions:
  8. Weimin Liu & Norman Strong & Xinzhong Xu, 2003. "Post-earnings-announcement Drift in the UK," European Financial Management, Blackwell Publishing Ltd, vol. 9(1), pages 89-116. [Downloadable!] (restricted)
  9. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December. [Downloadable!] (restricted)
  10. John M. Griffin & Xiuqing Ji & J. Spencer Martin, 2003. "Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole," Journal of Finance, American Finance Association, vol. 58(6), pages 2515-2547, December. [Downloadable!] (restricted)
  11. Richard R. Mendenhall, 2004. "Arbitrage Risk and Post-Earnings-Announcement Drift," Journal of Business, University of Chicago Press, vol. 77(4), pages 875-894, October. [Downloadable!]
  12. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January. [Downloadable!]
  13. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August. [Downloadable!] (restricted)
    Other versions:
  14. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November. [Downloadable!] (restricted)
  15. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March. [Downloadable!] (restricted)
  16. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October. [Downloadable!]
    Other versions:
  17. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, 08. [Downloadable!] (restricted)
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  18. Mitchell, Mark L & Stafford, Erik, 2000. "Managerial Decisions and Long-Term Stock Price Performance," Journal of Business, University of Chicago Press, vol. 73(3), pages 287-329, July. [Downloadable!] (restricted)
    Other versions:
  19. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September. [Downloadable!] (restricted)
  20. Chordia, Tarun & Shivakumar, Lakshmanan, 2006. "Earnings and price momentum," Journal of Financial Economics, Elsevier, vol. 80(3), pages 627-656, June. [Downloadable!] (restricted)
  21. Ball, Ray, 1992. "The earnings-price anomaly," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 319-345, August. [Downloadable!] (restricted)
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