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Post loss/profit announcement drift

Citations

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Cited by:

  1. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
  2. XiaoHua Chen & Edna Solomon & Thanos Verousis, 2016. "Asymmetric Post-Announcement Drift to Good and Bad News: Evidence from Voluntary Trading Disclosures in the Chinese Stock Market," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 23(2), pages 183-198, July.
  3. Kent Daniel & David Hirshleifer & Lin Sun, 2020. "Short- and Long-Horizon Behavioral Factors," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1673-1736.
  4. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  5. Hui, Kai Wai & Nelson, Karen K. & Yeung, P. Eric, 2016. "On the persistence and pricing of industry-wide and firm-specific earnings, cash flows, and accruals," Journal of Accounting and Economics, Elsevier, vol. 61(1), pages 185-202.
  6. Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  7. R. Jared DeLisle & Mengying Wang & H. Zafer Yüksel & Gulnara R. Zaynutdinova, 2024. "The effects of import competition on domestic financial markets: The role of limits-to-arbitrage," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 55(2), pages 212-234, March.
  8. Olivier Ledoit & Michael Wolf & Zhao Zhao, 2016. "Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies," ECON - Working Papers 238, Department of Economics - University of Zurich, revised May 2018.
  9. Weichuan Deng & Pawel Polak & Abolfazl Safikhani & Ronakdilip Shah, 2023. "A Unified Framework for Fast Large-Scale Portfolio Optimization," Papers 2303.12751, arXiv.org, revised Nov 2023.
  10. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
  11. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  12. Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
  13. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  14. Fuwei Jiang & Fujing Jin & Kejia Zhang, 2023. "Financial openness and profitability premium: Causal evidence from the Shanghai‐Hong Kong Stock Connect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 451-483, March.
  15. David Hirshleifer & Sonya S. Lim & Siew Hong Teoh, 2011. "Limited Investor Attention and Stock Market Misreactions to Accounting Information," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 35-73.
  16. Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
  17. Choy, Siu Kai & Lewis, Craig & Tan, Yongxian, 2023. "Can the changes in fundamentals explain the attenuation of anomalies?," Journal of Financial Economics, Elsevier, vol. 149(2), pages 142-160.
  18. Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
  19. Mazouz, Khelifa & Wu, Yuliang, 2022. "Why do firm fundamentals predict returns? Evidence from short selling activity," International Review of Financial Analysis, Elsevier, vol. 79(C).
  20. Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2019. "Which Factors?," Review of Finance, European Finance Association, vol. 23(1), pages 1-35.
  21. Dan S. Dhaliwal & Steven E. Kaplan & Rick C. Laux & Eric Weisbrod, 2013. "The Information Content of Tax Expense for Firms Reporting Losses," Journal of Accounting Research, Wiley Blackwell, vol. 51(1), pages 135-164, March.
  22. Peng-Chia Chiu & Timothy D. Haight, 2020. "Investor learning, earnings signals, and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 671-698, February.
  23. Pavlopoulos, Athanasios & Magnis, Chris & Iatridis, George Emmanuel, 2019. "Integrated reporting: An accounting disclosure tool for high quality financial reporting," Research in International Business and Finance, Elsevier, vol. 49(C), pages 13-40.
  24. Luyang Chen & Markus Pelger & Jason Zhu, 2019. "Deep Learning in Asset Pricing," Papers 1904.00745, arXiv.org, revised Aug 2021.
  25. Bin Li, 2021. "Separating Information About Cash Flows from Information About Risk in Losses," Management Science, INFORMS, vol. 67(6), pages 3570-3595, June.
  26. Even-Tov, Omri, 2017. "When does the bond price reaction to earnings announcements predict future stock returns?," Journal of Accounting and Economics, Elsevier, vol. 64(1), pages 167-182.
  27. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
  28. Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016. "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, vol. 27(C), pages 102-131.
  29. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
  30. Nettayanun, Sampan, 2023. "Asset pricing in bull and bear markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
  31. Wu, Yuliang & Mazouz, Khelifa, 2016. "Long-term industry reversals," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 236-250.
  32. Josef Fink, 2020. "A Review of the Post-Earnings-Announcement Drift," Working Paper Series, Social and Economic Sciences 2020-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  33. Hai Wu, 2017. "Probability of loss reversal in Australia," Australian Journal of Management, Australian School of Business, vol. 42(4), pages 560-582, November.
  34. Panos N. Patatoukas & Richard G. Sloan & Annika Yu Wang, 2022. "Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket," Management Science, INFORMS, vol. 68(1), pages 608-634, January.
  35. Birru, Justin, 2018. "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, vol. 130(1), pages 182-214.
  36. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  37. Tran, Vu Le, 2023. "Sentiment and covariance characteristics," International Review of Financial Analysis, Elsevier, vol. 86(C).
  38. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
  39. Luminita Enache & Hila Fogel‐Yaari & Heather Li, 2022. "Signalling long‐term focus through textual emphasis on innovation: are firms putting their money where their mouth is?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(3), pages 3791-3836, September.
  40. De Nard, Gianluca & Zhao, Zhao, 2022. "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 654-676.
  41. Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
  42. Chakrabarty, Bidisha & Moulton, Pamela C., 2012. "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, vol. 53(3), pages 612-634.
  43. Hediger, Simon & Michel, Loris & Näf, Jeffrey, 2022. "On the use of random forest for two-sample testing," Computational Statistics & Data Analysis, Elsevier, vol. 170(C).
  44. Edith Leung & David Veenman, 2018. "Non‐GAAP Earnings Disclosure in Loss Firms," Journal of Accounting Research, Wiley Blackwell, vol. 56(4), pages 1083-1137, September.
  45. Andrew Y. Chen & Tom Zimmermann, 2022. "Open Source Cross-Sectional Asset Pricing," Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
  46. Jiaju Miao & Pawel Polak, 2023. "Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy," Papers 2304.09947, arXiv.org.
  47. Ilan Cooper & Paulo Maio, 2019. "Asset Growth, Profitability, and Investment Opportunities," Management Science, INFORMS, vol. 65(9), pages 3988-4010, September.
  48. Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
  49. Marek Sojka, 2021. "PEAD na polskim rynku akcji," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 143-166.
  50. Gianluca De Nard & Simon Hediger & Markus Leippold, 2022. "Subsampled factor models for asset pricing: The rise of Vasa," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1217-1247, September.
  51. Joseph Engelberg & Linh Thompson & Jared Williams, 2020. "Stock market anomalies and baseball cards," The Financial Review, Eastern Finance Association, vol. 55(3), pages 461-479, August.
  52. Diaz-Ruiz, Polux & Herrerias, Renata & Vasquez, Aurelio, 2020. "Anomalies in emerging markets: The case of Mexico," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  53. Balakrishnan, Karthik & Shivakumar, Lakshmanan & Taori, Peeyush, 2021. "Analysts’ estimates of the cost of equity capital," Journal of Accounting and Economics, Elsevier, vol. 71(2).
  54. Krauss, Christopher & Beerstecher, Daniel & Krüger, Tom, 2015. "Feasible earnings momentum in the U.S. stock market: An investor's perspective," FAU Discussion Papers in Economics 12/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  55. Yu-Chin Hsu & Hsiou-Wei Lin & Kendro Vincent, 2017. "Do Cross-Sectional Stock Return Predictors Pass the Test without Data-Snooping Bias?," IEAS Working Paper : academic research 17-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  56. Asad Kausar, 2018. "Post-Earnings-Announcement Drift and the Return Predictability of Earnings Levels: One Effect or Two?," Management Science, INFORMS, vol. 64(10), pages 4877-4892, October.
  57. Schnaubelt, Matthias & Seifert, Oleg, 2020. "Valuation ratios, surprises, uncertainty or sentiment: How does financial machine learning predict returns from earnings announcements?," FAU Discussion Papers in Economics 04/2020, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  58. Martineau, Charles, 2021. "Rest in Peace Post-Earnings Announcement Drift," SocArXiv z7k3p, Center for Open Science.
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