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A review of the Post-Earnings-Announcement Drift

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  • Fink, Josef

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.

Suggested Citation

  • Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    • Handle: RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303750
    DOI: 10.1016/j.jbef.2020.100446
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    More about this item

    Keywords

    Post-earnings-announcement drift; Earnings autocorrelation; Anomaly; Efficient market hypothesis; Risk; Transaction costs;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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