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Post-earnings-announcement-drift and 52-week high: Evidence from Korea

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  • Goh, Jihoon
  • Jeon, Byoung-Hyun

Abstract

Post-earnings-announcement drift (PEAD) is frequently discovered in numerous countries including Korea. We attempt to explain PEAD in the Korean market using anchoring bias. Investors interpret impact of earnings news based on a stock's nearness to 52-week high, and hence underreact to positive earnings news if the stock price is near its peak. We find that among positive earnings stocks, PEAD is pronounced when they are near 52-week highs. Furthermore, excessive optimism in analyst forecasts is larger among stocks far from 52-week highs. Lastly, individual investors' buying pressure around earnings announcement is concentrated on stocks far from 52-week highs.

Suggested Citation

  • Goh, Jihoon & Jeon, Byoung-Hyun, 2017. "Post-earnings-announcement-drift and 52-week high: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 150-159.
    • Handle: RePEc:eee:pacfin:v:44:y:2017:i:c:p:150-159
    DOI: 10.1016/j.pacfin.2017.06.008
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    Cited by:

    1. Fargher, Neil & Wee, Marvin, 2019. "The impact of Ball and Brown (1968) on generations of research," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 55-72.
    2. Shin, Heejeong & Park, Sorah, 2018. "Do foreign investors mitigate anchoring bias in stock market? Evidence based on post-earnings announcement drift," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 224-240.
    3. Chen, Xing & Diao, Xundi & Wu, Chongfeng, 2022. "Heterogeneous investor attention and post earnings announcement drift: Evidence from China," Economic Modelling, Elsevier, vol. 110(C).
    4. 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.
    5. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    6. Mustafa K. Yılmaz & Mine Aksoy & Tankut T. Çelik, 2020. "Market reaction to regulatory policy changes in financial statements filings: evidence from Turkey," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 567-605, December.
    7. Neszveda, Gábor & Csillag, Balázs, 2022. "Gyorsjelentés - lassú árfolyam? A gyorsjelentés utáni árfolyamsodródás vizsgálata a magyar részvénypiacon [Post-earnings announcement drift on the Hungarian stock market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 801-824.

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    More about this item

    Keywords

    Post-earnings-announcement-drift; Anchoring bias; Nearness to 52-week high;
    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

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