Does Post-Earnings-Announcement Drift in Stock Prices Reflect a Market Inefficiency? A Stochastic Dominance Approach
This paper uses a stochastic dominance approach to test for market efficiency following earnings announcements. We find that the stocks that recently announced good earnings news stochastically dominate those that recently announced bad news. The results cast serious doubt on any belief that asset pricing model misspecifications might explain post-earnings-announcement drift. Copyright 1997 by Kluwer Academic Publishers
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Volume (Year): 9 (1997)
Issue (Month): 1 (July)
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