Asymmetric Post Earnings Announcement Drift and Order Flow Imbalance : The Impact on Stock Returns Of Uk Market

We conduct an event study around the earning announcement to examine the asymmetric post earnings announcement drift, and its relationship with the order follow imbalance on post earnings announcement period. The earning drift is significantly asymmetric, stocks with good news have less drift, and it is related with the order flow imbalance during the event period. The earning announcement attracts more sell than buy orders and an overall negative reaction in the market. The difference between transaction price return and quote price returns shows that the bid-ask bias is also an explanation of post earnings announcement drift