NG, JEFFREY; RUSTICUS, TJOMME O.; VERDI, RODRIGO S. - In: Journal of Accounting Research 46 (2008) 3, pp. 661-696
<heading id="h1" level="1" implicit="yes" format="display">ABSTRACT</heading>This paper examines the effect of transaction costs on the post-earnings announcement drift (PEAD). Using standard market microstructure features we show that transaction costs constrain the informed trades that are necessary to incorporate earnings information into price. This implies...
