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I propose a nested hypothesis test of competing mechanisms that explain return momentum and reversal using seemingly opposite biases: underreaction or delayed overreaction in investors' expectations of cash flows. Using analysts' forecasts as a proxy for these expectations, this study traces the...
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News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend...
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The Post-Earnings Announcement Drift (PEAD) anomaly refers to the tendency of stock prices to continue drifting in the same direction as earnings surprises well through the subsequent earnings announcements; ignoring the autocorrelations in extreme earnings surprises across adjacent quarters....
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Post-earnings announcement drift is stronger in firms that release earnings on days when market returns are higher in magnitude. This drift remains robust after controlling for previously documented factors such as Friday releases, the number of simultaneous releases, and price delay measure....
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We examine the role of investors' beliefs in determining the post earnings announcement drift (PEAD). Specifically, we propose a technique to estimate the belief parameters of the informed and uninformed investors, based on which we define the uninformed investors' information acceptance ratio...
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