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The post-earnings-announcement drift is a longstanding anomaly that conflicts with market efficiency. This study documents that the post-earnings-announcement drift occurs mainly in highly illiquid stocks. A trading strategy that goes long high-earnings-surprise stocks and short...
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The post-earnings-announcement drift is a longstanding anomaly that conflicts with market efficiency. This study documents that the post-earnings-announcement drift occurs mainly in highly illiquid stocks. A trading strategy that goes long high-earnings-surprise stocks and short...
Persistent link: https://www.econbiz.de/10013134711
This working paper is the first draft of our co-authored publication, "An Empirical Evaluation of Accounting Income Numbers," Journal of Accounting Research 6, 1968, pp.159-78. While undated, it subsequently was presented at the November 1967 Seminar on the Analysis of Security Prices organized...
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