In this paper, we generalize Bernard and Thomas' (1990) "delayed response" hypothesis as an explanation of post-earnings-announcement drifts. By applying a modified version of Beveridge and Nelson's technique of decomposing a time-series process of earnings into permanent and temporary...

This article examines the relationship between aggregate earnings and returns (ERC) in a global context. We examine a broad international sample of countries which encompass markets with different levels of stock market development, shareholder protection and legal origin. Recent literature...