The authors examined the potential profitability of a strategy that exploits the post-earnings announcement drifts contingent on jump dynamics identified in stock prices around earnings announcements. With long positions in positive-jump stocks and short positions in negative-jump stocks, their...

Applying the modulated power law process, a generalized model which is a compromise between a renewal process and a nonhomogeneous Poisson process, we find the presence of positive duration dependence in all samples, although the magnitudes vary from sample to sample. A goodness-of-fit test...

Applying the modulated power law process, a generalized model which is a compromise between a renewal process and a nonhomogeneous Poisson process, we find the presence of positive duration dependence in all samples, although the magnitudes vary from sample to sample. A goodness-of-fit test...