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Post Earnings Announcement Drift, a Price Signal?

Messias, Julien - 2015

This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too...

Persistent link: https://www.econbiz.de/10013021921

Firm-Level Information Ambiguity and the Earnings Announcement Premium

Liu, Mengxi (Maggie) - 2018

We study the role of firm ambiguity on stock price reaction to earnings announcements. By using the firm's variance risk premium (VRP) prior to earnings news arrivals as a proxy for firm-level information ambiguity, we provide evidence that this “micro” form of ambiguity has a significant...

Persistent link: https://www.econbiz.de/10012913962

The Post Earnings Announcement Drift and Option Traders

Govindaraj, Suresh - 2013

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....

Persistent link: https://www.econbiz.de/10013090197

The Earnings Announcement Premium as Uncertainty Aversion : Theory and Evidence

Dicks, David L. - 2020

We argue the earnings announcement premium is a measure of firm-specific uncertainty aversion. Our stylized model shows earnings announcements, as pure news events, are priced only if investors are uncertainty averse; further, the earnings announcement return is negatively correlated to future...

Persistent link: https://www.econbiz.de/10012848502

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …

Persistent link: https://www.econbiz.de/10012907181

Book-to-Market Decomposition and the Accrual Anomaly

Chen, Yunhao - 2011

to shed further light on the debate of whether accruals and accrual anomaly are associated more with the risk … the accrual anomaly and the explaining power is mainly attributable to the risk/growth component. Our results also confirm … the advantage of BP decomposition. The explaining power of the accrual-return relation is significantly enhanced using …

Persistent link: https://www.econbiz.de/10013132004

Book-to-Market Decomposition and the Accrual Anomaly

Jiang, Xiaoquan - 2011

Persistent link: https://www.econbiz.de/10013132021

Capital Gains Taxes and the Market Response to Earnings Announcements

Clinch, Greg - 2018

We investigate the stock price and trading volume effects of differential capital gains taxes applied to short and long-term capital gains when firms disclose public information. We extend the theoretical framework developed in Shackelford and Verrechia (2002) linking differential CGT to price...

Persistent link: https://www.econbiz.de/10012933494

Measuring risk information

Smith, Kevin; So, Eric - 2020

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Persistent link: https://www.econbiz.de/10012244502

Earnings autocorrelation and the post-earnings-announcement drift : experimental evidence

Fink, Josef; Palan, Stefan; Theissen, Erik - 2020

Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and...

Persistent link: https://www.econbiz.de/10012309456