This study examines whether the magnitude of post-earnings-announcement drift is related to the risk faced by arbitrageurs, who may view the anomaly as a trading opportunity. Consistent with this hypothesis, the magnitude of the drift is strongly related to the arbitrage risk measure developed...

We study the profitability of a strategy based on the earnings surprises. First, we attempt to identify variables, in addition to earnings surprise, that will improve our ability to predict post-earnings announcement returns. Second, we test a strategy based on the SUE effect using a...

This study examines transactions in stocks during the thirty trading days prior to earnings announcements. Using two methodologies, we find evidence of informed trading for initiators of large transactions (presumably institutions) but not for initiators of small transactions (presumably...

This paper addresses the issue of whether investors with acirc;not;SnaAtilde;macr;veacirc;not;? earnings expectations (i.e., earnings forecasts that are systematically less accurate than other publicly available predictions) have sufficient market power to affect common stock prices. The results...

Numerous articles over the past few decades have documented a consistent relationship between earnings surprises and subsequent stock price performance. [See, for example, Ball and Brown (1968), Rendleman, Jones, and Latane (1982), Foster, Olsen, and Shevlin (1984), and Bernard and Thomas...