Rest in Peace Post-Earnings Announcement Drift
Keyword(s):
This paper revisits price formation following earnings announcements. In modern financial markets, stock prices fully reflect earnings surprises on the announcement date, leading to the disappearance of post-earnings announcement drifts (PEAD). For large stocks, PEAD have been non-existent since 2006 but has only disappeared recently for microcap stocks. PEAD remain a prevalent area of study in finance and accounting despite having largely disappeared. This paper concludes with a set of recommendations for researchers who conduct such studies to better assess the existence of PEAD and suggests future research avenues to examine price formation following earnings news.
2017 ◽
Vol 32
(4)
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pp. 536-560
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2018 ◽
Vol 53
(6)
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pp. 2587-2617
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1996 ◽
Vol 11
(4)
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pp. 535-564
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2015 ◽
Vol 18
(03)
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pp. 1550019
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2020 ◽
pp. 1-33
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