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http://hdl.handle.net/2451/26969
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| Title: | Post-Announcement Drift |
| Authors: | Stephen J., Brown
Ross, Stephen A. |
| Issue Date: | 25-Feb-1997 |
| Series/Report no.: | FIN-96-019 |
| Abstract: | Brown, Goetzmann and Ross (1995) document that ex-post conditioning can
significantly bias empirical results based on observed rates of return.
These results have interesting implications for cross-sectional
cumulated excess return measures [CAR’s] that are commonly used in
the context of event studies (see Brown and Warner, 1981). Ball and
Brown [1968] note an upward drift in cumulated excess returns subsequent
to a positive earnings announcement surprise. Subsequent work by Foster
[1977] and Foster et al [1984] among others has documented that this
drift is related to size of the firm in question. The current state of
this literature is summarized in Ball [1992]. |
| URI: | http://hdl.handle.net/2451/26969 |
| Appears in Collections: | Finance Working Papers
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