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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  note an upward drift in cumulated excess returns subsequent
to a positive earnings announcement surprise. Subsequent work by Foster
 and Foster et al  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 .|
|Appears in Collections:||Finance Working Papers|
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