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|Title: ||Post-Earnings Announcement Drift?|
|Authors: ||Brown, Stephen J.|
Pope, Peter F.
|Keywords: ||post-announcement drift|
|Issue Date: ||Feb-1996 |
|Series/Report no.: ||FIN-95-015|
|Abstract: ||The predictability of abnormal returns based on information contained in
past earnings announcements is an anomaly that is statistically and
economically significant. Neither is it illusory, nor is it an artifact
of the experimental design. It may be a result of market inefficiency.
Our results cannot rule out this explanation. However, we find that
earnings change numbers are associated with the probability that firms
leave the sample through acquisition, bankruptcy or for other reasons,
or are not included in the sample in the first place. Moreover, we find
that the magnitude of the post-earnings announcement effect is
correlated with factors that proxy for the ex ante probability of the
firm surviving to be part of the earnings surprise sample. It also
appears to be related to determinants of the bid-ask spread.|
|Appears in Collections:||Finance Working Papers|
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