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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27222
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| Title: | "Post-Earnings Announcement Drift: Market Inefficiency or Research
Design Biases?" |
| Authors: | Brown, Stephen J.
Pope, Peter F. |
| Issue Date: | Oct-1995 |
| Series/Report no.: | FIN-94-022 |
| Abstract: | The predictability of abnormal returns based on information contained in
past earnings announcements is a statistically and economically
significant anomaly. 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 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, and with determinants of the
bid-ask spread. |
| URI: | http://hdl.handle.net/2451/27222 |
| Appears in Collections: | Finance Working Papers
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