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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27572
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| Title: | Post-Earnings-Announcement Drift: The Role of Revenue Surprises and
Earnings Persistence |
| Authors: | Livnat, Joshua |
| Issue Date: | 12-Jun-2003 |
| Series/Report no.: | Joshua Livnat-01 |
| Abstract: | This study explores an additional factor that is associated with
differential levels of the post-earnings-announcement drift (henceforth
drift)—the contemporaneous surprise in revenues. Consistent with
prior evidence about greater persistence of revenues and greater noise
caused by heterogeneity of expenses, this study shows that the earnings
drift is stronger when the revenue surprise is in the same direction as
the earnings surprise. Moreover, the study provides direct evidence that
the drift is stronger when the earnings persistence is greater. The
results are robust to various controls, including the proportions of
stock held by institutional investors, trading liquidity, and arbitrage risk. |
| URI: | http://hdl.handle.net/2451/27572 |
| Appears in Collections: | Accounting Working Papers
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