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 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
wpa96019.pdf | 414.96 kB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.