Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Stephen J., Brown | - |
dc.contributor.author | Ross, Stephen A. | - |
dc.date.accessioned | 2008-05-29T14:42:43Z | - |
dc.date.available | 2008-05-29T14:42:43Z | - |
dc.date.issued | 1997-02-25 | - |
dc.identifier.uri | http://hdl.handle.net/2451/26969 | - |
dc.description.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]. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-96-019 | en |
dc.title | Post-Announcement Drift | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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wpa96019.pdf | 414.96 kB | Adobe PDF | View/Open |
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