Do institutional investors exploit the post-earnings announcement drift?

被引：158

作者：

Ke, B ^{[1
]}

Ramalingegowda, S ^{[1
]}

机构：

[1] Penn State Univ, Smeal Coll Business Adm, Dept Accounting, University Pk, PA 16802 USA

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 2005年 / 39卷 / 01期

关键词：

post-earnings announcement drift; institutional investors; market efficiency;

D O I：

10.1016/j.jacceco.2004.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide evidence that transient institutional investors (i.e., those actively trading to maximize short term profits) trade to exploit the post-earnings announcement drift (PEAD). We estimate that transient institutions' arbitrage generates an abnormal return of 5.1% (or 22% annualized) after transaction costs. In addition, their arbitrage trades accelerate the speed that stock prices reflect the implications of current earnings for future earnings. However, transient institutions trade less aggressively to exploit PEAD in firms with high transaction costs. Our results contribute to understanding the role of transient institutional investors in explaining the persistence of PEAD. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：25 / 53

页数：29

共 50 条

[41] Intra-Industry Information Transfers and the Post-Earnings Announcement Drift
Kovacs, Tunde
[J]. CONTEMPORARY ACCOUNTING RESEARCH, 2016, 33 (04) : 1549 - 1575
[42] Economic policy uncertainty, investor attention and post-earnings announcement drift
Du, Xiuli
Ao, Zhu
Chai, Yiwei
Ge, Shilong
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 87
[43] Volume, opinion divergence, and returns: A study of post-earnings announcement drift
Garfinkel, JA
Sokobin, J
[J]. JOURNAL OF ACCOUNTING RESEARCH, 2006, 44 (01) : 85 - 112
[44] Do XBRL filings enhance informational efficiency? Early evidence from post-earnings announcement drift
Efendi, Jap
Park, Jin Dong
Smith, L. Murphy
[J]. JOURNAL OF BUSINESS RESEARCH, 2014, 67 (06) : 1099 - 1105
[45] Exploiting Earnings Persistence to Better Measure Market Expectations in Detecting Post-Earnings Announcement Drift
Keskek, Sami
Rees, Lynn
[J]. JOURNAL OF FINANCIAL REPORTING, 2022, 7 (01): : 145 - 166
[46] Discussion of "Post-earnings announcement drift and market participants' information processing biases"
Thomas, JK
[J]. REVIEW OF ACCOUNTING STUDIES, 2003, 8 (2-3) : 347 - 353
[47] Information demand density matters: Evidence from the post-earnings announcement drift
Chu, Gang
Dowling, Michael
Shen, Dehua
Zhang, Yongjie
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 86
[48] Jump on the Post-Earnings Announcement Drift (vol 68, pg 63, 2012)
Zhou, Haigang
Zhu, John Qi
[J]. FINANCIAL ANALYSTS JOURNAL, 2012, 68 (06) : 9 - 9
[49] Post-Earnings Announcement Drift and Ownership Structure in the Modern Japanese Stock Market
Jinushi, Junko
[J]. JAPANESE ACCOUNTING REVIEW, 2023, 13 : 1 - 36
[50] Discussion of “Post-Earnings Announcement Drift and Market Participants' Information Processing Biases”
Jacob K. Thomas
[J]. Review of Accounting Studies, 2003, 8 : 347 - 353

← 1 2 3 4 5 →