Post-earnings-announcement drift: delayed price response or risk premium?
Article Abstract:
Previous studies have determined that over a period of 60 to 180 days following an earnings announcement, the value of a company's stock drifts upward if the announcement was positive, or downward if the announcement was negative. This phenomenon, termed post-earnings-announcement drift, is generally explained by either a delay in the response to the earnings announcement or the failure to completely adjust abnormal returns for risk. A study sampling 84,792 firm-quarters of data for the New York Stock Exchange and the American Stock Exchange from 1974-86 and 15,457 firm-quarters for over-the-counter stocks on the NASDAQ was conducted to ascertain the cause of post-earnings drift. The evidence gathered during this study indicated delayed price response was a plausible explanation for post-earnings drift. A discussion of the post-earnings-announcement drift phenomenon by M. Laurentius Marais follows.
Publication Name: Journal of Accounting Research
Subject: Business
ISSN: 0021-8456
Year: 1989
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Cross-sectional dependence and problems in inference in market-based accounting research
Article Abstract:
The problems in inference that arise in stock return-based studies are examined for cases in which the data are cross-sectionally dependent. Difficulties in overcoming bias due to cross-sectional dependence of the data are discussed. Information about the degree of cross-correlation in market residuals is provided. A model is developed of the bias that exists in ordinary least squares (OLS) based estimates. Two studies of cross-sectional returns based on quarterly and annual data are examined. Standard errors based on OLS cross-sectional regressions may contain substantial bias.
Publication Name: Journal of Accounting Research
Subject: Business
ISSN: 0021-8456
Year: 1987
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Mark-to-market accounting for banks and thrifts: lessons from the Danish experience
Article Abstract:
The technique of mark-to-market value accounting as used by banks in Denmark is examined. Some would like to see US banks use this form of accounting instead of the cost accounting technique currently used.
Publication Name: Journal of Accounting Research
Subject: Business
ISSN: 0021-8456
Year: 1995
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