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Post-earnings-announcement drift in global markets: Evidence from an information shock

Authors Hung, Ming Yi View this author's profile
Li, Xi View this author's profile
Wang, Shiheng View this author's profile
Issue Date 2015
Source Review of Financial Studies , v. 28, (4), 2015, p. 1242-1283
Summary We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in analyst forecast accuracy and institutional ownership, and a decrease in limits to arbitrage. These findings support the mispricing explanation of PEAD, in particular, the limited attention hypothesis, in an international setting.
ISSN 0893-9454
Language English
Format Article
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