Earnings Autocorrelation and the Post-Earnings-Announcement Drift: Experimental Evidence

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-07-24 DOI:10.1017/s0022109023000881

Josef Fink, Stefan Palan, Erik Theissen

引用次数: 0

Abstract

Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of the experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and correlated earnings surprises, confirming that earnings autocorrelation is not a necessary condition for PEAD. Instead, it acts as an accelerator: PEAD is stronger when earnings surprises are correlated. We further show that market prices underadjust to fundamental value changes, and that trading strategies can profitably exploit the PEAD.

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盈余自相关与盈余公告后漂移:实验证据

收益公告后漂移(PEAD)是最可靠的资产定价异常之一。我们使用实验室的控制条件来研究盈余自相关是否是这种异常的驱动原因。我们在不相关和相关盈余意外的情况下观察到PEAD，证实盈余自相关不是PEAD的必要条件。相反，它起到了加速器的作用:当盈利意外相关联时，PEAD会更强。我们进一步表明，市场价格对基本价值变化的调整不足，交易策略可以利用PEAD获利。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.