Post-earnings-announcement drift and post-earnings-announcement news
by Y.C. George Lin, Junming Hsu, Shiao-Tuan Tsai
International Journal of Management and Enterprise Development (IJMED), Vol. 5, No. 2, 2008

Abstract: This study investigates the impacts of five types of firm-specific news events on the Post-Earnings-Announcement Drift (PEAD). The results show that about one third of the Cumulative Abnormal Returns (CARs) for the extremely positive Standardised Unexpected Earning (SUE) portfolio sources from ex post firm-specific news events. It indicates that the magnitude of the 'pure' PEAD is not so pronounced as that documented in previous studies.

Online publication date: Sat, 02-Feb-2008

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