Title: Post-earnings-announcement drift and post-earnings-announcement news

Authors: Y.C. George Lin, Junming Hsu, Shiao-Tuan Tsai

Addresses: Department of Accounting and Information Technology, National Chung Cheng University, 168 University Road, Chai Yi, 621 Taiwan. ' Department of Finance, National Chung Hsing University, 250 Kuo Kuang Road, Taichung, 402 Taiwan. ' Department of Finance, National Chung Hsing University, 250 Kuo Kuang Road, Taichung, 402 Taiwan

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.

Keywords: post earnings announcement drift; PEAD; capital market efficiency; enterprise; cumulative abnormal returns; CARs; standardised unexpected earnings; portfolios.

DOI: 10.1504/IJMED.2008.016974

International Journal of Management and Enterprise Development, 2008 Vol.5 No.2, pp.225 - 250

Published online: 02 Feb 2008 *

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