Intra-Industry Information Transfers and the Post-Earnings Announcement Drift

• 成果类型: Article
• 署名作者: Kovacs, Tunde
• 署名单位: University of Massachusetts System; University of Massachusetts Lowell
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12210
• 发表日期: 2016
• 页码: 1549-1575
• 关键词: stock-prices; UNEXPECTED EARNINGS; empirical-analysis; FUTURE EARNINGS; FULLY REFLECT; industry; forecasts; analysts; investor; MARKET

摘要

This study examines the role of intra-industry information transfers in the analyst forecast-based post-earnings announcement drift. I find that subsequent same-industry-peer earnings announcements influence a firm's post-earnings announcement drift if these subsequent announcements confirm the firm's initial earnings surprise and the firm's industry exhibits ex ante positive (common effect) intra-industry information transfers. The results suggest that underreaction to industry-specific information contributes to analyst forecast-based post-earnings announcement drift.