Post loss/profit announcement drift

• 成果类型: Article
• 署名作者: Balakrishnan, Karthik; Bartov, Eli; Faurel, Lucile
• 署名单位: New York University; University of Pennsylvania; University of California System; University of California Irvine
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2009.12.002
• 发表日期: 2010
• 关键词: time-series properties; PRICES FULLY REFLECT; INVESTOR PSYCHOLOGY; stock-prices; CURRENT EARNINGS; COMMON-STOCKS; MARKET; INFORMATION; accruals; returns

摘要

We document a market failure to fully respond to loss/profit quarterly announcements. The annualized post portfolio formation return spread between two portfolios formed on extreme losses and extreme profits is approximately 21 percent. This loss/profit anomaly is incremental to previously documented accounting-related anomalies, and is robust to alternative risk adjustments, distress risk, firm size, short sales constraints, transaction costs, and sample periods. In an effort to explain this finding, we show that this mispricing is related to differences between conditional and unconditional probabilities of losses/profits, as if stock prices do not fully reflect conditional probabilities in a timely fashion. (C) 2009 Elsevier B.V. All rights reserved.