Post-earnings announcement drift and market participants' information processing biases

• 成果类型: Article; Proceedings Paper
• 署名作者: Liang, L
• 署名单位: George Washington University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1023/A:1024477831740
• 发表日期: 2003
• 页码: 321-345
• 关键词: analysts information; FULLY REFLECT; stock-prices; underreaction; momentum; investor; determinants; overreaction; explanation; patterns

摘要

Prior research has been unable to explain the phenomenon known as post-earnings announcement drift, raising questions concerning the semi-strong form efficiency of the market typically assumed in capital market research. This study contributes to our understanding of this anomaly by examining drift in the context of theories that consider investors' non-Bayesian behaviors. The empirical evidence reveals that investors' overconfidence about their private information and the reliability of the earnings information are two important factors that explain drift. Finally, this study also provides insight into the puzzling relationship between dispersion and drift discussed in prior research.