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作者：Ke, B; Ramalingegowda, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We provide evidence that transient institutional investors (i.e., those actively trading to maximize short term profits) trade to exploit the post-earnings announcement drift (PEAD). We estimate that transient institutions' arbitrage generates an abnormal return of 5.1% (or 22% annualized) after transaction costs. In addition, their arbitrage trades accelerate the speed that stock prices reflect the implications of current earnings for future earnings. However, transient institutions trade les...
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作者：Chen, Q; Francis, J; Jiang, W
作者单位：Duke University; Columbia University
摘要：Bayesian learning implies decreasing weights on prior beliefs and increasing weights on the accuracy of the analyst's past forecast record, as the number of forecast errors comprising her forecast record (its length) increases. Consistent with this model of investor learning, empirical tests show that investors' reactions to forecast news are increasing in the product of the accuracy and length of analysts' forecast records. Moreover, the Bayesian learning predicted by our model is more descri...
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作者：Kothari, SP; Leone, AJ; Wasley, CE
作者单位：Massachusetts Institute of Technology (MIT); University of Rochester
摘要：We examine the specification and power of tests based on performance-matched discretionary accruals, and make comparisons with tests using traditional discretionary accrual measures (e.g., Jones and modified-Jones models). Performance matching on return on assets controls for the effect of performance on measured discretionary accruals. The results suggest that performance-matched discretionary accrual measures enhance the reliability of inferences from earnings management research when the hy...
