Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock
Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock
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DOI：
10.2139/ssrn.2269909
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发表时间：
2014-03
期刊：
影响因子：
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通讯作者：
Mingyi Hung;Xi Li;Shiheng Wang
中科院分区：
文献类型：
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作者：
Mingyi Hung;Xi Li;Shiheng Wang
我们调查了非美国公司财务报告质量的外生性和史无前例的改善是否以及如何影响盈利公告后漂移(PEAD)。我们发现，在信息冲击之后，PEAD下降，这种下降在同时发布收益公告较少、机构持股较多、套利限制较低的公司更为明显。此外，PEAD的下降是由财务报告变化较大的公司、分析师预测准确性和机构所有权的增加以及套利限制的减少推动的。这些发现支持在国际背景下对PEAD的错误定价解释，特别是有限注意力假说。
We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms’ financial reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in analyst forecast accuracy and institutional ownership, and a decrease in limits to arbitrage. These findings support the mispricing explanation of PEAD, in particular the limited attention hypothesis, in an international setting.