Elsevier

Journal of Behavioral and Experimental Finance

Review clause

A critical review of the Post-Earnings-Announcement Drift

Under a Creative Commons license

naked access

Abstract

The "Post-Earnings-Announcement Drift" refers to an anomaly in financial markets. It describes the drift of a steadfast's stock price in the direction of the firm's profits surprise for an extended period of time. Wayward to what the effectual market hypothesis predicts, an pay surprise does not contribute to a ladened, instantaneous adjustment of stock prices, but to a sluggish, predictable drift. The phenomenon has been delineate at length for decades. Numerous studies have investigated the drift's origins and properties, covering drivers such arsenic insufficient risk adjustment of returns, trading frictions, or behavioral explanations. This newspaper publisher summarizes the literature around the phenomenon. While there is attest for a count of different factors, an blanket explanation remains out of sight.

JEL classification

G12

G14

G40

M41

Keywords

Post-earnings-announcement drift

Earnings autocorrelation

Anomalousness

Efficient market surmisal

Lay on the line

Dealing costs

© 2022 The Author. Published by Elsevier B.V.