Learning the Post-Earnings Announcement Drift
UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Discipline Group
Research Seminars in Finance
Topic: Learning the Post-Earnings Announcement Drift
Speaker: Qiaoqiao Zhu, Australian National University
Abstract:
Many studies has been conducted and theories proposed about Post Earnings Announcement Drift (PEAD), yet PEAD has not disappeared. In practice, exploiting PEAD suffers from look-ahead bias. In this paper, we explore the effect of learning about market risk in the Post Earnings Announcement Drift. While learning has some empirical hypothesis that is not distinguishable from other (behavioral) explanations, it generates fresh empirical hypothesis such as aggregate risk is positively correlated with the drift, and mid-range earnings surprises of announcement firms have high impact on the drift of the announced firms. Our empirical results largely support the learning effect in the PEAD, therefore, PEAD is not likely to be completely eliminated even with dedicated arbitrage.
A light lunch will be provided at 1.00 p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 23rd May.
Date: Wednesday, 25th May 2016
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
Building 8
Dr Chau Chak Wing Building
Dr Chau Chak Wing Building
14 - 28 Ultimo Road, Ultimo
Co-ordinator: Marco Navone (Ph: +61 2 9514 9736)
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)
