Abstract

  


 



Do Funds Follow Post-Earnings Announcement Drift?


Ali Coskun


Bogazici University - Department of Management

Umit G. Gurun


University of Texas at Dallas - Naveen Jindal School of Management
October 3, 2011

Journal of Derivatives & Hedge Funds (2012) 18, 236–253. doi:10.1057/jdhf.2012.11

Abstract:     
We show that actively managed U.S. hedge funds, on average, trade on the post-earnings announcement drift anomaly more aggressively than mutual funds. Both mutual and hedge funds that actively trade on drift anomaly face higher arbitrage risk. However arbitrage risk reduces mutual funds' willingness to buy high-SUE stocks with high return volatility, but not hedge funds’.

Keywords: Post Earnings Announcement Drift, Arbitrage Risk

JEL Classification: G14, G29, M41

Accepted Paper Series


Date posted: April 9, 2010 ; Last revised: July 29, 2012

Suggested Citation

Coskun, Ali and Gurun, Umit G., Do Funds Follow Post-Earnings Announcement Drift? (October 3, 2011). Journal of Derivatives & Hedge Funds (2012) 18, 236–253. doi:10.1057/jdhf.2012.11. Available at SSRN: http://ssrn.com/abstract=1584693 or http://dx.doi.org/10.2139/ssrn.1584693

Contact Information

Ali Coskun
Bogazici University - Department of Management ( email )
Bebek
Istanbul, 34342
Turkey
+90 212 359 7581 (Phone)
+90 212 287 7851 (Fax)
Umit G. Gurun (Contact Author)
University of Texas at Dallas - Naveen Jindal School of Management ( email )
P.O. Box 830688
Richardson, TX 75083-0688
United States
Feedback to SSRN (Beta)


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