Do Funds Follow Post-Earnings Announcement Drift?
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
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
Date posted: April 9, 2010 ; Last revised: July 29, 2012