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Do Funds Follow Post-Earnings Announcement Drift?

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

Posted: 9 Apr 2010 Last revised: 29 Jul 2012

Ali Coskun

Bogazici University - Department of Management

Umit G. Gurun

University of Texas at Dallas

Date Written: October 3, 2011

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

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: https://ssrn.com/abstract=1584693 or http://dx.doi.org/10.2139/ssrn.1584693

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 ( email )

2601 North Floyd Road
Richardson, TX 75083
United States

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