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
Date Written: October 3, 2011
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: Suggested Citation