Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock

Review of Financial Studies 28, 1242-1283. 2015

52 Pages Posted: 24 May 2013 Last revised: 9 Jun 2015

See all articles by Mingyi Hung

Mingyi Hung

Hong Kong University of Science & Technology (HKUST)

Xi Li

University of Arkansas - Department of Finance

Shiheng Wang

Hong Kong University of Science & Technology (HKUST)

Date Written: March 1, 2014

Abstract

We investigate whether and how an exogenous and unprecedented improvement in the quality of non-U.S. firms’ financial reporting affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and the decrease is more pronounced among firms with fewer concurrent earnings announcements, higher institutional holdings, and lower limits-to-arbitrage, and in countries with stronger enforcement. In addition, the decrease in PEAD is primarily driven by firms with greater changes in financial reporting, and an increase in analyst forecast accuracy, institutional ownership, and liquidity. Taken together, these findings support the mispricing explanation of PEAD in an international setting.

Keywords: Post-Earnings-Announcement Drift, IFRS, Global

Suggested Citation

Hung, Mingyi and Li, Xi and Wang, Shiheng, Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock (March 1, 2014). Review of Financial Studies 28, 1242-1283. 2015. Available at SSRN: https://ssrn.com/abstract=2269909 or http://dx.doi.org/10.2139/ssrn.2269909

Mingyi Hung (Contact Author)

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Xi Li

University of Arkansas - Department of Finance ( email )

Fayetteville, AR 72701
United States

Shiheng Wang

Hong Kong University of Science & Technology (HKUST) ( email )

Clear Water Bay
Kowloon, 999999
Hong Kong
(852) 2358 7570 (Phone)
(852) 2358 1693 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
653
Abstract Views
2,450
rank
40,974
PlumX Metrics