Are There (Still) Post-Earnings Announcement Drifts?

56 Pages Posted: 6 Feb 2018 Last revised: 27 Mar 2021

See all articles by Charles Martineau

Charles Martineau

University of Toronto - Rotman School of Management and UTSC Management

Date Written: March 27, 2021

Abstract

This paper revisits price formation following earnings announcements. In modern financial markets, stock prices fully reflect earnings surprises on the announcement date, leading to the disappearance of post-earnings announcement drifts (PEAD). For large stocks, PEAD have been non-existent since 2006 but has only disappeared recently for microcap stocks. PEAD remain a prevalent area of study in finance and accounting despite having largely disappeared. This paper concludes with a set of recommendations for researchers who conduct such studies to better assess the existence of PEAD and suggests future research avenues to examine price formation following earnings news.

Keywords: earnings announcements, market efficiency, price discovery, price informativeness

JEL Classification: G10, G12, G14

Suggested Citation

Martineau, Charles, Are There (Still) Post-Earnings Announcement Drifts? (March 27, 2021). Available at SSRN: https://ssrn.com/abstract=3111607 or http://dx.doi.org/10.2139/ssrn.3111607

Charles Martineau (Contact Author)

University of Toronto - Rotman School of Management and UTSC Management ( email )

105 St-George
Toronto, Ontario M5S3E6
Canada

HOME PAGE: http://charlesmartineau.com

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
636
Abstract Views
2,770
rank
51,472
PlumX Metrics