Information Uncertainty and the Post-Earnings Announcement Drift in Europe

被引：9
作者：
Gerard, Xavier [1 ]
机构：
[1] Royal Bank Scotland, London, England
来源：
FINANCIAL ANALYSTS JOURNAL | 2012年 / 68卷 / 02期
关键词：
STOCK RETURNS; PREDICTIVE REGRESSIONS; FUTURE EARNINGS; VOLUME; RISK; EQUILIBRIUM; ARBITRAGE; SURPRISES; LIQUIDITY; PREMIUM;
D O I：
10.2469/faj.v68.n2.4
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Investigating the effect of earnings announcement abnormal return and of abnormal trading volume on future returns for a large sample of European companies with both annual and interim announcements over 1997-2010, the author found that the two measures of market surprise are positively related to future abnormal returns, especially when information uncertainty is high. These two effects also appear to be complementary in that each retains some incremental predictive power for future returns.
引用
收藏
页码：51 / 69
页数：19
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