Market uncertainty, market sentiment, and the post-earnings announcement drift

被引：16
作者：
Bird R. [1 ,2 ]
Choi D.F.S. [2 ]
Yeung D. [1 ]
机构：
[1] Paul Woolley Centre for the Study of Capital Market Dysfunctionality, University of Technology Sydney, Sydney
[2] Waikato Management School, The University of Waikato, Hamilton
来源：
Review of Quantitative Finance and Accounting | 2014年 / 43卷 / 1期
关键词：
Anomalies; Post-earrings announcement drift; Sentiment; Uncertainty;
D O I：
10.1007/s11156-013-0364-x
中图分类号：
学科分类号：
摘要：
Post-earnings announcement drift (PEAD) which was first identified over 40 years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection of the level of market uncertainty and sentiment that prevails during the post-announcement period. The overriding conclusion from our analysis is that both uncertainty and sentiment play a central role in determining investor behaviour and it is this behaviour that ultimately determines the pricing that is observed in financial markets. © 2013 Springer Science+Business Media New York.
引用
收藏
页码：45 / 73
页数：28
相关论文
共 45 条
[1]  
Akhtar S., Faff R., Oliver B., Subrahmanyam A., The power of bad: the negativity bias in Australian consumer sentiment announcements on stock returns, J Bank Financ, 35, pp. 1239-1249, (2011)
[2]  
Akhtar S., Faff R., Oliver B., Subrahmanyam A., Decomposing the effect of consumer sentiment news-evidence from US stock and stock index futures markets, (2012)
[3]  
Ali A., Chen X., Yu T., Profiting from the post earnings announcement: Mutual fund trades, market frictions, and market efficiency, (2008)
[4]  
Anderson K., Harris J., So E., Opinion divergence and post-earnings announcement drift, (2007)
[5]  
Anderson E.W., Ghysels E., Juergens J.L., The impact of risk and uncertainty on expected returns, J Financ Econ, 94, 2, pp. 233-263, (2009)
[6]  
Angelini P., Guazzarotti G., Information uncertainty and the reaction of stock prices to news, (2010)
[7]  
Baker M., Wurgler J., Investor sentiment and the cross section of stock returns, J Financ, 61, pp. 1645-1680, (2006)
[8]  
Baker M., Wurgler J., Investor sentiment in the stock market, J Econ Perspect, 21, 2, pp. 129-151, (2007)
[9]  
Ball R., Anomalies in relationships between securities' yield and yield-surrogates, J Financ Econ, 6, pp. 103-125, (1978)
[10]  
Ball R., Brown P., An empirical evaluation of accounting income numbers, J Account Res, 6, pp. 159-177, (1968)
12345