Liquidity and the post-earnings-announcement drift

Financial Analysts Journal

Volumn 65, Issue 4, 2009, Pages 18-32

  Chordia, Tarun ^a   Goyal, Amit ^a   Sadka, Gil ^b   Sadka, Ronnie ^c   Shivakumar, Lakshmanan ^a  

^a EMORY UNIVERSITY   (United States)

^b The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^c LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 69049086665     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v65.n4.3     Document Type: Article

References (43)

1. Amihud, Y. 2002. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Financial Markets, vol.5, no.1 (January):31-56.
2. Avramov, D., T. Chordia, and A. Goyal. 2006. "Liquidity and Autocorrelations in Individual Stock Returns." Journal of Finance, vol.61, no.5 (October):2365-2394.
3. Ball, R., and E. Bartov. 1996. "How Naive Is the Stock Market's Use of Earning Information?" Journal of Accounting and Economics, vol.21, no.3 (June):319-337.
4. Ball, R., and P. Brown. 1968. "An Empirical Evaluation of Accounting Income Numbers." Journal of Accounting Research, vol.6, no.2 (Autumn):159-178.
5. Ball, R., S.P. Kothari, and J. Shanken. 1995. "Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies." Journal of Financial Economics, vol.38, no.1 (May):79-107.
6. Bartov, E., S. Radhakrishnan, and I. Krinsky. 2005. "Investor Sophistication and Patterns in Stock Returns after Earnings Announcements." Accounting Review, vol.75, no.1 (January): 289-319.
7. Battalio, R., and R. Mendenhall. 2007. "Post-Earnings Announcement Drift: Intra-Day Timing and Liquidity Costs." Working paper, University of Notre Dame.
8. Bernard, V.L., and J.K. Thomas. 1989. "Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?" Journal of Accounting Research, vol.27, no.1 (Supplement):l-36.
9. 1990. "Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings." Journal of Accounting and Economics, vol.13, no.4 (December): 305-340.
10. Bhushan, R. 1994. "An Informational Efficiency Perspective on the Post-Earnings Announcement Drift." Journal of Accounting and Economics, vol.18, no.1 (July):45-65.
11. Brav, A., and J.B. Heaton. 2006. "The Limits of the Limits of Arbitrage." Working paper, Duke University.
12. Brennan, M., T. Chordia, and A. Subrahmanyam. 1998. "Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns." Journal of Financial Economics, vol.49, no.3 (September):345-373.
13. Chen, Z., W. Stanzl, and M. Watanabe. 2004. "Price Impact Costs and the Limit of Arbitrage." Working paper, Yale School of Management.
14. Chordia, T., and L. Shivakumar. 2006. "Earnings and Price Momentum." Journal of Financial Economics, vol.80, no.3 (June):627-656.
15. Chordia, T., R. Roll, and A. Subrahmanyam. 2001. "Market Liquidity and Trading Activity." Journal of Finance, vol.56, no.2 (April):501-530.
16. Cohen, L., K. Diether, and C. Malloy. 2007. "Supply and Demand Shifts in the Shorting Market." Journal of Finance, vol.62, no.5 (October):2061-2096.
17. Cooper, M., R.C, Gutierrez, and W. Marcum. 2005. "On the Predictability of Stock Returns in Real Time." Journal of Business, vol.78, no.2 (March):469-499.
18. Daniel, K., and S. Titman. 1997. "Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns." Journal of Finance, vol.52, no.1 (March):l-33.
19. D'avalio, G. 2002. "The Market for Borrowing Stock." Journal of Financial Economics, vol.66, no.2-3 (November-December):271-306.
20. Fama, E.F. 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work." Journal of Finance, vol.25, no.2 (May):383-417.
21. 1998. "Market Efficiency, Long-Term Returns, and Behavioral Finance." Journal of Financial Economics, vol. 49, no. 3 (September):283-306.
22. Fama, E.F., and K.R. French. 1992. "The Cross-Section of Expected Stock Returns." Journal of Finance, vol. 47, no. 2 (June):427-465.
23. 1993. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, vol. 33, no. 1 (February):3-56.
24. Fama, E.F., and J.D. MacBeth. 1973. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, vol. 81, no. 3 (May-June):607-636.
25. Foster, G., C. Olsen, and T.J. Shevlin. 1984. "Earnings Releases, Anomalies, and the Behavior of Security Returns." Accounting Review, vol. 59, no. 4 (October):574-603.
26. Hanna, D., and M. Ready. 2005. "Profitable Predictability in the Cross-Section of Stock Returns." Journal of Financial Economics, vol. 78, no. 3 (December):463-506.
27. Hasbrouck, J. 2003. "Trading Costs and Returns for U.S. Equities: The Evidence from Daily Data." Working paper, New York University.
28. Haugen, R., and N. Baker. 1996. "Commonality in the Determinants of Expected Stock Returns." Journal of Financial Economics, vol. 41, no. 3 (July):401-440.
29. Hayn, C. 1995. "The Information Content of Losses." Journal of Accounting and Economics, vol. 20, no. 2 (September):125-154.
30. Hou, K., and T. Moskowitz. 2005. "Market Frictions, Price Delay, and the Cross-Section of Expected Returns." Review of Financial Studies, vol. 18, no. 3 (Fall):981-1020.
31. Jegadeesh, N., and S. Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, vol. 48, no. 1 (March):65-91.
32. Jensen, M. 1978. "Some Anomalous Evidence Regarding Market Efficiency." Journal of Financial Economics, vol. 6, no. 2-3 (June-September):95-101.
33. Keim, D., and A. Madhavan. 1997. "Transaction Costs and Investment Style: An Interexchange Analysis of Institutional Equity Trades." Journal of Financial Economics, vol. 46, no. 3 (December):265-292.
34. Korajczyk, R., and R. Sadka. 2004. "Are Momentum Profits Robust to Trading Costs?" Journal of Finance, vol. 59, no. 3 (June):1039-1082.
35. Liu, W. 2006. "A Liquidity-Augmented Capital Asset Pricing Model." Journal of Financial Economics, vol. 82, no. 3 (December): 631-671.
36. Lo, A.W., and C. MacKinlay, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?" Review of Financial Studies, vol. 3, no. 2 (Summer):175-205.
37. Mendenhall, R. 2004. "Arbitrage Risk and the Post-Earnings- Announcement Drift." Journal of Business, vol. 77, no. 6 (November):875-894.
38. Ng, J., T. Rusticus, and R. Verdi. 2008. "Implications of Transaction Costs for the Post-Earnings Announcement Drift." Journal of Accounting Research, vol. 46, no. 3 (June):661-696.
39. Pastor, L., and R.F. Stambaugh. 2003. "Liquidity Risk and Expected Stock Returns." Journal of Political Economy, vol. 111, no. 3 (June):642-685.
40. Rubinstein, M. 2001. "Rational Markets: Yes or No? The Affirmative Case." Financial Analysts Journal, vol. 57, no. 3 (May/June):15-29.
41. Sadka, R. 2006. "Momentum and PEAD Anomalies: The Role of Liquidity Risk." Journal of Financial Economics, vol. 80, no. 2 (May):309-349.
42. Schwert, G.W. 2003. "Anomalies and Market Efficiency." In Handbook of the Economics of Finance: Financial Markets and Asset Pricing, Volume 1B. Edited by G.M. Constantinides, M. Harris, R.M. Stulz. Amsterdam, Netherlands: North-Holland.
43. Shanken, J. 1992. "On the Estimation of Beta-Pricing Models." Review of Financial Studies, vol. 5, no. 1:1-33.