Post loss/profit announcement drift

Journal of Accounting and Economics

Volumn 50, Issue 1, 2010, Pages 20-41

  Balakrishnan, Karthik ^a   Bartov, Eli ^b   Faurel, Lucile ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Accounting losses profits; Earnings based anomalies; Loss profit mispricing; Loss profit predictability; Post earnings announcement drift

Indexed keywords

EID: 77950928616     PISSN: 01654101     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jacceco.2009.12.002     Document Type: Article

References (56)

1. Altman E. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance 1968, 23:589-609.
2. Ball R., Bartov E. How naïve is the stock market's use of earnings information?. Journal of Accounting and Economics 1996, 21:319-337.
3. Barberis N., Shleifer A., Vishny R. A model of investor sentiment. Journal of Financial Economics 1998, 49:307-343.
4. Bartov E., Radhakrishnan S., Krinsky I. Investor sophistication and patterns in stock returns after earnings announcements. The Accounting Review 2000, 75:43-63.
5. Basu S. The investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient markets hypothesis. Journal of Finance 1977, 32:663-682.
6. Basu S. The relationship between earnings yield, market value, and returns for NYSE common stocks: further evidence. Journal of Financial Economics 1983, 12:129-156.
7. Basu S., Jan C.-L., Hwang L. Loss firms and analysts' earnings forecast errors. Journal of Financial Statement Analysis 1996, 1:18-30.
8. Beaver W., McNichols M., Price R. Delisting returns and their effect on accounting-based market anomalies. Journal of Accounting and Economics 2007, 43:341-368.
9. Begley J., Ming J., Watts S. Bankruptcy classification errors in the 1980s: an empirical analysis of Altman's and Ohlson's models. Review of Accounting Studies 1996, 1:267-284.
10. Bernard V., Thomas J. Post-earnings-announcement drift: delayed price response or risk premium?. Journal of Accounting Research 1989, 27:1-48.
11. Bernard V., Thomas J. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 1990, 13:305-340.
12. Bloomfield R.J., Hales J. Predicting the next step of a random walk: experimental evidence of regime-shifting beliefs. Journal of Financial Economics 2002, 65(3):397-414.
13. Brav A., Heaton J.B. Competing theories of financial anomalies. The Review of Financial Studies 2002, 15(2):575-606.
14. Brown L. A temporal analysis of earnings surprises: profits versus losses. Journal of Accounting Research 2001, 39:221-241.
15. Brown L., Han J. Do stock prices fully reflect the implications of current earnings for future earnings for AR1 firms?. Journal of Accounting Research 2000, 38:149-164.
16. Brown L., Rozeff M. Univariate time series models of quarterly accounting earnings per share: a proposed model. Journal of Accounting Research 1979, 17:179-189.
17. Bhushan R. An informational efficiency perspective on the post-earnings-announcement drift. Journal of Accounting and Economics 1994, 18:45-65.
18. Carhart M.M. On persistence in mutual fund performance. Journal of Finance 1997, 52:57-82.
19. Chan K.C., Chen N.-F. Structural and return characteristics of small and large firms. Journal of Finance 1991, 46:1467-1484.
20. Collins D., Hribar P. Earnings-based and accrual-based market anomalies: one effect or two?. Journal of Accounting and Economics 2000, 29:101-123.
21. Collins D., Pincus M., Xie H. Equity valuation and negative earnings: the role of book value of equity. The Accounting Review 1999, 74:29-61.
22. Conover W.H. Practical Nonparametric Statistics 1980, John Wiley and Sons, New York, NY.
23. Daniel K., Hirshleifer D., Subrahmanyam A. A theory of overconfidence, self-attribution, and security market under- and over-reactions. Journal of Finance 1998, 53:1839-1885.
24. Daniel K., Hirshleifer D., Subrahamanyam A. Overconfidence, arbitrage, and equilibrium asset pricing. Journal of Finance 2001, 56:921-965.
25. Daniel K., Hirshleifer D., Teoh S.H. Investor psychology in capital markets: evidence and policy implications. Journal of Monetary Economics 2002, 49:139-209.
26. Dechow P.M., Richardson S.A., Sloan R.G. The persistence and pricing of the cash component of earnings. Journal of Accounting Research 2008, 46:537-566.
27. Dichev I. Is the risk of bankruptcy a systematic risk?. Journal of Finance 1998, 53:1131-1147.
28. Fama E. Foundations of Finance 1976, Basic Books, New York, NY.
29. Fama E., French K. The cross-section of expected stock returns. Journal of Finance 1992, 47:427-465.
30. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
31. Fama E., French K. Multifactor explanations of asset pricing anomalies. Journal of Finance 1996, 51:55-84.
32. Fama E., French K. Disappearing dividends: changing firm characteristics or lower propensity to pay?. Journal of Financial Economics 2001, 60:3-43.
33. Fama E., French K. Financing decisions: who issues stock?. Journal of Financial Economics 2004, 76:549-582.
34. Fama E., MacBeth J. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 1973, 38:607-636.
35. Foster G. Quarterly accounting data: time-series properties and predictive-ability results. The Accounting Review 1977, 52:1-21.
36. Foster G., Olsen C., Shevlin T. Earnings releases, anomalies, and the behavior of securities returns. The Accounting Review 1984, 59:574-603.
37. Geczy C., Musto D., Reed A. Stocks are special too: an analysis of the equity lending market. Journal of Financial Economics 2002, 66:241-269.
38. Gow, I., Ormazabal, G., Taylor, D., 2009. Correcting for cross-sectional and time-series dependence in accounting research. Working paper, Stanford University.
39. Hayn C. The information content of losses. Journal of Accounting and Economics 1995, 20:125-153.
40. Hirshleifer D. Investor psychology and asset pricing. Journal of Finance 2001, 56:1533-1597.
41. Hirshleifer D., Teoh S.H. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 2003, 36:337-386.
42. Hribar P., Collins D. Errors in estimating accruals: implications for empirical research. Journal of Accounting Research 2002, 40:105-134.
43. Kahneman D., Tversky A. Availability: a heuristic for judging frequency and probability. Cognitive Psychology 1973, 5:207-232.
44. Kahneman D., Tversky A. On the psychology of prediction. Psychological Review 1973, 80:237-251.
45. Khan M. Are accruals mispriced? Evidence from tests of an intertemporal capital asset pricing model. Journal of Accounting and Economics 2008, 45:55-77.
46. Lakonishok J., Shleifer A., Vishny R. Contrarian investment, extrapolation, and risk. Journal of Finance 1994, 49:1541-1578.
47. Libby R., Bloomfield R., Nelson M.W. Experimental research in financial accounting. Accounting, Organizations and Society 2002, 27:775-810.
48. Maines L.A., Hand J.R.M. Individuals' perceptions and misperceptions of time series properties of quarterly earnings. The Accounting Review 1996, 71:317-336.
49. Narayanamoorthy G. Conservatism and cross-sectional variation in the post-earnings announcement drift. Journal of Accounting Research 2006, 44:763-789.
50. Mullainathan, S., 2002. Thinking through categories. Working paper, MIT and NBER.
51. Ogneva M., Subramanyam K.R. Does the stock market underreact to going concern opinions? Evidence from the US and Australia. Journal of Accounting and Economics 2007, 43:439-462.
52. Simon H.A. Models of Man 1957, Wiley, New York, NY.
53. Sloan R. Do stock prices fully reflect information in accruals and cash flows about future earnings?. The Accounting Review 1996, 71:289-316.
54. Shumway T. The delisting bias in CRSP data. Journal of Finance 1997, 52:327-340.
55. Shumway T. Forecasting bankruptcy more accurately: a simple hazard model. Journal of Business 2001, 74:101-124.
56. Tetlock P., Saar-Tsechansky M., Macskassy S. More than words: quantifying language to measure firms' fundamentals. Journal of Finance 2008, 63:1437-1467.