Post–earnings–announcement Drift in the UK

European Financial Management

Volumn 9, Issue 1, 2003, Pages 89-116

  Liu, Weimin ^a   Strong, Norman ^a   Xu, Xinzhong ^b  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b PEKING UNIVERSITY   (China)

Author keywords

Earnings surprises; Market efficiency; Post earnings announcement drift

Indexed keywords

EID: 84994429845     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/1468-036X.00209     Document Type: Article

References (30)

1. Ball, R., ‘The earnings-price anomaly’, Journal of Accounting and Economics, Vol. 15, 1992, pp. 319–345.
2. Ball, R. And Bartov, E., ‘How naive is the stock market’s use of earnings information?’, Journal of Accounting and Economics, Vol. 21, 1996, pp. 319–337.
3. Ball, R. And Brown, P. ‘An empirical evaluation of accounting income numbers’, Journal of Accounting Research, Vol. 6, 1968, pp. 159–178.
4. Bernard, V. And Thomas, J. ‘Post-earnings drift: Delayed price response or risk premium?’, Journal of Accounting Research, Vol. 27, 1989, pp. 1–36.
5. Bernard, V. And Thomas, J. ‘Evidence that stock prices do not fully reflect the implications of current earnings for future earnings’, Journal of Accounting and Economics, Vol. 13, 1990, pp. 305–340.
6. Bernard, V. L., ‘Stock price reaction to earnings announcements: A summary of recent anomalous evidence and possible explanations’, in R. H. Thaler, ed., Advances in Behavioral Finance (New York: Russell Sage Foundation, 1993).
7. Brown, L. D. And Han, J. C. Y., ‘Do stock prices reflect the implications of current earnings for future earnings for AR1 firms?’, Journal of Accounting Research, 2000, pp. 149–164.
8. Caligari, M. And Fargher, N., ‘Evidence that prices do not fully reflect the implications of current earnings for future earning’, Contemporary Accounting Research, Vol. 14, 1997, pp. 397–433.
9. Chan, K. C., Jegadeesh, N. And Lakonishok, J., ‘Momentum strategies’, Journal of Finance, Vol. 51, 1996, pp. 1681–1713.
10. Chari, V. V., Jagannathan, R. And Ofer, A. R., ‘Seasonalities in security returns: The case of earnings announcements’, Journal of Financial Economics, Vol. 21, 1988, pp. 101–121.
11. Daniel, K., Hirshleifer, D. And Subrahmanyam, A., ‘Investor psychology and security market under- and overreaction’, Journal of Finance, Vol. 53, 1998, pp. 1839–1885.
12. Dugar, A. And Nathan, S., ‘The effect of investment banking relationships on financial analysts’ earnings forecasts and investment recommendations’, Contemporary Accounting Research, Vol. 12, 1995, pp. 131–160.
13. Fama, E. E., ‘Market efficiency, long-term returns, and behavioral finance’, Journal of Financial Economics, Vol. 49, 1998, pp. 283–306.
14. Fama, E. F. And French, K. R., ‘The cross-section of expected returns’, Journal of Finance, Vol. 47, 1992, pp. 427–465.
15. Fama, E. F. And French, K. R., ‘Common risk factors in the returns on stocks and bonds’, Journal of Financial Economics, Vol. 33, 1993, pp. 3–56.
16. Fama, E. F. And French, K. R., ‘Multifactor explanations of asset pricing anomalies’, Journal of Finance, Vol. 51, 1996, pp. 55–84.
17. Foster, G., Olsen, C. And Shevlin, T., ‘Earnings releases, anomalies, and the behavior of security returns’, The Accounting Review, Vol. 59, 1984, pp. 574–603.
18. Francis, J. And Philbrick, D., ‘Analysts’ decisions as products of multi-task environment’, Journal of Accounting Research, Vol. 31, 1993, pp. 216–230.
19. Hew, D., Skerratt, L., Strong, N. And Walker, M., ‘Post-earnings-announcement drift: some preliminary evidence for the UK’, Accounting and Business Research, Vol. 26, 1996, pp. 283–293.
20. Jacob, J., Lys, T. And Sabino, J., ‘Autocorrelation structure of forecast errors from time-series models: Alternative assessments of the causes of post-earnings announcement drift’, Journal of Accounting and Economics, Vol. 28, 2000, pp. 329–358.
21. Jegadeesh, N. And Titman, S., ‘Returns to buying winners and selling losers: Implications for stock market efficiency’, Journal of Finance, Vol. 48, 1993, pp. 65–91.
22. Liu, W., Strong, N. And Xu, X., ‘The profitability of momentum investing’, Journal of Business Finance and Accounting, Vol. 26, 1999, pp. 1043–1091.
23. Maines, L. A. And Hand, J. R. M., ‘Individuals’ perceptions and misperceptions of time-series properties of quarterly earnings’, The Accounting Review, Vol. 71, 1996, pp. 317–336.
24. Rangan, S. And Sloan, R. G., ‘Implications of the integral approach to quarterly reporting for the post-earnings-announcement drift’, The Accounting Review, Vol. 73, 1998, pp. 353–371.
25. Richardson, S., Teoh, S. H. And Wysocki, P., ‘Tracking analysts’ forecasts over the annual earnings horizon: Are analysts’ forecasts optimistic or pessimistic’, Working Paper (University of Michigan Business School, 1999).
26. Scholes, M. And Williams, J., ‘Estimating betas from nonsynchronous data’, Journal of Financial Economics, Vol. 5, 1977, pp. 309–327.
27. Soffer, L. C. And Lys, T., ‘Post-earnings announcement drift and the dissemination of predictable information’, Contemporary Accounting Research, Vol. 16, 1999, pp. 305–331.
28. Strong, N. And Xu, X., ‘Explaining the cross-section of UK expected stock returns’, British Accounting Review, Vol. 29, 1997, pp. 1–24.
29. Zarowin, P., ‘Does the stock market overreact to corporate earnings information?’, Journal of Finance, Vol. 44, 1989, pp. 1385–1399.
30. Zarowin, P., ‘Size, seasonality and stock market overreaction’, Journal of Financial and Quantitative Analysis, Vol. 25, 1990, pp. 113–125.