Post-Earnings-Announcement Drift and the Return Predictability of Earnings Levels: One Effect or Two?

References

• Ayers BC, Li OZ, Yeung PE (2011) Investor trading and the post-earnings-announcement drift. Accounting Rev. 86(2):385–416.Crossref, Google Scholar
• Balakrishnan K, Bartov E, Faurel L (2010) Post loss/profit announcement drift. J. Accounting Econom. 50(1):20–41.Crossref, Google Scholar
• Ball R, Brown P (1968) An empirical evaluation of accounting income numbers. J. Accounting Res. 6(2):159–178.Crossref, Google Scholar
• Ball R, Gerakos J, Linnainmaa JT, Nikolaev VV (2015) Deflating profitability. J. Financial Econom. 117(2):225–248.Crossref, Google Scholar
• Barber BM, Lyon JD (1997) Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. J. Financial Econom. 43(3):341–372.Crossref, Google Scholar
• Beaver W (1989) Financial Reporting: An Accounting Revolution (Prentice Hall, Englewood Cliffs, NJ).Google Scholar
• Beaver W, McNichols M, Price R (2007) Delisting returns and their effect on accounting-based market anomalies. J. Accounting Econom. 43(2–3):341–368.Crossref, Google Scholar
• Bernard V (1989) Capital market research in accounting during the 1980s: A critical review. Frecka TJ, ed. Illinois Ph.D. Jubilee, 1939-1989: The State of Accounting Research as We Enter the 1990s (University of Illinois Press, Champaign), 72–120.Google Scholar
• Bernard VL, Thomas JK (1989) Post-earnings-announcement drift: Delayed price response or risk premium? J. Accounting Res. 27(Suppl.):1–48.Crossref, Google Scholar
• Bernard VL, Thomas JK (1990) Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. J. Accounting Econom. 13(4):305–340.Crossref, Google Scholar
• Bhushan R (1994) An information efficiency perspective on the post-earnings announcement drift. J. Accounting Econom. 18(1):45–65.Crossref, Google Scholar
• Brennan MJ, Chordia T, Subrahmanyam A (1998) Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. J. Financial Econom. 49(3):345–374.Crossref, Google Scholar
• Brown S, Warner J (1980) Measuring security price performance. J. Financial Econom. 8(3):205–258.Crossref, Google Scholar
• Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–81.Crossref, Google Scholar
• Chordia T, Shivakumar L (2005) Inflation illusion and post-earnings-announcement drift. J. Accounting Res. 43(4):521–556.Crossref, Google Scholar
• Chordia T, Shivakumar L (2006) Earnings and price momentum. J. Financial Econom. 80(3):627–656.Crossref, Google Scholar
• Chordia T, Goyal A, Sadka G, Sadka R, Shivakumar L (2009) Liquidity and the post-earnings-announcement drift. Financial Anal. J. 65(4):18–32.Crossref, Google Scholar
• Collins DW, Hribar P (2000) Earnings-based and accrual-based market anomalies: One effect or two? J. Accounting Econom. 29(1):101–123.Crossref, Google Scholar
• Davis JL, Fama EF, French KR (2000) Characteristics, covariances, and average returns: 1929 to 1997. J. Finance 55(1):389–406.Crossref, Google Scholar
• Desai H, Rajgopal S, Venkatachalam M (2004) Value-glamour and accruals mispricing: One anomaly or two? Accounting Rev. 79(2):355–385.Crossref, Google Scholar
• Doyle J, Lundholm R, Soliman M (2006) The extreme future stock returns following I/B/E/S earnings surprises. J. Accounting Res. 44(5):849–887.Crossref, Google Scholar
• Easton P, Harris T (1991) Earnings as an explanatory variable for returns. J. Accounting Res. 29(1):19–36.Crossref, Google Scholar
• Fairfield M, Scott W, Yohn T (2003) Accrued earnings and growth: Implications for future profitability and market mispricing. Accounting Rev. 78(1):353–371.Crossref, Google Scholar
• Fama E (1998) Market Efficiency, long-term returns, and behavioral finance. J. Financial Econom. 49(3):283–306.Crossref, Google Scholar
• Fama E, French K (1993) Common Risk Factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
• Fama E, French K (1996) Multifactor explanations of asset pricing anomalies. J. Finance 51(1):55–84.Crossref, Google Scholar
• Fama E, French K (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
• Fama E, MacBeth J (1973) Risk, return and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
• Foster G, Olsen C, Shevlin T (1984) Earnings releases, anomalies, and the behavior of security returns. Accounting Rev. 59(4):574–603.Google Scholar
• Hirshleifer D, Jiang D (2010) A financing-based misvaluation factor and the cross-section of expected returns. Rev. Financial Stud. 23(9):3401–3436.Crossref, Google Scholar
• Hirshleifer D, Myers J, Myers L, Teoh S (2008) Do individual investors cause post-earnings-announcement drift? Direct evidence from personal trades. Accounting Rev. 83(6):1521–1550.Crossref, Google Scholar
• Jacob J, Lys T, Sabino J (2000) Autocorrelation structure of forecast errors from time-series models: Alternative assessments of the causes of post-earnings announcement drift. J. Accounting Econom. 28(3):329–358.Crossref, Google Scholar
• Kausar A, Taffler R, Tan C (2009) The going-concern market anomaly. J. Accounting Res. 47(1):213–239.Crossref, Google Scholar
• Ke B, Ramalingegowda S (2005) Do institutional investors exploit the post-earnings announcement drift? J. Accounting Econom. 39(1):25–53.Crossref, Google Scholar
• Khan M (2008) Are accruals mispriced? Evidence from tests of an intertemporal capital asset pricing model. J. Accounting Econom. 45(1):55–77.Crossref, Google Scholar
• Kothari SP (1992) Price-earnings regressions in the presence of prices leading earnings: Earnings level versus change specifications and alternative deflators. J. Accounting Econom. 15(2–3):173–202.Crossref, Google Scholar
• Kothari SP, Sloan RG (1992) Information in earnings about future earnings: Implications for earnings response coefficients. J. Accounting Econom. 15(2–3):143–171.Crossref, Google Scholar
• Kothari SP, Warner JB (2007) Econometrics of event studies. Espen Eckbo B, ed. Handbook of Corporate Finance: Empirical Corporate Finance, Vol. 1 (Elsevier, Amsterdam), 3–32.Crossref, Google Scholar
• Lev B, Ohlson JA (1982) Market-based empirical research in accounting: A review, interpretation, and extension. J. Accounting Res. 20(Suppl.):249–322.Crossref, Google Scholar
• Liang L (2003) Post-earnings announcement drift and market participants’ information processing biases. Rev. Accounting Stud. 8(2–3):321–345.Crossref, Google Scholar
• Liu W (2006) A liquidity-augmented capital asset pricing model. J. Financial Econom. 82(3):631–671.Crossref, Google Scholar
• Loh RK, Warachka M (2012) Streaks in earnings surprises and the cross-section of stock returns. Management Sci. 58(7):1305–1321.Link, Google Scholar
• Mitchell M, Stafford E (2000) Managerial decisions and long-term stock price performance. J. Bus. 73(3):287–329.Crossref, Google Scholar
• Ng J, Rusticus TO, Verdi RS (2008) Implications of transaction costs for the post-earnings announcement drift. J. Accounting Res. 46(3):661–696.Crossref, Google Scholar
• Novy-Marx R (2013) The other side of value: The gross profitability premium. J. Financial Econom. 108(1):1–28.Crossref, Google Scholar
• Ogneva M, Subramanyam KR (2007) Does the stock market underreact to going concern opinions? Evidence from the U.S. and Australia. J. Accounting Econom. 43(2–3):439–452.Crossref, Google Scholar
• Ohlson JA, Shroff PK (1992) Changes versus levels in earnings as explanatory variables for returns: Some theoretical considerations. J. Accounting Res. 30(2):210–226.Crossref, Google Scholar
• Pastor L, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
• Richardson S, Tuna I, Wysocki P (2010) Accounting anomalies and fundamental analysis: A review of recent research advances. J. Accounting Econom. 50(2–3):410–454.Crossref, Google Scholar
• Sadka R (2006) Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. J. Financial Econom. 80(2):309–349.Crossref, Google Scholar
• Shumway T (1997) The Delisting bias in CRSP data. J. Finance 52(1):327–340.Crossref, Google Scholar
• Shumway T, Warther VA (1999) The delisting bias in CRSP’s NASDAQ data and its implication for the size effect. J. Finance 54(6):2361–2379.Crossref, Google Scholar
• Vassalou M, Xing Y (2004) Default risk in equity returns. J. Finance 59(2):831–868.Crossref, Google Scholar
• Wu J, Zhang L, Zhang XF (2010) The q-theory approach to understanding the accruals anomaly. J. Accounting Res. 48(1):177–223.Crossref, Google Scholar
• Zhang Y (2008) Analyst responsiveness and the post-earnings-announcement drift. J. Accounting Econom. 46(1):201–215.Crossref, Google Scholar