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Post-earnings announcement drift: Spanish evidence

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  • Carlos Forner
  • Sonia Sanabria
  • Joaquín Marhuenda

Abstract

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Suggested Citation

  • Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009. "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(3), pages 207-241, September.
    • Handle: RePEc:spr:specre:v:11:y:2009:i:3:p:207-241
    DOI: 10.1007/s10108-008-9048-4
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    References listed on IDEAS

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    19. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
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    22. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
    23. Leonard C. Soffer & Thomas Lys, 1999. "Post†Earnings Announcement Drift and the Dissemination of Predictable Information," Contemporary Accounting Research, John Wiley & Sons, vol. 16(2), pages 305-331, June.
    24. Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 81-103.
    25. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. "Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
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    Cited by:

    1. Ron Bird & Daniel Choi & Danny Yeung, 2014. "Market uncertainty, market sentiment, and the post-earnings announcement drift," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 45-73, July.
    2. repec:grz:wpsses:2020-04 is not listed on IDEAS
    3. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).

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    More about this item

    Keywords

    Post-earnings announcement drift; Business cycle; Conditional analysis; Under-reaction; G14; G11; M41;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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