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Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift

Citations

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Cited by:

  1. A. William Richardson & Kevin Veenstra, 2022. "The Post‐earnings Announcement Drift: A Pre‐earnings Announcement Effect? A Multi‐period Analysis," Abacus, Accounting Foundation, University of Sydney, vol. 58(4), pages 648-678, December.
  2. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  3. Tao Chen & Robert K. Larson & Han Mo, 2024. "Investor Herding and Price Informativeness in Global Markets: Evidence from Earnings Announcements," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 25(1), pages 92-110, January.
  4. Zhang, Yan & Ikeda, Shin S., 2016. "A dynamic panel analysis of HKEx shorting ban’s impact on the relationship between disagreement and future returns," Finance Research Letters, Elsevier, vol. 17(C), pages 10-16.
  5. Chung, Kee H. & Kim, Oliver & Lim, Steve C. & Yang, Sean, 2019. "An analytical measure of market underreaction to earnings news," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 612-624.
  6. Eric R. Holzman & Nathan T. Marshall & Joseph H. Schroeder & Teri Lombardi Yohn, 2021. "Is all disaggregation good for investors? Evidence from earnings announcements," Review of Accounting Studies, Springer, vol. 26(2), pages 520-558, June.
  7. Ho, Tuan Q. & Nguyen, Y. & Tran, Hieu, 2024. "The impact of insider ownership and institutional ownership on post-earnings-announcement-drift: Evidence from Vietnam," Research in International Business and Finance, Elsevier, vol. 70(PB).
  8. Xuguang Sheng & Maya Thevenot, 2013. "Differential Interpretation of Public Information: Estimation and Inference," Working Papers 2013-03, American University, Department of Economics.
  9. Goh, Jihoon & Jeon, Byoung-Hyun, 2017. "Post-earnings-announcement-drift and 52-week high: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 150-159.
  10. D’Augusta, Carlo & De Vito, Antonio & Grossetti, Francesco, 2023. "Words and numbers: A disagreement story from post-earnings announcement return and volume patterns," Finance Research Letters, Elsevier, vol. 54(C).
  11. Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013. "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, vol. 56(2), pages 251-266.
  12. Charoenwong, Charlie & Ding, David K. & Wang, Ping, 2013. "Short sales constraint and SEO pricing," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 107-118.
  13. Gordon, Narelle & Wu, Qiongbing, 2018. "The high-volume return premium and changes in investor recognition," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 121-136.
  14. Li, Leon & Chen, Carl R., 2016. "Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis," Finance Research Letters, Elsevier, vol. 18(C), pages 100-107.
  15. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
  16. Elizabeth Gutierrez & Miguel Minutti-Meza & Kay W. Tatum & Maria Vulcheva, 2018. "Consequences of adopting an expanded auditor’s report in the United Kingdom," Review of Accounting Studies, Springer, vol. 23(4), pages 1543-1587, December.
  17. Pietro Perotti & Alfred Wagenhofer, 2014. "Earnings Quality Measures and Excess Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(5-6), pages 545-571, June.
  18. Chen, Tao, 2021. "Informed trading and earnings announcement driven disagreement in global markets," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 43(C).
  19. Sheng, Xuguang (Simon) & Thevenot, Maya, 2015. "Quantifying differential interpretation of public information using financial analysts’ earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 515-530.
  20. Hong‐Yi Chen & Pin‐Huang Chou & Chia‐Hsun Hsieh, 2018. "Persistency of the momentum effect," European Financial Management, European Financial Management Association, vol. 24(5), pages 856-892, November.
  21. McSweeney, Brendan, 2009. "The roles of financial asset market failure denial and the economic crisis: Reflections on accounting and financial theories and practices," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 835-848, August.
  22. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
  23. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
  24. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
  25. Li, Yan & Liang, Chao & Huynh, Toan L.D. & He, Qiubei, 2022. "Price reversal and heterogeneous belief," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 104-119.
  26. Andrey Kudryavtsev, 2019. "The Effect Of Trading Volumes On Stock Returns Following Large Price Moves," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 64(220), pages 85-116, January –.
  27. Hong, Jiawei & Yu, Xiaojian & Xiao, Weilin & Zhang, Xili, 2022. "The dispersion of beta estimates and the investors’ heterogeneous Beliefs：Evidence from the stock market in China," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 540-550.
  28. Gao, Shenghao & Brockman, Paul & Meng, Qingbin & Yan, Xuemin, 2020. "Differences of opinion, institutional bids, and IPO underpricing," Journal of Corporate Finance, Elsevier, vol. 60(C).
  29. Brad A. Badertscher & Jeffrey J. Burks & Peter D. Easton, 2018. "The market reaction to bank regulatory reports," Review of Accounting Studies, Springer, vol. 23(2), pages 686-731, June.
  30. Wang, Zijun, 2021. "The high volume return premium and economic fundamentals," Journal of Financial Economics, Elsevier, vol. 140(1), pages 325-345.
  31. Carlo D'Augusta & Sasson Bar-Yosef & Annalisa Prencipe, 2016. "The Effects of Conservative Reporting on Investor Disagreement," European Accounting Review, Taylor & Francis Journals, vol. 25(3), pages 451-485, September.
  32. Hasan, Iftekhar & Massoud, Nadia & Saunders, Anthony & Song, Keke, 2015. "Which financial stocks did short sellers target in the subprime crisis?," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 87-103.
  33. Chen, Lin & Qin, Lu & Zhu, Hongquan, 2015. "Opinion divergence, unexpected trading volume and stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 36(C), pages 119-127.
  34. Qian Chen & Xiang Gao & Gangchen Liu, 2021. "Limited Attention and Post-Earnings Announcement Drift: Evidence from China s Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 11(1), pages 1-17.
  35. Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
  36. Giannini, Robert & Irvine, Paul & Shu, Tao, 2019. "The convergence and divergence of investors' opinions around earnings news: Evidence from a social network," Journal of Financial Markets, Elsevier, vol. 42(C), pages 94-120.
  37. repec:grz:wpsses:2020-04 is not listed on IDEAS
  38. Doron Israeli & Ron Kaniel & Suhas A. Sridharan, 2022. "The Real Side of the High-Volume Return Premium," Management Science, INFORMS, vol. 68(2), pages 1426-1449, February.
  39. Shin S. Ikeda & Yan Zhang, 2012. "Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China," GRIPS Discussion Papers 12-12, National Graduate Institute for Policy Studies.
  40. Jonathan A. Milian, 2015. "Unsophisticated Arbitrageurs and Market Efficiency: Overreacting to a History of Underreaction?," Journal of Accounting Research, Wiley Blackwell, vol. 53(1), pages 175-220, March.
  41. Gharghori, Philip & See, Quin & Veeraraghavan, Madhu, 2011. "Difference of opinion and the cross-section of equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 435-446, September.
  42. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2123-2136, August.
  43. Siu Kai Choy & Hua Zhang, 2019. "Public news announcements, short-sale restriction and informational efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 52(1), pages 197-229, January.
  44. Ramnath, Sundaresh & Rock, Steve & Shane, Philip, 2008. "The financial analyst forecasting literature: A taxonomy with suggestions for further research," International Journal of Forecasting, Elsevier, vol. 24(1), pages 34-75.
  45. Dahm, Laura K. & Sorhage, Christoph, 2015. "Milk or wine: Mutual funds' (dis)economies of life," CFR Working Papers 15-05, University of Cologne, Centre for Financial Research (CFR).
  46. Göricke, Marc-André, 2016. "Do generalists profit from the fund families' specialists? Evidence from mutual fund families offering sector funds," CFR Working Papers 16-09, University of Cologne, Centre for Financial Research (CFR).
  47. Hu, Yingyi & Zhao, Tiao & Zhang, Lin, 2020. "Noise trading, institutional trading, and opinion divergence: Evidence on intraday data in the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 74-89.
  48. Dorminey, Jack W. & Apostolou, Barbara, 2012. "Hedging derivatives in the banking industry: Evidence of investor confusion," Research in Accounting Regulation, Elsevier, vol. 24(2), pages 65-73.
  49. Schnaubelt, Matthias & Seifert, Oleg, 2020. "Valuation ratios, surprises, uncertainty or sentiment: How does financial machine learning predict returns from earnings announcements?," FAU Discussion Papers in Economics 04/2020, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  50. Qi Zhang & Charlie Cai & Kevin Keasey, 2014. "The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 605-625, October.
  51. Paul Fischer & Chongho Kim & Frank Zhou, 2022. "Disagreement about fundamentals: measurement and consequences," Review of Accounting Studies, Springer, vol. 27(4), pages 1423-1456, December.
  52. Al-Nasseri, Alya & Menla Ali, Faek, 2018. "What does investors' online divergence of opinion tell us about stock returns and trading volume?," Journal of Business Research, Elsevier, vol. 86(C), pages 166-178.
  53. Tung Lam Dang & Robert Faff & Hoang Luong & Lily Nguyen, 2019. "Individualistic cultures and crash risk," European Financial Management, European Financial Management Association, vol. 25(3), pages 622-654, June.
  54. Vijh, Anand M. & Yang, Ke, 2013. "Are small firms less vulnerable to overpriced stock offers?," Journal of Financial Economics, Elsevier, vol. 110(1), pages 61-86.
  55. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
  56. Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.
  57. Choi, Hae Mi, 2019. "Market uncertainty and trading volume around earnings announcements," Finance Research Letters, Elsevier, vol. 30(C), pages 14-22.
  58. Das, Somnath & King, Alexander Z., 2021. "Measuring the informativeness of earnings announcements: The role of event windows," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 350-367.
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