Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/226390
Authors: 
Fink, Josef
Palan, Stefan
Theissen, Erik
Year of Publication: 
2020
Series/Report no.: 
CFR Working Paper No. 20-10
Abstract: 
Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and correlated earnings surprises, implying that earnings autocorrelation is not a necessary condition for PEAD. It rather is a moderator, as the PEAD is stronger when earnings surprises are serially correlated. We further show that market prices underadjust to fundamental value changes, and that trading strategies can profitably exploit the PEAD. Besides offering new results regarding the PEAD-phenomenon, we thus provide a proof-of-concept for the ability of experiments to generate valuable insights into this asset pricing anomaly.
Subjects: 
post-earnings-announcement drift
earnings autocorrelation
experimental asset markets
JEL: 
G12
G14
G40
M41
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.