Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/226390 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CFR Working Paper No. 20-10
Verlag: 
University of Cologne, Centre for Financial Research (CFR), Cologne
Zusammenfassung: 
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.
Schlagwörter: 
post-earnings-announcement drift
earnings autocorrelation
experimental asset markets
JEL: 
G12
G14
G40
M41
Dokumentart: 
Working Paper

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