Market uncertainty, market sentiment, and the post-earnings announcement drift

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• 作者：Ron Bird (1) (2)
  Daniel F. S. Choi (2)
  Danny Yeung (1)
  
• 关键词：Anomalies ; Post ; earrings announcement drift ; Uncertainty ; Sentiment ; G12 ; G14 ; D81
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2014
• 出版时间：July 2014
• 年：2014
• 卷：43
• 期：1
• 页码：45-73
• 全文大小：
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• 作者单位：Ron Bird (1) (2)
  Daniel F. S. Choi (2)
  Danny Yeung (1)
  
  1. Paul Woolley Centre for the Study of Capital Market Dysfunctionality, University of Technology Sydney, Sydney, Australia
  2. Waikato Management School, The University of Waikato, Hamilton, New Zealand
  
• ISSN：1573-7179

文摘

Post-earnings announcement drift (PEAD) which was first identified over 40?years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection of the level of market uncertainty and sentiment that prevails during the post-announcement period. The overriding conclusion from our analysis is that both uncertainty and sentiment play a central role in determining investor behaviour and it is this behaviour that ultimately determines the pricing that is observed in financial markets.