A review of the Post-Earnings-Announcement Drift
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This article is published in Journal of Behavioral and Experimental Finance.The article was published on 2021-03-01 and is currently open access. It has received 21 citations till now. The article focuses on the topics: Post-earnings-announcement drift & Earnings surprise.read more
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Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements
TL;DR: For example, this paper found that daily institutional trades are highly persistent and respond positively to recent daily returns but negatively to longer-term past daily returns, indicating that institutional trades, particularly sells, appear to generate short-term losses, but longerterm profits.
Inflation, Earnings Forecasts, and Post-Earnings Announcement Drift
TL;DR: This article examined whether financial analysts fully incorporate expected inflation in their earnings forecasts for individual stocks and found that expected inflation proxies, such as lagged inflation and inflation forecasts from the Michigan Survey of Consumers, predict the future earnings change of a portfolio long in high inflation exposure firms and short in low or negative inflation exposure companies.
Can Sticky Portfolios Explain International Capital Flows and Asset Prices?
TL;DR: Van Wincoop et al. as discussed by the authors investigated what level of portfolio friction is most consistent with the data and the impact of portfolio frictions on asset prices and net capital flows and found that the portfolio friction can account for micro evidence of portfolio inertia by households, macro evidence of the price impact of financial shocks and related disconnect of asset prices from observed fundamentals.
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Can sticky portfolios explain international capital flows and asset prices?
TL;DR: In this article , the authors investigate the level of portfolio frictions most consistent with the data and the impact of portfolio friction on asset prices and net capital flows and find the portfolio friction accounts for micro evidence of portfolio inertia by households, macro evidence of the price impact of financial shocks and related disconnect of asset prices from fundamentals, and other phenomena relating to excess return dynamics.
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Opportunity Knocks But Once: Delayed Disclosure of Financial Items in Earnings Announcements and Neglect of Earnings News
TL;DR: In this paper, the authors define a delayed disclosure ratio (DD) as the fraction of 10-Q financial statement items that are withheld at the earlier quarterly earnings announcement, and find that higher DD firms have a greater delay in investor and analyst response to earnings surprises.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
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Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
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An empirical evaluation of accounting income numbers
Ray Ball,Philip Brown +1 more
TL;DR: In this article, it is argued that income numbers cannot be defined substantively, that they lack "meaning" and are therefore of doubtful utility, and the argument stems in part from the patchwork development of account-based theories.
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Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.