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Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach
15 references·6 citing·36 second hop
Does Post-Earnings-Announcement Drift in Stock Prices Reflect A Market Inefficiency? A Stochastic Dominance Approach (1997)Does Post-Earnings-Announcement Drift in …Posted versus effective spreads (1994)Posted versus effective sprea…An informational efficiency perspective on the post-earnings announcement drift (1994)An informational efficiency p…Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach (1993)Can Omitted Risk Factors Expl…The earnings-price anomaly (1992)The earnings-price anomalyStock price reactions to earnings announcements : a summary of recent anomalous evidence and possible explanations (1992)Stock price reactions to earn…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…The Multiperiod Information Content of Accounting Earnings: Confirmations and Contradictions of Previous Earnings Reports (1989)The Multiperiod Information C…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…The Relationship between Arbitrage and First Order Stochastic Dominance (1986)The Relationship between Arbi…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China (2022)Earnings communication confer…Market uncertainty, market sentiment, and the post-earnings announcement drift (2013)Market uncertainty, market se…Stochastic dominance analysis of CTA funds (2012)Stochastic dominance analysis…The Extent of Informational Efficiency in the Credit Default Swap Market: Evidence from Post-Earnings Announcement Returns (2011)The Extent of Informational E…Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches (2008)Do REITs Outperform Stocks an…Do Winners Perform Better Than Losers? A Stochastic Dominance Approach (2006)Do Winners Perform Better Tha…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Cross-Section of Expected Stock Returns (1992)Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison (1999)The liquidity effects of revisions to the S&P 500 index: an empirical analysis (2003)Measuring Investors' Opinion Divergence (2009)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Investor Psychology and Asset Pricing (2001)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Investor Sophistication and Market Earnings Expectations (1997)How Informed Are Actively Trading Institutional Investors? Evidence from Their Trading Behavior before a Break in a String of Consecutive Earnings Increases (2004)Limits-to-arbitrage, investment frictions, and the asset growth anomaly (2011)Using daily stock returns (1985)Efficient Capital Markets: II (1991)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1994An informational efficiency perspective on the post-earnings announcement drift346 cited
  • 1994Posted versus effective spreads260 cited
  • 1989The Multiperiod Information Content of Accounting Earnings: Confirmations and Contradictions of Previous Earnings Reports229 cited
  • 1992The earnings-price anomaly209 cited
  • 1986The Relationship between Arbitrage and First Order Stochastic Dominance90 cited
  • 1993Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach89 cited
  • 1992Stock price reactions to earnings announcements : a summary of recent anomalous evidence and possible explanations

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  • 2013Market uncertainty, market sentiment, and the post-earnings announcement drift34 cited
  • 2006Do Winners Perform Better Than Losers? A Stochastic Dominance Approach32 cited
  • 2012Stochastic dominance analysis of CTA funds29 cited
  • 2011The Extent of Informational Efficiency in the Credit Default Swap Market: Evidence from Post-Earnings Announcement Returns25 cited
  • 2008Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches20 cited
  • 2022Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China19 cited