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Evidence that Capital Markets Learn from Academic Research: Earnings Surprises and the Persistence of Post-Announcement Drift
16 references·3 citing·36 second hop
Evidence that Capital Markets Learn from Academic Research: Earnings Surprises and the Persistence of Post-Announcement Drift (2001)Evidence that Capital Markets Learn from …Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Market Efficiency, Long-Term …Detecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…Changes in the value-relevance of earnings and book values over the past forty years (1997)Changes in the value-relevanc…The Limits of Arbitrage (1995)The Limits of ArbitrageTests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior (1992)Tests of Analysts' Overreacti…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)An analysis of intertemporal …Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Judgment under Uncertainty (1982)Judgment under UncertaintyConservatism in human information processing (1982)Conservatism in human informa…Misspecification of capital asset pricing (1981)Misspecification of capital a…Judgment under Uncertainty: Heuristics and Biases (1975)Judgment under Uncertainty: H…The Information Content of Annual Earnings Announcements (1968)The Information Content of An…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Going, Going, Gone? The Demise of the Accruals Anomaly (2009)Going, Going, Gone? The Demis…Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? (2003)Small and Large Trades Around…Accounting Anomalies and Information Uncertainty (2003)Accounting Anomalies and Info…Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)On the psychology of prediction. (1973)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)The information content of losses (1995)The conservatism principle and the asymmetric timeliness of earnings1 (1997)The Boundaries of Financial Reporting and How to Extend Them (1999)The effect of international institutional factors on properties of accounting earnings (2000)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Editor's Choice Digesting Anomalies: An Investment ApproachRisk, Return, and Equilibrium: Empirical Tests (1973)Mean 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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: II (1991)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Using daily stock returns (1985)Common risk factors in the returns on stocks and bonds (1993)Introductory Econometrics for Finance (2008)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Capital markets research in accounting (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Those Who Understand: Knowledge Growth in Teaching (1986)Perception of Risk (1987)The weirdest people in the world? (2010)
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References

  • 1975Judgment under Uncertainty: Heuristics and Biases22,647 cited
  • 1982Judgment under Uncertainty8,238 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1968The Information Content of Annual Earnings Announcements2,739 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 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
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1997Changes in the value-relevance of earnings and book values over the past forty years1,788 cited
  • 1989An analysis of intertemporal and cross-sectional determinants of earnings response coefficients1,685 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1997Market Efficiency, Long-Term Returns, and Behavioral Finance1,278 cited
  • 1982Conservatism in human information processing

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1,004 cited
  • 1992Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior1,003 cited
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    • 2003Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?36 cited
    • 2003Accounting Anomalies and Information Uncertainty32 cited
    • 2009Going, Going, Gone? The Demise of the Accruals Anomaly29 cited