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A Multifactor Explanation of Post-Earnings Announcement Drift
13 references·4 citing·21 second hop
A Multifactor Explanation of Post-Earnings Announcement Drift (2003)A Multifactor Explanation of Post-Earning…Post‐Earnings Announcement Drift and the Dissemination of Predictable Information* (1999)Post‐Earnings Announcement Dr…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…How naive is the stock market's use of earnings information? (1996)How naive is the stock market…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…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…FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS (1987)FURTHER INSIGHT INTO THE STAN…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Capturing dynamics of post-earnings-announcement drift using a genetic algorithm-optimized XGBoost (2021)Capturing dynamics of post-ea…Accounting Quality, Liquidity Risk, and Post‐Earnings‐Announcement Drift (2017)Accounting Quality, Liquidity…On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market (2009)On the validity of the augmen…Accruals, Cash Flows and the Post‐Earnings‐Announcement Drift (2006)Accruals, Cash Flows and the …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Does the Stock Market Overreact? (1985)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)Using daily stock returns (1985)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1977Estimating betas from nonsynchronous data2,751 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
  • 1996How naive is the stock market's use of earnings information?307 cited
  • 1999Post‐Earnings Announcement Drift and the Dissemination of Predictable Information*103 cited
  • 1987FURTHER INSIGHT INTO THE STANDARDIZED UNEXPECTED EARNINGS ANOMALY: SIZE AND SERIAL CORRELATION EFFECTS87 cited

Cited by

  • 2006Accruals, Cash Flows and the Post‐Earnings‐Announcement Drift54 cited
  • 2017

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Accounting Quality, Liquidity Risk, and Post‐Earnings‐Announcement Drift
27 cited
  • 2009On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market27 cited
  • 2021Capturing dynamics of post-earnings-announcement drift using a genetic algorithm-optimized XGBoost25 cited