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

      Bird, Ron; Choi, Daniel F.S.; Yeung, Danny
      DOI
       10.1007/s11156-013-0364-x
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      Bird, R., Choi, D. F. S., & Yeung, D. (2013). Market uncertainty, market sentiment, and the post-earnings announcement drift. Review of Quantitative Finance and Accounting, article in press.
      Permanent Research Commons link: https://hdl.handle.net/10289/7468
      Abstract
      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.
      Date
      2013
      Type
      Journal Article
      Publisher
      Springer-Verlag
      Collections
      • Management Papers [1098]
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