Item

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

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.
Type
Journal Article
Type of thesis
Series
Citation
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.
Date
2013
Publisher
Springer-Verlag
Degree
Supervisors
Rights