Is Post Earnings Announcement Drift A Priced Risk Factor in Emerging Markets? Chinese evidence
Journal Title: Archives of Business Research - Year 2017, Vol 5, Issue 6
Abstract
This study examines the profitability of trading on earnings surprises in the postearnings announcement period for equities listed in the Shanghai and Shenzhen stock exchanges spanning the period 2000 to 2008 when Chinese markets were developing. The paper also examines whether the drift is a priced risk factor. We show that a postearnings announcement drift (PEAD) anomaly exists in China. We document that a hedge strategy of going long on stocks in the highest earnings surprise decile and going short on firms in the lowest earnings surprise decile generates 7.92% excess return in the 60 days following the earnings announcement. We also show that the PEAD is a priced risk factor. Our paper is the first to document that PEAD is systematically priced as a risk factor in stock returns.
Authors and Affiliations
Amanda Man Li, Michael Dempsey
Keywords
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- EP ID EP312241
- DOI 10.14738/abr.56.3316.
- Views 78
- Downloads 0
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