Investor Inattention and the Post-earnings Announcement Drift - Evidence from Switzerland
Author | : Sarah Suter |
Publisher | : |
Total Pages | : |
Release | : 2016 |
ISBN-10 | : OCLC:990766370 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Investor Inattention and the Post-earnings Announcement Drift - Evidence from Switzerland written by Sarah Suter and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Earlier studies on earnings numbers have discovered a market anomaly which could not be explained by flaws in the applied research design. They claim that stock prices do not incor-porate earnings news immediately, as suggested by the efficient market theory, but tend to drift into the direction of the unexpected earnings after an earnings announcement. In addi-tion, this effect seems to be stronger if investors are distracted by competing announcements at the announcement date. Based on Swiss earnings and stock price data, this paper analyses whether unexpected earnings are followed by cumulative abnormal stock returns. I find post-earnings announcement drift that increases with the magnitude of the earnings surprise. By comparing immediate and delayed market reaction and post-earnings announcement drift on high-news and low-news days, this study examines the effect of investor inattention on post-earnings announcement drift. The findings are consistent with lower immediate market re-sponse and stronger drift when investors are distracted.