Post–earnings–announcement Drift in the UK
This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. U...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Liu, Weimin [verfasserIn] Strong, Norman [verfasserIn] Xu, Xinzhong [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
Oxford, UK and Boston, USA: Blackwell Publishing Ltd ; 2003 |
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| Schlagwörter: |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2003 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: European financial management - Oxford : Wiley-Blackwell, 1995, 9(2003), 1, Seite 0 |
| Übergeordnetes Werk: |
volume:9 ; year:2003 ; number:1 ; pages:0 |
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| DOI / URN: |
10.1111/1468-036X.00209 |
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NLEJ242386881 |
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| 520 | |a This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. | ||
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10.1111/1468-036X.00209 doi (DE-627)NLEJ242386881 DE-627 ger DE-627 rakwb Liu, Weimin verfasserin aut Post–earnings–announcement Drift in the UK Oxford, UK and Boston, USA Blackwell Publishing Ltd 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| post–earnings–announcement drift Strong, Norman verfasserin aut Xu, Xinzhong verfasserin aut In European financial management Oxford : Wiley-Blackwell, 1995 9(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243925875 (DE-600)1480712-9 1468-036X nnns volume:9 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1468-036X.00209 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 9 2003 1 0 |
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10.1111/1468-036X.00209 doi (DE-627)NLEJ242386881 DE-627 ger DE-627 rakwb Liu, Weimin verfasserin aut Post–earnings–announcement Drift in the UK Oxford, UK and Boston, USA Blackwell Publishing Ltd 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| post–earnings–announcement drift Strong, Norman verfasserin aut Xu, Xinzhong verfasserin aut In European financial management Oxford : Wiley-Blackwell, 1995 9(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243925875 (DE-600)1480712-9 1468-036X nnns volume:9 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1468-036X.00209 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 9 2003 1 0 |
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10.1111/1468-036X.00209 doi (DE-627)NLEJ242386881 DE-627 ger DE-627 rakwb Liu, Weimin verfasserin aut Post–earnings–announcement Drift in the UK Oxford, UK and Boston, USA Blackwell Publishing Ltd 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| post–earnings–announcement drift Strong, Norman verfasserin aut Xu, Xinzhong verfasserin aut In European financial management Oxford : Wiley-Blackwell, 1995 9(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243925875 (DE-600)1480712-9 1468-036X nnns volume:9 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1468-036X.00209 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 9 2003 1 0 |
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10.1111/1468-036X.00209 doi (DE-627)NLEJ242386881 DE-627 ger DE-627 rakwb Liu, Weimin verfasserin aut Post–earnings–announcement Drift in the UK Oxford, UK and Boston, USA Blackwell Publishing Ltd 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| post–earnings–announcement drift Strong, Norman verfasserin aut Xu, Xinzhong verfasserin aut In European financial management Oxford : Wiley-Blackwell, 1995 9(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243925875 (DE-600)1480712-9 1468-036X nnns volume:9 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1468-036X.00209 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 9 2003 1 0 |
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10.1111/1468-036X.00209 doi (DE-627)NLEJ242386881 DE-627 ger DE-627 rakwb Liu, Weimin verfasserin aut Post–earnings–announcement Drift in the UK Oxford, UK and Boston, USA Blackwell Publishing Ltd 2003 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| post–earnings–announcement drift Strong, Norman verfasserin aut Xu, Xinzhong verfasserin aut In European financial management Oxford : Wiley-Blackwell, 1995 9(2003), 1, Seite 0 Online-Ressource (DE-627)NLEJ243925875 (DE-600)1480712-9 1468-036X nnns volume:9 year:2003 number:1 pages:0 http://dx.doi.org/10.1111/1468-036X.00209 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 9 2003 1 0 |
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This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. |
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This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. |
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This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA. |
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<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000caa a22002652 4500</leader><controlfield tag="001">NLEJ242386881</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20210707154322.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">120427s2003 xx |||||o 00| ||und c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1111/1468-036X.00209</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)NLEJ242386881</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Liu, Weimin</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Post–earnings–announcement Drift in the UK</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford, UK and Boston, USA</subfield><subfield code="b">Blackwell Publishing Ltd</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zzz</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">z</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">nicht spezifiziert</subfield><subfield code="b">zu</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA.</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="d">2003</subfield><subfield code="f">Blackwell Publishing Journal Backfiles 1879-2005</subfield><subfield code="7">|2003||||||||||</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">post–earnings–announcement drift</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Strong, Norman</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Xu, Xinzhong</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">In</subfield><subfield code="t">European financial management</subfield><subfield code="d">Oxford : Wiley-Blackwell, 1995</subfield><subfield code="g">9(2003), 1, Seite 0</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)NLEJ243925875</subfield><subfield code="w">(DE-600)1480712-9</subfield><subfield code="x">1468-036X</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:9</subfield><subfield code="g">year:2003</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:0</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://dx.doi.org/10.1111/1468-036X.00209</subfield><subfield code="q">text/html</subfield><subfield code="x">Verlag</subfield><subfield code="z">Deutschlandweit zugänglich</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-1-DJB</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_NL_ARTICLE</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">9</subfield><subfield code="j">2003</subfield><subfield code="e">1</subfield><subfield code="h">0</subfield></datafield></record></collection>
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