재무연구 제 권 호 (2015년 5월)
Asian Review of Financial Research, Vol., No..
pp.587~615
pp.587~615
Investment Horizon of Shareholders and Post-Earnings-Announcement Drift
Min Kyeong Kwon Ph.D. candidate, School of Management Engineering, Korea Advanced Institute of Science and Technology
Tong Suk Kim Professor, School of Management Engineering, Korea Advanced Institute of Science and Technology
We hypothesize that post-earnings-announcement drift (PEAD) is caused by underreaction of long-term investors since they do not pay much attention to short-term events. Consistent with the hypothesis, empirical observations show that stocks mostly held by long-term investors exhibit strong PEAD. It is striking because these stocks have low transaction costs and are highly recognizable.
Min Kyeong Kwon
Tong Suk Kim
We hypothesize that post-earnings-announcement drift (PEAD) is caused by underreaction of long-term investors since they do not pay much attention to short-term events. Consistent with the hypothesis, empirical observations show that stocks mostly held by long-term investors exhibit strong PEAD. It is striking because these stocks have low transaction costs and are highly recognizable.
