Post-Earnings-Announcement Drift

Overview

Funding source: Austrian Science Fund (FWF), project number P 32124-G27

Funding amount: € 159,590.34

Duration: 05/2019-04/2023

Agenda

Stock prices tend to adjust slowly to the information contained in earnings announcements. After a positive (negative) earnings surprise (defined as the difference between actual and expected earnings), stock prices tend to drift upward (downward) for up to one year. This phenomenon is referred to as the post-earnings-announcement drift (PEAD).

This project's main contribution to research into PEAD is the use of laboratory experiments. In three separate papers, the project will investigate (1) the most prominent explanation from the literature for why PEAD occurs - earnings autocorrelation, (2) whether limits to arbitrage prevent the elimination of PEAD, and (3) how share prices adjust to the information contained in the announcements, and how institutional features of the market, details of trader behavior and the timing of the earnings announcement affect the adjustment of prices.

Publications

Fink, J., Palan, S., Theissen, E., Forthcoming. Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence. Journal of Financial and Quantitative Analysis.
Fink, J., 2021. A review of the Post-Earnings-Announcement Drift, Journal of Behavioral and Experimental Finance 29, 100446.

Working papers

Fink, J., Palan, S., Theissen, E., 2021. "Trading Frictions and the Post-Earnings-Announcement Drift", University of Graz, School of Business, Economics and Social Sciences, Working paper 2021-01. 

Project updates

2023-05-25 | Submission of "Earnings Announcement Timing in Selected Equity Markets" to the first journal.
2023-04-28 | Submission of "Trading frictions and the post-earnings-announcement drift" to the first journal.
2023-04-21 | "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence" accepted by the Journal of Financial and Quantitative Analysis.
2022-10-27 | Submission of "Rock Around The Clock: Literature Review on Earnings Announcement Timing" to the first journal.
2021-09-29 | Stefan Palan presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence", Department of Finance, Maastricht University.
2021-07-07 | Stefan Palan presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence", ResearchDay, FinanceResearch Graz.
2021-06-17 | Erik Theissen presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence", Department of Finance, University of Cologne.
2021-06-17 | Stefan Palan presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence", Experimental Finance 2021, University of Innsbruck.
2021-06-17 | Stefan Palan presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence", Department of Finance, University of Pisa.
2021-02-18 | Publication of working paper "Trading frictions and the post-earnings-announcement drift".
2021-02-01 | Marcel Pfandl joins the project team.
2021-01-13 | Project presentation at the Research Day of the School of Business, Economics and Social Sciences, University of Graz.
2020-12-13 | Publication of "A review of the Post-Earnings-Announcement Drift" in the  Journal of Behavioral and Experimental Finance.
2020-11-11 | Presentation of "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence" in the Experimental Finance Workshop, Radboud University.
2020-11-01 | Kerstin Mitterbacher joins the project team.
2020-10-16 | Publication of working paper "Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence".
2020-06-29 | Josef Fink conducts first post-lockdown experiment at the University of Hamburg.
2020-05-05 | Jürgen Brandner joins the project team.
2019-12-12 | Josef Fink presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift", FiRe Research Day, Graz.
2019-11-11 | Stefan Palan presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift", Austrian Working Group on Banking and Finance, Vaduz, Liechtenstein.
2019-10-25 | Stefan Palan presents "Earnings Autocorrelation and the Post-Earnings-Announcement Drift", LFIN seminar, UC Louvain, Belgium.
2019-03-11 | Funding approved by Austrian Science Fund (FWF).
2018-08-14 | Grant proposal submitted to Austrian Science Fund (FWF).
2018-06-25 | Grant proposal denied by Austrian Science Fund (FWF).
2017-10-23 | Grant proposal submitted to Austrian Science Fund (FWF).
2017-08-01 | Master thesis of Adele Theiler approved.
2016-08-09 | Adele Theiler starts master thesis to study PEAD.
2015-08-21 | First discussions about commencing experimental research into PEAD.