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Post-Earnings-Announcement Drift

Jürgen Brandner Josef Fink Stefan Palan Erik Theissen
Jürgen Brandner

Josef Fink

Stefan Palan

Erik Theissen

Overview

Funding source: Austrian Science Fund (FWF), project number P 32124-G27
Funding amount: € 159,590.34
Duration: 05/2019-04/2023
Project team:
   Stefan Palan (principal investigator)
   Erik Theissen (project member)
   Jürgen Brandner (PhD student, project member)
   Josef Fink (PhD student, project member)

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.

Project updates
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. 
2019-11-22 | 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. 
2019-05-29 | Conclusion of experiments to study the role of earnings autocorrelation in driving PEAD. 
2019-05-09 | Start of experiments to study the role of earnings autocorrelation in driving PEAD. 
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. 
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