Post-Earnings Announcement Drift in Spain and Behavioural Finance Models
Our study examines whether behavioural theories can explain post-earnings announcement drift (i.e. earnings momentum) in the Spanish market. In particular, we test models proposed by Barberis et al. (Journal of Financial Economics, 49, pp. 307-343, 1998), Daniel et al. ( Journal of Finance, 53(6), p...
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| Veröffentlicht in: | The European accounting review 2010-12, Vol.19 (4), p.775-815 |
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| creator | Forner, Carlos Sanabria, Sonia |
| description | Our study examines whether behavioural theories can explain post-earnings announcement drift (i.e. earnings momentum) in the Spanish market. In particular, we test models proposed by Barberis et al. (Journal of Financial Economics, 49, pp. 307-343, 1998), Daniel et al. (
Journal of Finance, 53(6), pp. 1839-1885, 1998) and Hong and Stein (Journal of Finance, 54(6), pp. 2143-2184, 1999). Each of these behavioural models draws on two premises - cognitive biases and limits to arbitrage - that we assume will vary with a given country's cultural and institutional features. Therefore, we must exercise caution when extrapolating the favourable results observed in the US market to markets outside of the USA. Our results provide little evidence in support of the hypothesis used to test whether these models can indeed explain the earnings momentum anomaly in the Spanish market. We believe some characteristics of the Spanish market, such as its lower score on the Individualism Index, lower levels of investor protection and code-law-based legal system, may explain why our results differ from those obtained in the USA. |
| doi_str_mv | 10.1080/09638180903503978 |
| format | Article |
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Journal of Finance, 53(6), pp. 1839-1885, 1998) and Hong and Stein (Journal of Finance, 54(6), pp. 2143-2184, 1999). Each of these behavioural models draws on two premises - cognitive biases and limits to arbitrage - that we assume will vary with a given country's cultural and institutional features. Therefore, we must exercise caution when extrapolating the favourable results observed in the US market to markets outside of the USA. Our results provide little evidence in support of the hypothesis used to test whether these models can indeed explain the earnings momentum anomaly in the Spanish market. We believe some characteristics of the Spanish market, such as its lower score on the Individualism Index, lower levels of investor protection and code-law-based legal system, may explain why our results differ from those obtained in the USA.</description><identifier>ISSN: 0963-8180</identifier><identifier>EISSN: 1468-4497</identifier><identifier>DOI: 10.1080/09638180903503978</identifier><language>eng</language><publisher>London: Routledge</publisher><subject>Accounting methods ; Accounting standards ; Behavior ; Behavioural economics ; Business accounting ; Earnings ; Earnings announcements ; Financial accounting ; Financial regulation ; Financial reporting ; Spain ; Studies</subject><ispartof>The European accounting review, 2010-12, Vol.19 (4), p.775-815</ispartof><rights>Copyright European Accounting Association 2010</rights><rights>Copyright Taylor & Francis Ltd. 2010</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c503t-73f0545512e85ded7e0c10c64accd32816ec294992620b73640cd6952f2d520e3</citedby><cites>FETCH-LOGICAL-c503t-73f0545512e85ded7e0c10c64accd32816ec294992620b73640cd6952f2d520e3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.tandfonline.com/doi/pdf/10.1080/09638180903503978$$EPDF$$P50$$Ginformaworld$$H</linktopdf><linktohtml>$$Uhttps://www.tandfonline.com/doi/full/10.1080/09638180903503978$$EHTML$$P50$$Ginformaworld$$H</linktohtml><link.rule.ids>314,776,780,3994,27901,27902,59620,60409</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/tafeuract/v_3a19_3ay_3a2010_3ai_3a4_3ap_3a775-815.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Forner, Carlos</creatorcontrib><creatorcontrib>Sanabria, Sonia</creatorcontrib><title>Post-Earnings Announcement Drift in Spain and Behavioural Finance Models</title><title>The European accounting review</title><description>Our study examines whether behavioural theories can explain post-earnings announcement drift (i.e. earnings momentum) in the Spanish market. In particular, we test models proposed by Barberis et al. (Journal of Financial Economics, 49, pp. 307-343, 1998), Daniel et al. (
Journal of Finance, 53(6), pp. 1839-1885, 1998) and Hong and Stein (Journal of Finance, 54(6), pp. 2143-2184, 1999). Each of these behavioural models draws on two premises - cognitive biases and limits to arbitrage - that we assume will vary with a given country's cultural and institutional features. Therefore, we must exercise caution when extrapolating the favourable results observed in the US market to markets outside of the USA. Our results provide little evidence in support of the hypothesis used to test whether these models can indeed explain the earnings momentum anomaly in the Spanish market. We believe some characteristics of the Spanish market, such as its lower score on the Individualism Index, lower levels of investor protection and code-law-based legal system, may explain why our results differ from those obtained in the USA.</description><subject>Accounting methods</subject><subject>Accounting standards</subject><subject>Behavior</subject><subject>Behavioural economics</subject><subject>Business accounting</subject><subject>Earnings</subject><subject>Earnings announcements</subject><subject>Financial accounting</subject><subject>Financial regulation</subject><subject>Financial reporting</subject><subject>Spain</subject><subject>Studies</subject><issn>0963-8180</issn><issn>1468-4497</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2010</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkEtPFTEcxRuiCVf0A7ibuHE10PcjYYM8RIPRRF03pdOBkpl2bHuR--3931ziAmJcnHbR3zk5PQi9JfiQYI2PsJFME40NZgIzo_QeWhEudc-5US_Qavveb4F99KrWO4wJ44yv0OW3XFt_7kqK6aZ2JynldfJhDql1ZyWOrYup-744OF0aug_h1t3HvC5u6i5icoB2X_IQpvoavRzdVMObx_sA_bw4_3F62V99_fjp9OSq99Cr9YqNWHAhCA1aDGFQAXuCveTO-4FRTWTw1HBjqKT4WjHJsR-kEXSkg6A4sAP0fpe7lPxrHWqzc6w-TJNLIa-r1cwQzqlRQL57Qt5B8QTlrOZKSiXFFiI7yJdcawmjXUqcXdlYgu12WftsWfB83nlKWIL_a2huDDCMb_beMkcMHBsQxZDEXARx0AJSSlhNhL1tM4SpXVhMYy6z-53LNEDWZsplLDBwrM8r2PbQwHn8Xyf79y_-AFN4p8g</recordid><startdate>201012</startdate><enddate>201012</enddate><creator>Forner, Carlos</creator><creator>Sanabria, Sonia</creator><general>Routledge</general><general>Taylor and Francis Journals</general><general>Taylor & Francis Ltd</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>201012</creationdate><title>Post-Earnings Announcement Drift in Spain and Behavioural Finance Models</title><author>Forner, Carlos ; Sanabria, Sonia</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c503t-73f0545512e85ded7e0c10c64accd32816ec294992620b73640cd6952f2d520e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2010</creationdate><topic>Accounting methods</topic><topic>Accounting standards</topic><topic>Behavior</topic><topic>Behavioural economics</topic><topic>Business accounting</topic><topic>Earnings</topic><topic>Earnings announcements</topic><topic>Financial accounting</topic><topic>Financial regulation</topic><topic>Financial reporting</topic><topic>Spain</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Forner, Carlos</creatorcontrib><creatorcontrib>Sanabria, Sonia</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The European accounting review</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Forner, Carlos</au><au>Sanabria, Sonia</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Post-Earnings Announcement Drift in Spain and Behavioural Finance Models</atitle><jtitle>The European accounting review</jtitle><date>2010-12</date><risdate>2010</risdate><volume>19</volume><issue>4</issue><spage>775</spage><epage>815</epage><pages>775-815</pages><issn>0963-8180</issn><eissn>1468-4497</eissn><abstract>Our study examines whether behavioural theories can explain post-earnings announcement drift (i.e. earnings momentum) in the Spanish market. In particular, we test models proposed by Barberis et al. (Journal of Financial Economics, 49, pp. 307-343, 1998), Daniel et al. (
Journal of Finance, 53(6), pp. 1839-1885, 1998) and Hong and Stein (Journal of Finance, 54(6), pp. 2143-2184, 1999). Each of these behavioural models draws on two premises - cognitive biases and limits to arbitrage - that we assume will vary with a given country's cultural and institutional features. Therefore, we must exercise caution when extrapolating the favourable results observed in the US market to markets outside of the USA. Our results provide little evidence in support of the hypothesis used to test whether these models can indeed explain the earnings momentum anomaly in the Spanish market. We believe some characteristics of the Spanish market, such as its lower score on the Individualism Index, lower levels of investor protection and code-law-based legal system, may explain why our results differ from those obtained in the USA.</abstract><cop>London</cop><pub>Routledge</pub><doi>10.1080/09638180903503978</doi><tpages>41</tpages></addata></record> |
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| ispartof | The European accounting review, 2010-12, Vol.19 (4), p.775-815 |
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| language | eng |
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| source | RePEc; Taylor & Francis Journals Complete; EBSCOhost Business Source Complete |
| subjects | Accounting methods Accounting standards Behavior Behavioural economics Business accounting Earnings Earnings announcements Financial accounting Financial regulation Financial reporting Spain Studies |
| title | Post-Earnings Announcement Drift in Spain and Behavioural Finance Models |
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