Post-earnings announcement drift: Spanish evidence
This paper analyses whether earnings announcements in the Spanish stock market are followed in subsequent months by a return drift in the same direction as the earnings surprise. Two alternative earnings surprise measures are used and they both provide strong post-earnings announcement drifts. In or...
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| Veröffentlicht in: | Spanish economic review 2009-09, Vol.11 (3), p.207-241 |
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| container_title | Spanish economic review |
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| creator | Forner, Carlos Sanabria, Sonia Marhuenda, Joaquín |
| description | This paper analyses whether earnings announcements in the Spanish stock market are followed in subsequent months by a return drift in the same direction as the earnings surprise. Two alternative earnings surprise measures are used and they both provide strong post-earnings announcement drifts. In order to find an explanation for this anomaly we first make several unconditional adjustments, which include the CAPM, the Fama–French (J Financ Econ 33:3–56, 1993) three-factor model, a liquidity factor, controlling portfolios by size and book-to-market ratio, and controlling for the momentum effect. Second, we make a conditional analysis following two different approaches: (i) studying the relation with the business cycle and (ii) studying whether this phenomenon can be explained through a conditional version of the CAPM and the Fama-French model. None of these adjustments are able to satisfactorily capture the Spanish post-earnings announcement drift. A final analysis offers some slight evidence in favour of the limits-to-arbitrage explanation. |
| doi_str_mv | 10.1007/s10108-008-9048-4 |
| format | Article |
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A final analysis offers some slight evidence in favour of the limits-to-arbitrage explanation.</description><subject>Abnormal returns</subject><subject>Arbitrage</subject><subject>Business cycles</subject><subject>Earnings</subject><subject>Earnings announcements</subject><subject>Economic analysis</subject><subject>Economic theory</subject><subject>Economics</subject><subject>Economics and Finance</subject><subject>Hypotheses</subject><subject>Liquidity</subject><subject>Regular Article</subject><subject>Securities markets</subject><subject>Spain</subject><subject>Stock exchange</subject><subject>Studies</subject><issn>1435-5469</issn><issn>1435-5477</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2009</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kEtLxDAUhYMoOI7-AHfFhbvozaNJ6k4GXzCgoK5DmqRjh5m0Jq3gvzdDRUFwcR9wv3O4HIROCVwQAHmZCBBQGHJVwBXme2hGOCtxyaXc_9lFdYiOUloDUMFoOUP0qUsD9iaGNqxSYULoxmD91oehcLFthqviuTehTW-F_2idz7djdNCYTfIn33OOXm9vXhb3ePl497C4XmLLQQ1YlqJmtRHO8JobZ42grnROcZBWEtOwGiA3ybyDjAhfEiI5FabyzBJWsTk6n3z72L2PPg162ybrNxsTfDcmzSRRIBXP4NkfcN2NMeTfNGVCKEEqmiEyQTZ2KUXf6D62WxM_NQG9i1BPEeocod5FqHfGdNKkzIaVj7_G_4u-ABPocvk</recordid><startdate>20090901</startdate><enddate>20090901</enddate><creator>Forner, Carlos</creator><creator>Sanabria, Sonia</creator><creator>Marhuenda, Joaquín</creator><general>Springer-Verlag</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8AO</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PYYUZ</scope><scope>Q9U</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20090901</creationdate><title>Post-earnings announcement drift: Spanish evidence</title><author>Forner, Carlos ; 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| fulltext | fulltext |
| identifier | ISSN: 1435-5469 |
| ispartof | Spanish economic review, 2009-09, Vol.11 (3), p.207-241 |
| issn | 1435-5469 1435-5477 |
| language | eng |
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| source | Business Source Complete; SpringerLink Journals - AutoHoldings |
| subjects | Abnormal returns Arbitrage Business cycles Earnings Earnings announcements Economic analysis Economic theory Economics Economics and Finance Hypotheses Liquidity Regular Article Securities markets Spain Stock exchange Studies |
| title | Post-earnings announcement drift: Spanish evidence |
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