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Quantitative Finance · Glosarium

Apa itu Post-earnings-announcement drift?

Definition 7.2 Strategies I: Equities and Futures · Bab 7 — Earnings

Post-earnings-announcement drift is the tendency of a stock’s abnormal returns to continue in the direction of its earnings surprise for weeks after the announcement.

Event study of the synthetic market’s announcements: mean cumulative market-adjusted return from five days before to sixty days after, for large positive and large negative surprises. Data: s1_earnings.car.
Figure 7.1. Event study of the synthetic market’s announcements: mean cumulative market-adjusted return from five days before to sixty days after, for large positive and large negative surprises. Data: s1_earnings.car.
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