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An informational efficiency perspective on the post-earnings announcement drift

An informational efficiency perspective on the post-earnings announcement drift,10.1016/0165-4101(94)90018-3,Journal of Accounting & Economics,R. Bhus

An informational efficiency perspective on the post-earnings announcement drift   (Citations: 76)
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Journal: Journal of Accounting & Economics - J ACCOUNT ECON , vol. 18, no. 1, pp. 45-65, 1994
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    • ...Bhushan (1994), based on discussions with institutional money managers, contends that stock price is negatively related to commissions...
    • ...Bhushan (1994) argues that dollar-trading volume is negatively associated with trading costs such as price pressure and the time required to fill an order...
    • ...To evaluate the effect of volume on the profitability of the accrual trading strategy, consistent with Bhushan (1994), we compute the dollar trading VOLUME for a firm defined as CRSP daily closing price times CRSP daily shares traded, averaged over a year ending one month prior to April 1 of the post-ranking year (over 250 trading days)...

    Christina Mashruwalaet al. Why is the accrual anomaly not arbitraged away? The role of idiosyncra...

    • ...Bhushan (1994) assumes that PEAD is caused by na. ıve investors, but argues that PEAD persists because of limited arbitrage by sophisticated investors...
    • ...Direct trading costs include bid-ask spreads and commissions, while indirect trading costs include price pressure of large trade quantities and delay in executing an entire order (Kyle, 1985; Bhushan, 1994)...
    • ...Bhushan (1994) shows that the magnitude of PEAD is positively related to direct and indirect trading costs...
    • ...First, based on the prior literature (Bhushan, 1994; Bartov et al., 2000), we identify...
    • ...Bhushan (1994) uses PRICE as a proxy for the direct trading costs and DVOL as a proxy for the indirect trading costs...

    Bin Keet al. Do Institutional Investors Exploit the Post-earnings Announcement Drif...

    • ...Some researchers argue that the market underreacts to earnings surprises because transaction costs prevent investors from making profits by trading on drift (Bhushan, 1994)...
    • ...I include the level of heterogeneous information after earnings announcements and change in uncertainty before and after earnings announcements in the model to test H1 and H2. In addition, I control for firm size, as prior research has documented that drift is inversely related to firm size (Foster et al. 1984; Bernard and Thomas, 1989, 1990; Bhushan, 1994; Ball and Bartov, 1996; Alford and Berger, 1997)...
    • ...Observations for each of the other independent variables are also divided into deciles from 0 to 1. Bernard and Thomas (1990) and Bhushan (1994) argue that the coefficient of the unexpected earnings is the abnormal return on a zero-investment portfolio when UE is measured as deciles from 0 to 1. Under this scheme, g1 measures the return on a zero-investment portfolio, consisting of firms with the smallest values of HIjq,DVjq and SIZEjq...
    • ...UE values greater (less) than 5 ð� 5Þ are winsorized to 5 ð� 5Þ, consistent with prior research (Bernard and Thomas, 1990; Bhushan, 1994)...

    Lihong Liang. Post-Earnings Announcement Drift and Market Participants' Information ...

    • ...Drift is shown to be higher for smaller firms (e.g., Foster Olsen and Shevlin, 1984), higher for firms with low share prices and low trading volumes (e.g., Bhushan, 1994), and higher for firms with low institutional ownership (e.g., Bartov, et al. 2000)...

    Jacob K. Thomas. Discussion of “Post-Earnings Announcement Drift and Market Participant...

    • ...Bhushan 1994; Ball and Bartov 1996; Brown and Han 2000)...

    Robert Libbyet al. Experimental research in financial accounting

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