Quarterly Data, Sort-Rank Routines, and Security Evaluation

Latané, Henry A.; Joy, O. Maurice; Jones, Charles P.

doi:10.1086/295305

Cited by 32 publications

(13 citation statements)

References 2 publications

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“…The SUE effect was first discovered by Ball and Brown [1968] using a sample extending back to the 1950s. Over the following decade, several papers using different samples and methods confirmed the drift (e.g., Jones and Litzenberger [1970], Latane, Joy, and Jones [1970], Joy, Litzenberger, and McEnally [1977], and Latané and Jones [1979]). As these studies appeared, increased interest and skepticism led to the careful, large-scale studies of Rendelman, Jones, and Latane [1982], Foster, Olsen, and Shevlin [1984], and Bernard and Thomas [1989].…”

Section: Sue Literature Reviewmentioning

confidence: 98%

Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

2006

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Post-earnings announcement drift is the tendency for a stock's cumulative abnormal returns to drift in the direction of an earnings surprise for several weeks following an earnings announcement. We show that the drift is significantly larger when defining the earnings surprise using analysts' forecasts and actual earnings from I/B/E/S than when using a time series model based on Compustat earnings data. Neither Compustat's policy of restating earnings nor the inclusion of "special items" in reported earnings contribute significantly to the disparity in drift magnitudes. Rather, our results suggest that this disparity is attributable to differences between analyst forecasts and those of time-series models-or at least to factors correlated with these differences. Further, we document that analyst forecasts lead to return patterns around future earnings announcements that differ from those observed when using time-series models, suggesting that the two types of surprises may capture somewhat different forms of mispricing. Copyright 2006 The Institute of Professional Accounting, University of Chicago.

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Section: Sue Literature Reviewmentioning

confidence: 98%

Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

2006

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“…Ball and Brown (1968) were the first to document the PEAD phenomenon in the United States, and follow-up studies by Jones and Litzenberger (1970), Latane et al (1970), Joy et al (1977), and Latane and Jones (1979) reported the drift in several different sample periods. More rigorous in methodology and larger in scale, studies by Foster et al (1984), Freeman and Tse (1989), Thomas (1989, 1990) also confirmed the existence of the drift.…”

Section: Prior Research and Motivationmentioning

confidence: 99%

Is trading on earnings surprises a profitable strategy? Canadian evidence

Chudek

Truong

Veeraraghavan

2011

Journal of International Financial Markets, Institutions and Mo

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“…Earnings momentum, also referred to as post-earnings announcement drift (PEAD), is one of the best-documented and most resilient capital-markets anomalies. The literature, beginning with Ball and Brown [1968], Jones and Litzenberger [1970], Latane et al [1970], Joy et al [1977], and Latane and Jones [1979], employing different samples and methods, confirms PEAD. Increased interest in and a demand for more rigorous examination of PEAD led to larger-scale studies, such as Foster et al [1984], Freeman and Tse [1989], Thomas [1989, 1990], and Chan et al [1996].…”

Section: Earnings Momentummentioning

confidence: 80%

Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets

et al. 2010

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The literature shows that price and earnings momentum returns cannot be fully explained by risk-based theories. In an attempt to better understand the price momentum anomaly, Chui et al. [2010] document that the cultural factor of-individualism‖ influences price momentum returns, but that the cultural factor of-uncertainty avoidance‖ does not. The current study extends Chui et al. [2010] by examining the influence of individualism and uncertainty avoidance on earnings momentum profits, as theory suggests that unique characteristics associated with earnings momentum, relative to price momentum, give rise to significant effects for both these cultural factors. Using data from 41 countries, we show that the level of individualism in a country is positively associated with earnings momentum profits and that the level of uncertainty avoidance is negatively associated with earnings momentum profits. This study contributes to the ongoing quest to better understand the earnings momentum phenomenon.

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Quarterly Data, Sort-Rank Routines, and Security Evaluation

Cited by 32 publications

References 2 publications

Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

Is trading on earnings surprises a profitable strategy? Canadian evidence

Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets

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