The persistence of firm-specific post-earnings announcement returns

Son, Dong Hyun; Palmon, Dan; Yezegel, Ari

doi:10.1080/10293523.2017.1413151

Cited by 5 publications

(2 citation statements)

References 31 publications

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“…For examining the relationship between sentiment and short-term stock return as well as mood and short-term stock return, this study analyzes post-earnings announcement drift (PEAD) (Ball and Brown, 1968). PEAD constitutes a lasting market anomaly (Son et al , 2018). This study argues that after the release of quarterly earnings, short-term stock return does not only depend on the earnings surprise, as suggested by past research (Ball and Brown, 1968), but also on sentiment and mood.…”

Section: Sample and Methodologymentioning

confidence: 99%

Sentiment versus mood: a conceptual and empirical investigation

Rapp¹

2019

JCMS

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Purpose The purpose of this paper is to investigate whether sentiment and mood, which are distinct theoretical concepts, can also be distinguished empirically. Design/methodology/approach Using a sample of German small-cap stocks and linear techniques, the effect of sentiment and mood on short-term abnormal stock return following earnings announcements is tested separately. Findings Mood tends to be a positive factor in predicting short-term abnormal stock return, as its biologically based impact uniformly affects the risk aversion of all market participants. Notably, negative mood influences stock return significantly negatively. Sentiment is no factor, however, as its cognitively based impact affects only unsophisticated investors, namely, their cash-flow expectations. Research limitations/implications As the sample is restricted to small-cap stocks from a single stock market and only two proxies of sentiment and mood, respectively, are used, the findings should be generalized with caution. Future research might investigate other markets and employ different proxies of sentiment and mood. Practical implications Market participants should be aware of the different effect of sentiment and mood on stock return and adjust investment strategies accordingly. Social implications As sophisticated investors are likely to profit from the irrational behavior of unsophisticated investors, who are prone to sentiment, the financial literacy of retail investors should be enhanced. Originality/value This paper is unique in distinguishing between sentiment and mood, both theoretically and empirically. Such distinction was largely ignored by related past research.

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Section: Sample and Methodologymentioning

confidence: 99%

Sentiment versus mood: a conceptual and empirical investigation

Rapp¹

2019

JCMS

View full text Add to dashboard Cite

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“…In this context, several national and international studies highlight the proxy persistence of earnings (e.g., Fairfield & Yohn, 2001;Soliman, 2008;Hui, Nelson & Yeung, 2016;Lawson & Wang, 2016;Yao, Percy, Stewart & Hu, 2017;Kent & Routledge, 2017;Son, Palmon & Yezegel, 2018). Dechow, Ge and Schrand (2010) emphasize persistence as an important metric of expected cash flows, thus being useful for evaluation.…”

Section: Methodsmentioning

confidence: 99%

Earnings Quality and Ifrs: Analysis of Brazilian Companies of the Banking Sector Listed on the B3

Silva¹,

Fraga

Noriller

et al. 2019

GCG

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The objective of this research is to analyze whether there was an increase in the quality of the information of companies of the banking sector listed on Brazil, Bolsa, Balcão (B3), by the adoption of accounting standards of the IASB, and whether the earnings persistence of publicly held companies in the banking sector increased by the adoption of the IFRS standard and whether the fair value had any impact on this relationship. The sample comprises 25 companies from the banking sector of B3 over a period of 12 calendar years, i.e., from 2004 to 2009 and from 2011 to 2016. The tests were carried out considering net income. We used data from published financial statements made available to the general public on the B3 website. The results confirmed only the first hypothesis, which demonstrated that the quality of Brazilian banking sector earnings, based on persistence, increased by the adoption of international accounting standards. On the other hand, the results pointed out that the realization of the adjustment to fair value of financial instruments did not change the persistence of earnings of all 25 companies analyzed. 10.3232/GCG.2019.V13.N3.01Qualidade de lucro e IFRS: análise de empresas brasileiras do setor bancário listadas na B3 Calidad de ganancias e IFRS: Análisis de empresas brasileñas del sector bancario que cotizan en el B3

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A review of the Post-Earnings-Announcement Drift

Fink

2021

Journal of Behavioral and Experimental Finance

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The persistence of firm-specific post-earnings announcement returns

Cited by 5 publications

References 31 publications

Sentiment versus mood: a conceptual and empirical investigation

Sentiment versus mood: a conceptual and empirical investigation

Earnings Quality and Ifrs: Analysis of Brazilian Companies of the Banking Sector Listed on the B3

A review of the Post-Earnings-Announcement Drift

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