We hypothesize that post-earnings-announcement drift (PEAD) is caused by underreaction of long-term investors since they do not pay much attention to short-term events. Consistent with the hypothesis, empirical observations show that stocks mostly held by long-term investors exhibit strong PEAD. It is striking because these stocks have low transaction costs and are highly recognizable.
Keywords: Post-Earnings-Announcement Drift, Investment Horizon, Portfolio Turnover Level
학회소식
공지사항
[2015년 제 2차] Investment Horizon of Shareholders and Post-Earning
작성자 : 관리자
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게시일 :
2015-06-03