Market uncertainty and sentiment, and the post-earnings announcement drift

Bird, R; Choi, D; Yeung, DC

Market uncertainty and sentiment, and the post-earnings announcement drift

Bird, R

Choi, D Yeung, DC

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Publisher:: University of NSW
Publication Type:: Conference Proceeding
Citation:: 24th Australasian Finance and Banking Conference Proceedings, 2011, pp. 1 - 43
Issue Date:: 2011-01

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Field	Value	Language
dc.contributor.author	Bird, R https://orcid.org/0000-0003-0524-9377	en_US
dc.contributor.author	Choi, D	en_US
dc.contributor.author	Yeung, DC https://orcid.org/0000-0002-3032-0449	en_US
dc.contributor.editor	Moshirian, FEA	en_US
dc.date	2011-12-14	en_US
dc.date.issued	2011-01	en_US
dc.identifier.citation	24th Australasian Finance and Banking Conference Proceedings, 2011, pp. 1 - 43	en_US
dc.identifier.isbn	978-0-9873127-3-0	en_US
dc.identifier.uri	http://hdl.handle.net/10453/19406
dc.description.abstract	The post-earnings announcement drift (PEAD) first identified over 40 years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection of the level of market uncertainty and sentiment that prevails during the post-announcement period. The finding that uncertainty plays a role in explaining how investors respond to information suggests that it should be included as a factor in pricing models while the fact that market sentiment also has a role is another instance of the importance of human behaviour in establishing prices	en_US
dc.publisher	University of NSW	en_US
dc.relation.ispartof	24th Australasian Finance and Banking Conference Proceedings	en_US
dc.relation.ispartof	Australasian Finance and Banking Conference	en_US
dc.title	Market uncertainty and sentiment, and the post-earnings announcement drift	en_US
dc.type	Conference Proceeding
utslib.location	Sydney	en_US
utslib.location.activity	Sydney, Australia	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
dc.location.activity	Sydney Australia	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.finish-date	2011-12-16	en_US
pubs.place-of-publication	Sydney	en_US
pubs.start-date	2011-12-14	en_US

Abstract:

The post-earnings announcement drift (PEAD) first identified over 40 years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection of the level of market uncertainty and sentiment that prevails during the post-announcement period. The finding that uncertainty plays a role in explaining how investors respond to information suggests that it should be included as a factor in pricing models while the fact that market sentiment also has a role is another instance of the importance of human behaviour in establishing prices

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/19406