October 25, 2019
CORE B -135
Earnings Autocorrelation and the Post-Earnings-Announcement Drift
Stefan Palan, University of Graz
Abstract : Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies in the literature. This paper presents the first investigation into post-earningsannouncement drift (PEAD) under the controlled conditions of an experimental lab. We replicate PEAD in the lab and observe PEAD for firms whose earnings are serially independent.