The paper first time examines the effect of investment surprises on post-earnings-announcement_x000D_ drift. Results show that investment surprises, which is a kind of non-earning concurrent_x000D_ information released at the same time with earnings announcement, have a negative effect on the_x000D_ post-earnings-announcement drift. Further various robustness checks confirm this relation. Our_x000D_ results are consistent with recent developments of the investment-based asset pricing model and_x000D_ support the argument that the post-earnings-announcement drift is due to the inaccuracy of_x000D_ underlying benchmark to capture the real risks.
