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Tuesday, October 2 • 8:00am - 8:50am
A2b - Post-Earnings-Announcement Drift: The Role of Investment Surprises

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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.

Author(s): Aaron Lin


Aaron Lin

Western Connecticut State University

Tuesday October 2, 2018 8:00am - 8:50am CDT
Michigan 1B