Post-earnings-announcement drift and post-earnings-announcement news

This study investigates the impacts of five types of firm-specific news events on the Post-Earnings-Announcement Drift (PEAD). The results show that about one third of the Cumulative Abnormal Returns (CARs) for the extremely positive Standardised Unexpected Earning (SUE) portfolio sources from ex post firm-specific news events. It indicates that the magnitude of the 'pure' PEAD is not so pronounced as that documented in previous studies.

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