On the Anomalous Stock Price Response to Management Earnings Forecasts
研究了管理层季度盈利预测公布后股价的异常漂移现象，发现好消息和坏消息预测后股价均出现显著向上漂移，且这种模式与初始反应过度或不足的逆转或延续有关，利用该漂移可产生扣除交易成本后的经济利润。
Abstract: This paper examines stock price formation subsequent to management forecasts of quarterly earnings. In the post‐announcement period, we find a significant upward price drift for both good news forecasts and bad news forecasts. Combined with the asymmetry in the initial market response, the upward post‐guidance drift in stock prices is consistent with a reversal of an initial overreaction to managers’ bad news forecasts and a continuation of an initial underreaction to managers’ good news forecasts. This interpretation is supported by a negative (positive) relationship between the initial market response and the post‐guidance drift in the bad news (good news) group. The drift pattern is robust to issues arising from measurement. Trading strategies exploiting the post‐announcement drift suggest the existence of economically significant trading profits, net of estimated trading costs.