Information Uncertainty and Post‐Earnings‐Announcement‐Drift
研究投资者对信息不确定性的理性反应能否解释盈余公告后漂移（PEAD）交易异象的性质和收益，发现高信息不确定性的意外盈余信号初始市场反应更弱，且极端意外盈余组合中高不确定性证券更常见、异常收益更大。
Abstract: We examine whether rational investor responses to information uncertainty (IU) explain properties of and returns to the post‐earnings‐announcement‐drift (PEAD) trading anomaly. Consistent with a rational learning explanation, we find that: (1) unexpected earnings (UE) signals that are characterized as having greater IU have more muted initial market reactions; (2) extreme UE portfolios are characterized by securities with higher IU than non‐extreme UE portfolios; and (3) within the extreme UE portfolios, high IU securities are more prevalent and earn larger abnormal returns than low IU securities. Further tests show that prior evidence of greater PEAD profitability for higher idiosyncratic volatility securities is explained by the greater information uncertainty associated with these securities.