Earnings Autocorrelation and the Post-Earnings-Announcement Drift: Experimental Evidence
通过实验室实验，研究了盈余自相关是否是盈余公告后漂移（PEAD）这一资产定价异象的驱动原因，发现盈余自相关并非必要条件，但会加速PEAD。
Abstract Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of the experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and correlated earnings surprises, confirming that earnings autocorrelation is not a necessary condition for PEAD. Instead, it acts as an accelerator: PEAD is stronger when earnings surprises are correlated. We further show that market prices underadjust to fundamental value changes, and that trading strategies can profitably exploit the PEAD.