Post–earnings–announcement Drift in the UK
检验英国市场是否存在盈余公告后漂移，使用三种盈余意外度量均发现显著漂移，且价格度量效果最强，表明英国股市对公开盈余信息反应不足。
This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA.