Post-Earnings-Announcement Drift in Global Markets: Evidence from an Information Shock
研究了非美国公司财务报告质量的外生改善如何影响盈余公告后漂移，发现信息冲击后漂移减少，支持了错误定价和有限注意力的解释。
We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms' financial-reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer concurrent earnings announcements, greater institutional holdings, and lower limits to arbitrage. In addition, the decrease in PEAD is driven by firms with greater changes in financial reporting, an increase in analyst forecast accuracy and institutional ownership, and a decrease in limits to arbitrage. These findings support the mispricing explanation of PEAD, in particular, the limited attention hypothesis, in an international setting.