Explaining the Decline of PEAD: More Arbitrage or Less News?
研究发现盈余公告后漂移（PEAD）的下降主要源于盈余新闻预测未来盈余的信息含量降低，而非套利活动增加，尤其对小公司影响显著。
Post-earnings-announcement drift (PEAD) has declined significantly over time. The prevailing explanation for this decline from prior work is an increase in arbitraging activities. We propose a new explanation based on a decline in the informativeness of current earnings news in predicting future earnings news (“signal informativeness”). We show that declining signal informativeness, particularly for smaller firms, plays a much more important role in the decline of PEAD than increasing arbitrage trading. In fact, when we account for declining signal informativeness alone, the downward trend in PEAD is no longer significant. Finally, we find that an increasing prevalence of firms with volatile earnings contributes most to declining signal informativeness, with the rise of special items playing a relatively minor role.