Post Loss/:Profit Announcement Drift
| dc.contributor.author | Balakrishnan, Karthik | |
| dc.contributor.author | Bartov, Eli | |
| dc.contributor.author | Faurel, Lucile | |
| dc.date | 2023-05-17T14:12:24.000 | |
| dc.date.accessioned | 2023-05-22T11:48:11Z | |
| dc.date.available | 2023-05-22T11:48:11Z | |
| dc.date.issued | 2010-05-01 | |
| dc.date.submitted | 2016-05-24T12:17:05-07:00 | |
| dc.description.abstract | We document a market failure to fully respond to loss/profit quarterly announcements. The annualized post portfolio formation return spread between two portfolios formed on extreme losses and extreme profits is approximately 21 percent. This loss/profit anomaly is incremental to previously documented accounting-related anomalies, and is robust to alternative risk adjustments, distress risk, firm size, short sales constraints, transaction costs, and sample periods. In an effort to explain this finding, we show that this mispricing is related to differences between conditional and unconditional probabilities of losses/profits, as if stock prices do not fully reflect conditional probabilities in a timely fashion. | |
| dc.identifier.uri | https://repository.upenn.edu/handle/20.500.14332/1043 | |
| dc.legacy.articleid | 1011 | |
| dc.legacy.fields | 10.1016/j.jacceco.2009.12.002 | |
| dc.legacy.fulltexturl | https://repository.upenn.edu/cgi/viewcontent.cgi?article=1011&context=accounting_papers&unstamped=1 | |
| dc.rights | © 2010. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.source.beginpage | 20 | |
| dc.source.endpage | 41 | |
| dc.source.issue | 118 | |
| dc.source.issue | 1 | |
| dc.source.journal | Accounting Papers | |
| dc.source.journaltitle | Journal of Accounting and Economics | |
| dc.source.peerreviewed | true | |
| dc.source.status | published | |
| dc.source.volume | 50 | |
| dc.subject.other | loss/profit mispricing | |
| dc.subject.other | loss/profit predictability | |
| dc.subject.other | accounting losses/profits | |
| dc.subject.other | post-earnings-announcement drift | |
| dc.subject.other | earnings-based anomalies | |
| dc.subject.other | Accounting | |
| dc.title | Post Loss/:Profit Announcement Drift | |
| dc.type | Article | |
| digcom.identifier | accounting_papers/118 | |
| digcom.identifier.contextkey | 8642582 | |
| digcom.identifier.submissionpath | accounting_papers/118 | |
| digcom.type | article | |
| dspace.entity.type | Publication | |
| upenn.schoolDepartmentCenter | Accounting Papers |
Files
Original bundle
1 - 1 of 1