Is information uncertainty positively or negatively associated with post-earnings-announcement drift?

Show full item record

Title: Is information uncertainty positively or negatively associated with post-earnings-announcement drift?
Author: Lee, Joonho, 1969-
Abstract: This dissertation reconciles ostensibly conflicting evidence from prior research about the association between information uncertainty and post -earnings -announcement drift (PEAD ) . According to traditional PEAD studies there should be a positive association between PEAD and uncertainty about the implication of an earnings announcement for future earnings , referred to in this dissertation as "information uncertainty ." Empirical studies have documented both positive and negative associations , however . In particular , studies that use analyst forecast dispersion as a proxy for information uncertainty report a negative association between information uncertainty and PEAD . Although the authors of those studies argue that their results are consistent with behavioral finance theories , a negative association between information uncertainty and PEAD is troubling because it is not consistent with the notion that more reliable information improves market efficiency . In fact , previous empirical studies that use proxies for information uncertainty other than analyst forecast dispersion find a positive association between information uncertainty and PEAD . This study argues that the negative association between analyst forecast dispersion and PEAD can be explained by "herding" behavior immediately after earnings announcements . I introduce an analyst -based proxy for information uncertainty that mitigates the effects of herding on forecast dispersion . I find that , after controlling for the effect of herding , there is a positive association between information uncertainty and PEAD even when analyst forecasts are used to measure information uncertainty .
URI: http : / /hdl .handle .net /2152 /3493
Date: 2008-08-28

Citation

Is information uncertainty positively or negatively associated with post-earnings-announcement drift?. Doctoral dissertation, The University of Texas at Austin. Available electronically from http : / /hdl .handle .net /2152 /3493 .

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show full item record

Search DSpace

Advanced Search

Browse