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An Empirical Study Of Investors Heterogeneous Beliefs Effect On The Post-Earnings-Announcement Drift

Posted on:2009-05-25Degree:MasterType:Thesis
Country:ChinaCandidate:J G ZouFull Text:PDF
GTID:2189360272992372Subject:Business management
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Post-Earnings-Announcement Drift means the publication of earnings data in listed companies financial statements can lead to a long-term, sustaining and accordant drift of share price. Fama although sticking to the efficiency of the market, has to admit the great challenge to the model of Efficient Market by two continuously existed anomalies, with one of Post-Earnings-Announcement Drift,According to Fama's classification of market efficiency, the empirical study on Post-Earnings-Announcement Drift is in the category of semi-strong efficient market test. By selecting a sample of A-share market listed companies in china, this paper makes an empirical study on Post-Earnings-Announcement Drift, showing the notable existence of it. By testing the cumulative abnormal return rankly and yearly, this paper reveals the characteristics of Early response and Overreaction of the effect in Chinese stock market as it in developed countries.After Post-Earnings-Announcement Drift being approved by empirical study, the cause of it becomes the important task for academia. Theoretically, there are two schools to the study of earnings momentum--traditional finance and behavioral finance. The former one concludes the causes of Post-Earnings-Announcement Drift from the aspects of the choice of earnings'forecasting model, the influence of companies'systematic risk and transaction cost, which fails to make a rational explanation. This paper, however, by making use of the latest research achievement of the behavioral finance home and abroad, makes an empirical study on the cause of Post-Earnings- Announcement Drift from the perspective of Investors Heterogeneous Beliefs, introdu- ces the control variables like firm size and transaction cost, and shows that Investors Heterogeneous Beliefs make a great impact on Post-Earnings-Announcement Drift.On the basis of the conclusion above, this paper puts forward some suggestions such as strengthen the innovation of financial and improve the structure of investors.
Keywords/Search Tags:Post-Earnings-Announcement Drift, Investors Heterogeneous Beliefs, Cumulative Abnormal Return, Behavioral Finance, Efficient Market Hypothesis
PDF Full Text Request
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