Accounting Information Uncertainty And Post Earnings After Drift

The post-earings announcement drift has been recognized as one of the capital market anomalies.After the announcement posted, as the capital market can't fully absorb the earnings information, stock prices continue to drift, which is one of the important evidence for the insufficient validity of the capital market. The quality of accounting information plays an important role in forming the phenomenon of price drift. Information uncertainty is common in the capital markets. According to investors' conservative psychological bias, they will underestimate new information and think much of the basic information. In view of the conservative psychological deviation and the cognition that high risk will have high return,this paper expects after the earnings announcement posted, the companies which have high information uncertainty will have more superior returns. Adopting the quality of accrual accounting and the disclosure timeliness of accounting information as indicators of the quality of accounting information, this paper attempts to study the relationship between information uncertainty and superior returns.The relevant research shows the changing direction of the stock price is consistence with the unexpected earnings. Based on the relationship between the unexpected earnings and the surplus returns,this paper has a prior study on the relationship between the information uncertainty and the unexpected earnings. The higher information uncertainty will have higher unexpected earnings. First, this paper ranks the unexpected earnings from small to large, and gives ten divisions to the arrangement. Both ends of the unexpected earnings have high information uncertainty. The intermediate divisions have lower information uncertainty. On the basis of statistical analysis,this paper does the regression analysis to prove the hypothesis, and the results prove the hypothesis.The information uncertainty and the unexpected earnings have a positive correlation. This paper expects after the earnings announcement posted, companies with high information uncertainty will have more cumulative abnormal returns than companies with low information uncertainty. This paper uses the event study to do the regression analysis of the relationship between information uncertainty and the cumulative abnormal returns. The results show that in short period time window, the information uncertainty has no relationship with cumulative abnormal returns, but in the long period time window,they have a significant positive correlation. The results show that the capital market fails to effectively distinguish the accounting information of different quality. And the result verifies the existence of the post earnings announcement drift.