Post-earnings Announcement Driftin Stock Pricing

The traditional factor asset pricing model does not consider the behavior of investors,which makes the model have many unexplained market anomalies.As one of the market anomalies,earnings announcement Fama-French ect is not new:stocks with positive earnings will get higher returns in the next 6-9 months than stocks with negative earnings,and the reason is the investor behavior.In order to capture the above behavioral factors,this paper constructs the PEAD factor.How to introduce investor behavior into multi factor asset pricing model in the form of pricing factors is the key to establish behavioral asset pricing model.This paper uses 2010-2019 Shanghai A-share market as a research sample to analyze the relationship between investors' behavior and expected return.This paper uses 2*2 factor construction method to construct factor index.After the factor construction,the basic factor index and factor correlation are analyzed statistically,and the joint interpretation ability between factors is studied.Through the analysis,CMA factors can be interpreted by other factors,so it is removed from the factor pricing model,so a new five factor asset pricing model is constructed,including MKT,SMB,HML,RMW,PEAD factors.In the test together,and compare the explanatory power of these three models to the stock return rate,and analyze whether the newly constructed factor model has better explanatory power than FAMA-FRENCH3and FAMA-FRENCH 5 factor models.The empirical results show that if PEAD is introduced on the basis of the traditional factor asset pricing model,the explanation ability of the model is improved significantly.It also proves that the combination of behavioral finance and traditional factor asset pricing model is of great practical significance for the research and analysis of China's stock market.