| The prevalent hypothesis for the existence of Post-earnings announcement drift (PEAD) is that investors underreact to the information in earnings. In this paper, we use cross-country data to explore whether PEAD is due to market underreaction or missing risk factors. We examine the PEAD anomaly in 19 countries including advanced countries and developing countries. Comparing the results between advanced countries and developing countries, we conclude that PEAD anomaly is due to market underreaction. |
