Streaks in earnings surprises and the cross - section of stock returns / Roger K. Loh in Management science, Vol. 58 N° 7 (Juillet 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 7 (Juillet 2012) . - PP.1305-1321 Titre : Streaks in earnings surprises and the cross - section of stock returns Type de document : texte imprimé Auteurs : Roger K. Loh, Auteur ; Mitch Warachka, Auteur Année de publication : 2012 Article en page(s) : PP.1305-1321 Note générale : Management Langues : Anglais (eng) Mots-clés : Trends Streaks Gambler's fallacy Post-earnings-announcement drift Résumé : The gambler's fallacy (Rabin, M. 2002. Inference by believers in the law of small numbers. Quart. J. Econom. 117(3) 775–816) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings-announcement drift is strong and significant. In contrast, the drift is negligible following the termination of a streak. Indeed, streaks explain about half of the post-earnings-announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude of earnings surprises and their autocorrelation. Overall, post-earnings-announcement drift has a significant time-series component that is consistent with the gambler's fallacy. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/02/10/mnsc.1110.1485.abstra [...] [article] Streaks in earnings surprises and the cross - section of stock returns [texte imprimé] / Roger K. Loh, Auteur ; Mitch Warachka, Auteur . - 2012 . - PP.1305-1321. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 7 (Juillet 2012) . - PP.1305-1321 Mots-clés : Trends Streaks Gambler's fallacy Post-earnings-announcement drift Résumé : The gambler's fallacy (Rabin, M. 2002. Inference by believers in the law of small numbers. Quart. J. Econom. 117(3) 775–816) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings-announcement drift is strong and significant. In contrast, the drift is negligible following the termination of a streak. Indeed, streaks explain about half of the post-earnings-announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude of earnings surprises and their autocorrelation. Overall, post-earnings-announcement drift has a significant time-series component that is consistent with the gambler's fallacy. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/02/10/mnsc.1110.1485.abstra [...]

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