Document Type

Article

Date

1-1-2003

Embargo Period

2003

Keywords

post-earnings announcement drift, market efficiency, overconfidence, non-Bayesian behavior, uncertainty, forecast dispersion

Language

English

Disciplines

Accounting

Description/Abstract

Prior research has been unable to explain the phenomenon known as post-earnings announcement drift, raising questions concerning the semi-strong form efficiency of the market typically assumed in capital market research. This study contributes to our understanding of this anomaly by examining drift in the context of theories that consider investors' non-Bayesian behaviors. The empirical evidence reveals that investors' overconfidence about their private information and the reliability of the earnings information are two important factors that explain drift. Finally, this study also provides insight into the puzzling relationship between dispersion and drift discussed in prior research.

Additional Information

Copyright 2003 Review of Accounting Studies. This article may be downloaded for personal use only. Any other use requires prior permission of the author and Review of Accounting Studies. The article may be found at DOI:10.1023/A:1024429915810

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