Title

Jump On The Post-Earnings Announcement Drift

Document Type

Article

Publication Date

5-1-2012

Publication Title

Financial Analysts Journal

Keywords

post-earnings announcement drift; positive-jump stocks; hedge portfolio; portfolio management

Disciplines

Finance and Financial Management | Portfolio and Security Analysis

Abstract

The authors examined the potential profitability of a strategy that exploits the post-earnings announcement drifts contingent on jump dynamics identified in stock prices around earnings announcements. With long positions in positive-jump stocks and short positions in negative-jump stocks, their hedge portfolio achieved an annualized abnormal return of 15.3% and an annualized Sharpe ratio of 1.52 over the last four decades. Neither conventional risk factors nor common company characteristics explain the abnormal return.

DOI

10.2469/faj.v68.n3.7

Volume

68

Issue

2

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