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Announcement Based Effects and Post-Earnings Announcement Drift (PEAD)
“There is evidence, and try as they might, the accountants and financial people can't make it go away, that when you get an earnings surprise, somehow or other the market doesn't seem to absorb it all right away.”
William Sharpe, in Investment Gurus by Peter Tanous
IPO's, Seasoned Equity Offerings, and Stock Buybacks
Chapter 22 Notes - The Footnotes in the Book are sequential and for this chapter start at #440 and end at #447.
These notes are provided for those that have purchased the book and would like to access the notes and links directly.
1. Rolf W. Banz, The Relationship Between Market Value and Return of Common Stocks, Journal of Financial Economics, November 1981
2. Marc R. Reinganum, "The Size Effect: Evidence and Potential Explanations," Investing in Small-Cap and Microcap Securities, Association for Investment Management and Research, 1997
3. Larry Swedroe, Why the Size Premium Won’t Disappear, March 5, 2018 https://www.advisorperspectives.com/articles/2018/03/05/why-the-size-premium-wont-disappear
5. Chordia, Tarun and Goyal, Amit and Sadka, Gil and Sadka, Ronnie and Shivakumar, Lakshmanan, Liquidity and the Post-Earnings-Announcement Drift, Financial Analysts Journal, July/August 2009
6. Bala Dharan and David Ikenberry, The Long-Run Negative Drift of Post-Listing Stock Returns Journal of Finance, December 1995
7. Tim Loughran and Anand Vijh, "Do Long-Term Shareholders Benefit From Corporate Acquisitions?" The Journal of Finance, December 1997
8. David Ikenberry, Josef Lakonishok, and Theo Vermaelen, Market Underreaction to Open Market Share Repurchases, Journal of Financial Economics, October 1995
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