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- Publisher
- Springer Journals
- Copyright
- Copyright © 1997 by Kluwer Academic Publishers
- Subject
- Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
- ISSN
- 0924-865X
- eISSN
- 1573-7179
- DOI
- 10.1023/A:1008245709673
- Publisher site
- See Article on Publisher Site
Abstract
This paper uses a stochastic dominance approach to test for market efficiency following earnings announcements. We find that the stocks that recently announced good earnings news stochastically dominate those that recently announced bad news. The results cast serious doubt on any belief that asset pricing model misspecifications might explain post-earnings-announcement drift.
Journal
Review of Quantitative Finance and Accounting – Springer Journals
Published: Sep 29, 2004