Download This PaperIntra-Industry Information Transfers and the Post-Earnings Announcement Drift
49 Pages Posted: 28 Feb 2007 Last revised: 10 Apr 2015
Date Written: March 15, 2015
Abstract
This study examines the role of intra-industry information transfers in the analyst forecast-based post-earnings announcement drift. I find that subsequent same-industry-peer earnings announcements influence a firm's post-earnings announcement drift if these subsequent announcements confirm the firm’s initial earnings surprise and the firm’s industry exhibits ex-ante positive (common effect) intra-industry information transfers. The results suggest that underreaction to industry-specific information contributes to analyst forecast-based post-earnings announcement drift.
Keywords: Intra-industry information transfer, Earnings, Information assimilation, Product market
JEL Classification: G14, M41
Suggested Citation: Suggested Citation
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