Implications of transaction costs for the post-earnings-announcement drift

This paper examines the effect of transaction costs on the post–earnings announcement drift (PEAD). Using standard market microstructure features we show that transaction costs constrain the informed trades that are necessary to incorporate earnings information into price. This implies weaker return...

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Bibliographic Details
Main Authors: NG, Jeffrey, Verdi, Rodrigo, Rusticus, Tjomme
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/soa_research/878
https://ink.library.smu.edu.sg/context/soa_research/article/1877/viewcontent/SSRN_id899902.pdf
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Institution: Singapore Management University
Language: English