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

• Main Authors: NG, Jeffrey, Verdi, Rodrigo, Rusticus, Tjomme
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2008
• 主題: market efficiency; transaction costs; post-earnings announcement drift; Accounting; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/soa_research/878; https://ink.library.smu.edu.sg/context/soa_research/article/1877/viewcontent/SSRN_id899902.pdf

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...