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

• المؤلفون الرئيسيون: NG, Jeffrey, Verdi, Rodrigo, Rusticus, Tjomme
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2008
• الموضوعات: market efficiency; transaction costs; post-earnings announcement drift; Accounting; Portfolio and Security Analysis
• الوصول للمادة أونلاين: 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...