کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086884 | 1375281 | 2010 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Post loss/profit announcement drift
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We document a market failure to fully respond to loss/profit quarterly announcements. The annualized post portfolio formation return spread between two portfolios formed on extreme losses and extreme profits is approximately 21 percent. This loss/profit anomaly is incremental to previously documented accounting-related anomalies, and is robust to alternative risk adjustments, distress risk, firm size, short sales constraints, transaction costs, and sample periods. In an effort to explain this finding, we show that this mispricing is related to differences between conditional and unconditional probabilities of losses/profits, as if stock prices do not fully reflect conditional probabilities in a timely fashion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Accounting and Economics - Volume 50, Issue 1, May 2010, Pages 20-41
Journal: Journal of Accounting and Economics - Volume 50, Issue 1, May 2010, Pages 20-41
نویسندگان
Karthik Balakrishnan, Eli Bartov, Lucile Faurel,