Post-Announcement Drift

18 Pages Posted: 7 Nov 2008

See all articles by Stephen J. Brown

Stephen J. Brown

New York University - Stern School of Business

Stephen A. Ross

Massachusetts Institute of Technology (MIT) - Sloan School of Management; Yale University - International Center for Finance

Date Written: February 1997

Abstract

Brown, Goetzmann and Ross (1995) document that ex-post conditioning can significantly bias empirical results based on observed rates of return. These results have interesting implications for cross-sectional cumulated excess return measures [CAR s] that are commonly used in the context of event studies (see Brown and Warner, 1981). Ball and Brown [1968] note an upward drift in cumulated excess returns subsequent to a positive earnings announcement surprise. Subsequent work by Foster [1977] and Foster et al [1984] among others has documented that this drift is related to size of the firm in question. The current state of this literature is summarized in Ball [1992].

Suggested Citation

Brown, Stephen J. and Ross, Stephen A., Post-Announcement Drift (February 1997). NYU Working Paper No. FIN-96-019, Available at SSRN: https://ssrn.com/abstract=1297124

Stephen J. Brown (Contact Author)

New York University - Stern School of Business ( email )

Stern School of Business
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Stephen A. Ross

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

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United States
203-432-6015 (Phone)
203-432-8931 (Fax)

Yale University - International Center for Finance

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United States

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