Cluster Analysis on PEAD Using SUE Model with Quarterly Data
ABSTRACT
The paper constructs SUE model with Quarterly Report Data of the A-share listed companies for the first time, to analyze Post-Earnings-Announcement Drift (PEAD) with a higher data frequency. A further cluster analysis is made to examine PEAD phenomenon under different market caps and report periods. The study finds that large cap stocks show stronger PEAD than the small cap. It also firstly finds that PEAD on Q1 is more obvious than others. These findings have practical significance for the investment management decisions and the quantitative trading financial products developments.
The paper constructs SUE model with Quarterly Report Data of the A-share listed companies for the first time, to analyze Post-Earnings-Announcement Drift (PEAD) with a higher data frequency. A further cluster analysis is made to examine PEAD phenomenon under different market caps and report periods. The study finds that large cap stocks show stronger PEAD than the small cap. It also firstly finds that PEAD on Q1 is more obvious than others. These findings have practical significance for the investment management decisions and the quantitative trading financial products developments.
Cite this paper
H. Sun, M. Zhu and F. He, "Cluster Analysis on PEAD Using SUE Model with Quarterly Data," iBusiness, Vol. 5 No. 1, 2013, pp. 31-34. doi: 10.4236/ib.2013.51B007.
H. Sun, M. Zhu and F. He, "Cluster Analysis on PEAD Using SUE Model with Quarterly Data," iBusiness, Vol. 5 No. 1, 2013, pp. 31-34. doi: 10.4236/ib.2013.51B007.
References
[1] Ball, Brwon, 1968, An Empirical Evaluation of Ac-counting Income Numbers, Journal of Accounting Re-search 6, 159-177. [2] Rendleman, Jones, Latane, 1982, Empirical anomalies based on unexpected earnings and the importance of risk adjustments, Journal of Financial Economics 10, 269-287. [3] Fama, French, 1992, The Cross Section of Expected Returns, Journal of Finance 47, 427-465. [4] Fama, 1998, Market Efficiency, Long-term Returns, and Behavioral Finance, Journal of Finance Economics 49, 283-306 [5] Bernard, Thomas, 1989, Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?, Journal of Accounting Re-search 27, 1-36. [6] Bhushan, 1994, An informational efficiency perspective on the post-earnings announce-ment drift, Journal of Accounting and Economics 18, 45-65. [7] Foster, Olsen, Shelvin, 1984, Earnings re-leases, anomalies, and the behavior of security returns, Acounting Review 59, 574-603 [8] Wu, Wu, 2005, A Study on Measures of Earnings Information, Market Reaction and Investors’ Framing Dependence Bias, Economic Research Journal, No. 2 [9] Kong, Ke, 2007, Who Drives the PEAD in China?, Journal of Financial Research, No. 10 [10] Lu, 2012, Systematic Mispric-ing:A Research on Post Earnings Announcement Drift in China’s A-share Stock Market, Journal of Financial Research, No. 3
[1] Ball, Brwon, 1968, An Empirical Evaluation of Ac-counting Income Numbers, Journal of Accounting Re-search 6, 159-177. [2] Rendleman, Jones, Latane, 1982, Empirical anomalies based on unexpected earnings and the importance of risk adjustments, Journal of Financial Economics 10, 269-287. [3] Fama, French, 1992, The Cross Section of Expected Returns, Journal of Finance 47, 427-465. [4] Fama, 1998, Market Efficiency, Long-term Returns, and Behavioral Finance, Journal of Finance Economics 49, 283-306 [5] Bernard, Thomas, 1989, Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?, Journal of Accounting Re-search 27, 1-36. [6] Bhushan, 1994, An informational efficiency perspective on the post-earnings announce-ment drift, Journal of Accounting and Economics 18, 45-65. [7] Foster, Olsen, Shelvin, 1984, Earnings re-leases, anomalies, and the behavior of security returns, Acounting Review 59, 574-603 [8] Wu, Wu, 2005, A Study on Measures of Earnings Information, Market Reaction and Investors’ Framing Dependence Bias, Economic Research Journal, No. 2 [9] Kong, Ke, 2007, Who Drives the PEAD in China?, Journal of Financial Research, No. 10 [10] Lu, 2012, Systematic Mispric-ing:A Research on Post Earnings Announcement Drift in China’s A-share Stock Market, Journal of Financial Research, No. 3