Trading frictions and the post-earnings-announcement drift


Fink, Josef ; Palan, Stefan ; Theissen, Erik



URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Additional URL: https://static.uni-graz.at/fileadmin/sowi/Working_...
Document Type: Working paper
Year of publication: 2021
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Classification: JEL: G12 , G14 , G40 , M41,
Keywords (English): post-earnings-announcement drift , trading frictions , experimental asset markets
Abstract: We use laboratory experiments to analyze how the existence of trading frictions (a transaction fee and a ban on short selling and margin buying) affects occurrence and strength of the post-earnings-announcement drift. We find lower trading activity and higher asset prices in the presence of frictions. While the initial price reaction to earnings announcements is weaker, the strength of the PEAD is not materially affected. Trading strategies aimed at exploiting the PEAD are less profitable in the presence of frictions.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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BASE: Fink, Josef ; Palan, Stefan ; Theissen, Erik

Google Scholar: Fink, Josef ; Palan, Stefan ; Theissen, Erik

ORCID: Fink, Josef ; Palan, Stefan ; Theissen, Erik ORCID: 0000-0003-4460-8168

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