A Multifactor Explanation of Post-Earnings Announcement Drift
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The profitability costs and systematic risk of the post-earnings-announcement-drift trading strategy alena98 2 Comments Despite the numerous advantages, forex this . Evaluating the potential profitability of alpha trading Author: Ellinor Gyldberg Supervisor: Mikael Bask 17/1 The purpose of this thesis is to test whether an active trading strategy using historical alpha values (a measure of risk-adjusted excess returns) for stocks can be used to achieve positive risk . 1/25/ · Intuitively, given profitability, high costs of capital [For example] post-earnings-announcement drift [has persisted] for 50 years because it is part of expected returns, as predicted by the investment CAPM.” Systemic Risk and Systematic Value is dedicated to socially responsible macro trading strategies. Macro trading strategies.

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Evaluating the potential profitability of alpha trading Author: Ellinor Gyldberg Supervisor: Mikael Bask 17/1 The purpose of this thesis is to test whether an active trading strategy using historical alpha values (a measure of risk-adjusted excess returns) for stocks can be used to achieve positive risk . Qi Zhang, Charlie X. Cai, Kevin Keasey, The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy, Review of Quantitative Finance and Accounting, /s, 43, 3, (), (). Qi Zhang, Charlie X. Cai, Kevin Keasey, The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy, Review of Quantitative Finance and Accounting, /s, 43, 3, (), ().

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Unexpected systematic (market-wide) variations of the variable component rather than the fixed component of liquidity are shown to be priced within the context of momentum and post-earnings-announcement drift (PEAD) portfolio re-turns. 3 Mendenhall () fi nds that the post-earnings-announcement drift is related to the risk faced by arbitragers (i.e., the arbitrage-risk measure developed by W urgler and Zhuravsk aya ()). 2. Evaluating the potential profitability of alpha trading Author: Ellinor Gyldberg Supervisor: Mikael Bask 17/1 The purpose of this thesis is to test whether an active trading strategy using historical alpha values (a measure of risk-adjusted excess returns) for stocks can be used to achieve positive risk .

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Trading frictions come in a variety of forms: from direct transaction costs (bid–ask spreads, commissions) to indirect transaction costs (illiquidity, market impact costs). Whether such frictions allow for profitable arbitrage opportunities is disputed and depends on the specifications of trading strategy and risk . 6/18/ · This paper re-examines the profitability of the post-earnings-announcement-drift (PEAD) trading strategy using a practical simulation approach that aligns with a fund manager’s investment perspective. It allows us to calculate the break-even transaction costs of following a PEAD strategy, and permits the explicit incorporation of transaction costs. Using US data from to , we show Cited by: 3. Qi Zhang, Charlie X. Cai, Kevin Keasey, The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy, Review of Quantitative Finance and Accounting, /s, 43, 3, (), ().

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Post-earnings Announcement Drift: Delayed price response or risk premium” (1989)

The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy October Review of Quantitative Finance and Accounting 43(3). Sina Badreddine, Emilios C. Galariotis, Phil Holmes, The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks, Journal of International Financial Markets, Institutions and Money, /blogger.com, 22, 3, (), (). 5/1/ · Unexpected systematic (market-wide) variations of the variable component rather than the fixed component of liquidity are shown to be priced within the context of momentum and post-earnings-announcement drift (PEAD) portfolio returns. As the variable component is typically associated with private information [e.g., Kyle,