Date of Award

12-31-2013

Document Type

Campus Access Thesis

Degree Name

Master of Science (MS)

Department

Finance

First Advisor

Sean Cao

Second Advisor

Surjit Tinaikar

Third Advisor

Atreya Chakraborty

Abstract

The prevalent hypothesis for the existence of Post-earnings announcement drift (PEAD) is that investors underreact to the information in earnings. In this paper, we use cross-country data to explore whether PEAD is due to market underreaction or missing risk factors. We examine the PEAD anomaly in 19 countries including advanced countries and developing countries. Comparing the results between advanced countries and developing countries, we conclude that PEAD anomaly is due to market underreaction.

Comments

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