Accruals, cash flow and post -earnings -announcement drift
TIAN Tian
LU Ping
LI Ya-jie
Abstract：This paper sets the earnings announcements of China's listed companies during 2003-2012 as the study sample , and divides the unexpected earnings into the unexpected cash flow and the unexpected accruals to test the two mainstream interpretations of PEAD: underreaction and risk adjustment .The results show that be-tween the unexpected cash flow and the future stock returns the positive correlation is stronger compared with the unexpected accruals .In addition , the predictive capability of the unexpected cash flow for the future stock re-turns is greater than the unexpected accruals'.The empirical evidence supports the underreaction interpretation of PEAD.
Keywords：market fficiencypost-earning-announcement driftrisk premiumunderreaction
Publication Date：2015-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：9( 81-89 )