Zhang, S, Gregoriou, A and Wu, H (2024) Asymmetric post earnings announcement drift and order flow imbalance: The impact on stock market returns. International Review of Financial Analysis. ISSN 1057-5219

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Abstract

We conduct an event study around the earnings announcement to examine the asymmetric post earnings announcement drift, and its relationship with the bid-ask bias, order follow imbalance on post earnings announcement period for UK stock market from 2000-2021. The earnings drift is significantly asymmetric in the post earnings announcement period, stocks with good news have less drift, and it (at least) is partly due to the order flow imbalance during the event period. The earnings announcement attracts more sell than buy orders, and an overall negative reaction in the market. The difference between transaction price return and quote price returns shows that the bid-ask bias is also a possible explanation of post earnings announcement drift. Our results are robust across different estimations and robustness tests.

Item Type:	Article
Uncontrolled Keywords:	1501 Accounting, Auditing and Accountability; 1502 Banking, Finance and Investment; 1801 Law; Finance
Subjects:	H Social Sciences > HF Commerce > HF5001 Business H Social Sciences > HG Finance
Divisions:	Liverpool Business School
Publisher:	Elsevier
SWORD Depositor:	A Symplectic
Date Deposited:	24 Apr 2024 09:18
Last Modified:	24 Apr 2024 09:18
DOI or ID number:	10.1016/j.irfa.2024.103316
URI:	https://researchonline.ljmu.ac.uk/id/eprint/23092

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