Anomalous security price behavior following management earnings forecasts

Chao Shin Liu, David A. Ziebart

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


This study provides evidence that most of the stock price reactions to bad news management forecasts of annual earnings are reversed in the 60 days following the forecast. In addition, a significant amount of the price reaction to bad news forecasts of quarterly earnings is reversed in the market's reaction to the following quarterly earnings announcement. Unlike the previous overreaction evidence, this study is not subject to the criticisms of beta-shifts, cross-firm comparisons, or lengthy intertemporal comparisons. In addition, the results are robust to include many additional variables that could be hypothesized to affect the observed results.

Original languageEnglish
Pages (from-to)405-429
Number of pages25
JournalJournal of Empirical Finance
Issue number4
StatePublished - Oct 1999


  • Anomalous
  • Asset pricing
  • Forecast
  • G12
  • G14
  • Market efficiency
  • Security price
  • Stock price behavior

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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