Price reversal and drift following earnings announcements

Li Chin Jennifer Ho, Chao Shin Liu, David A. Ziebart

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


Systematic patterns in returns following earnings announcements are difficult to interpret. This study provides additional insights into the observation of price reversal and drift by examining the effects of both the method used to identify winners and losers and also the length of the subsequent period analyzed. The results show that both drift and reversal can be observed for the same sample and event. This evidence indicates that security price behavior following earnings announcements, especially in the short-term, depends not only on the earnings information, as in the drift studies, but also on the price reaction to the earnings information.

Original languageEnglish
Pages (from-to)145-160
Number of pages16
JournalFinancial Review
Issue number2
StatePublished - May 1998


  • Anomalies
  • Drift
  • Event studies
  • Information and market efficiency
  • Overreaction
  • Reversal
  • Underreaction

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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