{"title":"Trading frictions and the Post-earnings-announcement drift","authors":"Josef Fink , Stefan Palan , Erik Theissen","doi":"10.1016/j.jeconbus.2024.106216","DOIUrl":null,"url":null,"abstract":"<div><div>We use laboratory experiments to analyze how the existence of trading frictions (a transaction fee and bans on short selling and margin buying) affects the occurrence and strength of the post-earnings-announcement drift. We find less trading activity and higher asset prices in the presence of frictions. While the initial price reaction to earnings announcements is weaker, the strength of the PEAD is not materially affected. Trading strategies aimed at exploiting the PEAD are less profitable in the presence of frictions.</div></div>","PeriodicalId":47522,"journal":{"name":"JOURNAL OF ECONOMICS AND BUSINESS","volume":"132 ","pages":"Article 106216"},"PeriodicalIF":3.3000,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"JOURNAL OF ECONOMICS AND BUSINESS","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0148619524000584","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We use laboratory experiments to analyze how the existence of trading frictions (a transaction fee and bans on short selling and margin buying) affects the occurrence and strength of the post-earnings-announcement drift. We find less trading activity and higher asset prices in the presence of frictions. While the initial price reaction to earnings announcements is weaker, the strength of the PEAD is not materially affected. Trading strategies aimed at exploiting the PEAD are less profitable in the presence of frictions.
期刊介绍：
Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.
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