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引用次数: 0
摘要
我们利用实验室实验分析了交易摩擦（交易费以及卖空和保证金购买禁令）的存在如何影响盈利公布后漂移的发生和强度。我们发现，在存在摩擦的情况下，交易活动较少，资产价格较高。虽然最初价格对盈利公告的反应较弱，但 PEAD 的强度并未受到实质性影响。在存在摩擦的情况下，旨在利用 PEAD 的交易策略获利较少。
Trading frictions and the Post-earnings-announcement drift
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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