Abstract
We investigate whether and how an exogenous and unprecedented improvement in the quality of non-U.S. firms’ financial reporting affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and the decrease is more pronounced among firms with fewer concurrent earnings announcements, higher institutional holdings, and lower limits-to-arbitrage, and in countries with stronger enforcement. In addition, the decrease in PEAD is primarily driven by firms with greater changes in financial reporting, and an increase in analyst forecast accuracy, institutional ownership, and liquidity. Taken together, these findings support the mispricing explanation of PEAD in an international setting.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
