Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Double Machine Learning: Explaining the Post-Earnings Announcement Drift
Jacob H. Hansen and Mathias V. Siggaard ♦ We demonstrate the benefits of merging traditional hypothesis-driven research with new methods from machine learning that enable high-dimensional inference. Because the literature on post-earnings announcement drift (PEAD) is characterized by a “zoo” of…