Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Earnings Autocorrelation and the Post-Earnings-Announcement Drift: Experimental Evidence
Josef Fink, Stefan Palan, and Erik Theissen ♦ Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of the experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly.…