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@article{ART001995137},
author={ChanShik Jung and Soonho Kim},
title={An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2015},
volume={26},
number={2},
pages={59-84}

TY - JOUR
AU - ChanShik Jung
AU - Soonho Kim
TI - An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach
JO - Journal of Insurance and Finance
PY - 2015
VL - 26
IS - 2
PB - Korea Insurance Research Institute
SP - 59
EP - 84
SN - 2384-3209
AB - This paper studies risk-adjusted returns of standardized unexpected earnings(SUE) portfolios using stochastic discount factor approach to investigate what drives the post-earnings announcement drift(PEAD). The SUE hedge portfolio shows monthly return of 0.85% before risk adjustment. After risk adjustment by stochastic discount factor approach, the SUE hedge portfolio gives monthly return of 0.36%. It means that 57.6% of PEAD can be attributed to risk premium. However, residual monthly return of 0.36% after risk adjustment is significant at the 10% level, which indicates that PEAD can also be interpreted as delayed response.
KW - Porst-Earnings Announcement;Standardized Unexpected Earnings
DO -
UR -
ER -

ChanShik Jung and Soonho Kim. (2015). An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach. Journal of Insurance and Finance, 26(2), 59-84.

ChanShik Jung and Soonho Kim. 2015, "An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach", Journal of Insurance and Finance, vol.26, no.2 pp.59-84.

ChanShik Jung, Soonho Kim "An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach" Journal of Insurance and Finance 26.2 pp.59-84 (2015) : 59.

ChanShik Jung, Soonho Kim. An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach. 2015; 26(2), 59-84.

ChanShik Jung and Soonho Kim. "An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach" Journal of Insurance and Finance 26, no.2 (2015) : 59-84.

ChanShik Jung; Soonho Kim. An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach. Journal of Insurance and Finance, 26(2), 59-84.

ChanShik Jung; Soonho Kim. An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach. Journal of Insurance and Finance. 2015; 26(2) 59-84.

ChanShik Jung, Soonho Kim. An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach. 2015; 26(2), 59-84.

ChanShik Jung and Soonho Kim. "An Empirical Study on the Stock Price Reaction to Earnings Announcements using the Stochastic Discount Factor Approach" Journal of Insurance and Finance 26, no.2 (2015) : 59-84.