@article{ART001995137},
author={ChanShik Jung and Kim, Soon-Ho},
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 - Kim, Soon-Ho
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 Kim, Soon-Ho. (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 Kim, Soon-Ho. 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, Kim, Soon-Ho "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, Kim, Soon-Ho. 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 Kim, Soon-Ho. "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; Kim, Soon-Ho. 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; Kim, Soon-Ho. 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, Kim, Soon-Ho. 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 Kim, Soon-Ho. "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.
