Comparing the Post–Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

By Joshua Livnat, Richard R. Mendenhall. 2006

614 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/5f503b733198bc83dce5f4c31f4d8e64e7a9432c

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Citations in the corpus

Management’s tone change, post earnings announcement drift and accruals (2010, positive): “Investors can exploit this anomaly by holding differential positions of stocks with extreme positive and negative SUEs (see Livnat and Mendenhall, 2006, for a recent comparison of SUE based on time series and analyst forecasts).”
Investor Trading and the Post Earnings Announcement Drift (2011, neutral): “Similar to Livnat and Mendenhall (2006), we focus on a 60-day post-earnings-announcement period and”
The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research (2008, neutral): “Livnat and Mendenhall (2006) Archival, I/B/E/S, 1987-2003.”
Cash Flow Duration and the Term Structure of Equity Returns (2018, neutral): “As for size in Panel G, I find an inverse U-shaped relationship with residual institutional ownership similar to Nagel (2005). Compared to the variation of size in the CRSP universe, the variation of size across sorts on residual ownership, however, is negligible.”
Stock Liquidity and Stock Price Crash Risk (2016, background): “We estimate quarterly unexpected earnings as a firm’s net income in the current quarter minus its net income for the same quarter in the previous fiscal year, scaled by its lagged market value of equity (Livnat and Mendenhall (2006)).”
Before an Analyst Becomes an Analyst: Does Industry Experience Matter? (2015, neutral): “This value can be observed by investigating average market reactions to analysts’ earnings and recommendation revision announcements (i.e., Womack, 1996; Gleason and Lee, 2003; Ivkovic and Jegadeesh, 2004; Livnat and Mendenhall, 2006; Bradley, Clarke, Lee and Orthanalai, 2013).”
Implications of Transaction Costs for the Post-Earnings Announcement Drift (2008, methodology): “A more recent literature, however, has documented larger abnormal returns with a variation of the PEAD strategy that uses analyst expectations as the benchmark for expected earnings (Livnat and Mendenhall [2006], Doyle et al.”
The new Form 8-K disclosures (2010, methodology): “McLelland [2004] works with the same 1993 sample as Carter and Soo, further amending it with several data requirements, and examines separately three dates relevant for an event warranting a Form 8-K disclosure: the event date, the filing date and the press release date.”
A Tale of Two Assets: The Effects of Firm Reputation and Celebrity on Earnings Surprises and Investors' Reactions (2010, methodology): “…material earnings surprises on the basis of percentiles (e.g., Barber & Griffin, 1994; Doyle et al., 2006; Jin, 2006, Kinney et al., 2002; Livnat & Mendenhall, 2006) and defined material earnings surprises as the top and bottom quartiles of positive and negative surprises in a given…”
Financial reporting complexity and investor underreaction to 10-K information (2009, neutral): “SUE’. Livnat and Mendenhall (2006) show that the post-earnings surprise is significantly larger when earnings surprise is measured based on analyst forecast.”
Costly Information Processing: Evidence from Earnings Announcements (2008, background): “Mendenhall (2006) shows that SUEit = UEit/σy-1 = (Ait - Eit) / σy-1 where Ait is the actual (unadjusted by splits or dividends) EPS as reported by I/B/E/S for firm i on day t, Eit is the median of the analysts' forecasts in the last survey before the earnings announcement that is less than 50 days…”
Analyst Career Concerns, Effort Allocation, and Firms’ Information Environment (2018, neutral): “Loh and Mian (2006) find that analysts who have superior forecast accuracy also issue more informative stock recommendations.”