Arbitrage Risk and Post-Earnings-Announcement Drift

By Richard R. Mendenhall. 2004

402 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/da299bf34344cd4073d2d0ed2a4418b82f308e3c

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Citations in the corpus

Liquidity and the Post-Earnings-Announcement Drift (2009, methodology): “Bhushan (1994) documented that the drift is stronger for smaller, low-priced stocks.”
Learning and the Disappearing Association Between Governance and Returns (2012, neutral): “…by assets) (e.g., Core et al., 2006; Giroud and Mueller, 2011); forecast error scaled by the standard deviation of analyst forecasts (SUE) (e.g., Mendenhall, 2004; Jegadeesh and Livnat, 2006); and the percent forecast error (FE (%)), i.e., forecast error scaled by the absolute value of mean…”
The Limits of the Limits of Arbitrage (2010, background): “Even if General Motors is a perfect substitute for Ford, the arbitrageur still faces 1 See also Pontiff (1996); Ali et al. (2003); Mendenhall (2004); Wurgler and Zhuravskaya (2002); Mashruwala et al. (2006); and Pontiff (2006).”
Accounting Anomalies and Fundamental Analysis: A Review of Recent Research Advances (2010, background): “Mendenhall (2004) shows cross-sectional variation in PEAD based on arbitrage risk, which is consistent with an underreaction explanation to PEAD but one that is challenging for investors to exploit due to the idiosyncratic risks involved.”
Do Retail Trades Move Markets (2009, background): “Barber, Odean, and Zhu (forthcoming) show that the trading of individual investors at a large discount brokerage (1991–1996) and at a large retail brokerage (1997–1999) is systematically correlated.4 In any month, the investors at these brokerages tend to buy and sell the same stocks. Furthermore, t”
Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (2016, neutral): “Mendenhall (2004) argues that the magnitude of the drift increases with arbitrage risk, and Pontiff (2006) claims that arbitrage risk “appears to be the single largest cost faced by arbitrageurs.””
Information Uncertainty and Post-Earnings-Announcement-Drift (2007, neutral): “In additional tests, we probe findings from prior research that PEAD returns are larger for firms with higher idiosyncratic stock return volatility (Mendenhall, 2004), and that idiosyncratic returns volatility is explained by information uncertainty (Rajgopal and Venkatachalam, 2006).”
R2 and Idiosyncratic Risk are not Interchangeable (2014, background): “…proxy of idiosyncratic return volatility as a proxy for barriers to arbitrage (e.g., Wurgler and Zhuravskaya 2002; Ali, Hwang, and Trombley 2003; Mendenhall 2004; Mashruwala et al. 2006; Pontiff 2006; Pincus, Rajgopal, and Venkatachalam 2007; Cohen, Dey, Lys, and Sunder 2007; Brav, Heaton, and…”