Abstract The “Post-Earnings-Announcement Drift” refers to an anomaly in financial markets.
It describes the drift of a firm's stock price in the direction of the firm's earnings surprise for an …

Purpose This study aims to develop two sentiment indices sourced from news stories and
corporate disclosures of the firms in the National Stock Exchange NIFTY 50 Index by …

We assess the consequences for market quality and welfare of different entry regimes and
exchange pricing policies. To do so, we integrate a microstructure model with a free-entry …

We examine the speed and mechanism of the price discovery process following earnings
announcements in the after‐hours market, a very illiquid trading environment. Prices reflect …

I model a financial market in which traders acquire private information through time-
consuming research. A time cost of information arises due to competition–through the …

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 …

Purpose A composite sentiment index (CSI) from quantitative proxy sentiment indicators is
likely to be a lag sentiment measure as it reflects only the information absorbed in the …

We examine whether the timing of earnings announcements relative to regular trading hours
affects how quickly equity investors react to earnings information. We hypothesize that pre …

Despite the prominence of institutional asset managers in global equity markets, 1 a
complete picture of their trading behaviour and their skill in predicting stock returns remains …

We decompose daily stock returns into news-and non-news-driven components, using a
comprehensive sample of high-frequency firm-level news arrivals. We find that news-driven …