Investigating the Post-Earnings Announcement Drift at Firms and Market Levels

Getting informed about probable stock price movements in predictable future is one of the necessities of investors. The purpose of this article is analyzing the post-earnings announcement drift in firm and market levels with random walk and earnings change predictability approaches. Results of panel data regression analysis by using 2611 earnings announcement from second quarter of year 1384 to end of year 1390 shows that impacts of earnings announcement on stock price through three quarters with random walk approach and two quarters with earnings predictability pattern of changes is positively significant and persistent, but regression analysis at market portfolio level indicates no significant relationship between market return and market level earnings news. Thus post-earnings announcement drift hypothesis is not applicable to market portfolio level.