계절별랜덤워크모형에 의한 비기대이익의 지속성 차이 분석

The purpose of this study is to examine whether there are differences in the persistence of quarterly unexpected earnings across quarters. Quarterly earnings have been reported to have a first-order autoregressive properties and 4th order moving-average properties. However, it appears that market investors' expectations of quarterly earnings are characterized by a seasonal random walk with a trend. The ignorance of time-series properties by market investors result in the positive relation between unexpected earnings for quarter t and unexpected earnings for the subsequent quarters. That is, the unexpected earnings based on seasonal random walk persist in the subsequent quarters, implying the persistence of unexpected earnings as perceived by the market investors. Prior studies reported that fourth-quarter earnings are more likely to be transitory and extreme earnings are also transitory. Therefore, the persistence of unexpected earnings could be different depending upon the whether it belong to the fourth quarter or whether the earnings are extreme. Empirical results show that the persistence of unexpected earnings based on seasonal random walk is lower in the fourth quarter than in other quarters. Also, extreme earnings appear to have lower persistence. This lower persistence of quarterly unexpected earnings implies a possibility that post-earnings-announcement drift could be different in the case of fourth quarter and of extreme earnings. Future research might investigate the difference of the magnitude of post-earnings-announcement drift between fourth quarter and other quarters.