이익 공시시점과 주가지연반응

It has been reported that there is a significant positive relationship between the unexpectedearnings on the earnings announcement date and the cumulative abnormal returns followingthe earnings announcement date. This study investigates whether the results of prior studiesare because the public announcement of shareholders’ meeting date was selected as the eventdate instead of either the preliminary earnings disclosure date or the profit/loss changeannouncement date. The results of this study are as follows. First, post-earnings-announcementdrift(PEAD) occurs when unexpected earnings were computed based on the prior periodearnings and the public announcement of the shareholders’ meeting date as the profitdisclosure date. Second, when analyzing the PEAD with the unexpected earnings calculatedusing the financial analysts’ forecasts, no PEAD has been found both on the date of theshareholders’ meeting and the earlier date of the preliminary earnings disclosure, profit/losschange announcement, or the public announcement of the shareholders’ meeting. Foster et al. (1984) analyze the PEAD using time series model and earnings forecasting model and suggestthat the PEAD appears only in the time series model. In this study, too, in the case of usinganalysts’ profit forecasts, the lack of the PEAD shows that the PEAD can be changedaccording to the method of measuring the unexpected earnings.