2025年第97期(总第1138期)
演讲主题：From Drift to Reversal: Temporal Changes in Delayed Price Reactions to Earnings Announcements
主讲人：Chao Li University of Adelaide（阿德莱德大学）副教授
主持人：钟宇翔 会计与财税系讲师
活动时间：2025年12月24日（周三）09:30-11:00
活动地址: 管院大楼105教室
主讲人简介：
李超，会计学博士，现任阿德莱德大学商学院副教授(Reader)，博士生导师。获得西安交通大学管理学院会计学士和硕士学位，墨尔本大学会计学博士学位。拥有国际注册会计师及中国注册会计师资格（非执业）。
研究兴趣包含证券管制，公司分红，分析师信息生产等资本市场问题。研究论文发表于Management Science , Journal of Corporate Finance , Journal of Accounting and Public Policy, European Accounting Review , Abacus等期刊。为Journal of Corporate Finance , Journal of Accounting and Public Policy , European Accounting Review , Accounting Finance和Abacus匿名审稿。现担任Accounting and Finance的副主编，是Journal of Accounting Public Policy的编委成员。曾在麻省理工亚洲会计年会，北美会计师协会年会，欧洲会计师协会年会以及澳大利亚及新西兰会计与金融协会年会上报告论文。曾获北美会计师协会年中国际会计会议最佳论文奖。博士论文入围2015年澳新会计与金融协会最佳博士论文提名。
活动简介：
We re-examine the previously documented positive association between earnings news in the current quarter and market reactions to the following quarter’s earnings announcements, and provide robust evidence that this association turned negative in the past two decades: the continuation of the post-earnings announcement drift (PEAD) at the following quarter’s earnings announcement has been replaced by a price reversal. Accordingly, after 2002, a PEAD-based trading strategy earns negative returns at the following quarter’s earnings announcement. Further evidence shows that the reversal at the following quarter’s earnings announcement is observed only for positive earnings news in the current quarter. The reversal is more pronounced when investors trade aggressively at the current quarter’s earnings announcements and is concentrated in stocks with high limits to arbitrage. We discuss and investigate some possible explanations for the reversal and its implications.
