Price reversal and drift following earnings announcements

Systematic patterns in returns following earnings announcements are difficult to interpret. This study provides additional insights into the observation of price reversal and drift by examining the effects of both the method used to identify winners and losers and also the length of the subsequent period analyzed. The results show that both drift and reversal can be observed for the same sample and event. This evidence indicates that security price behavior following earnings announcements, especially in the short-term, depends not only on the earnings information, as in the drift studies, but also on the price reaction to the earnings information.