Nikita E. GAL’VIKSaint-Petersburg State Economic University (SPbSEU), St. Petersburg, Russian Federation nikgalv@mail.ru ORCID id: not available
Subject. Subject. The impact of the post?earnings announcement drift (PEAD) effect on pricing in the Russian stock market. Objectives. The study aims to investigate the presence of the post?earnings announcement drift effect in the Russian stock market, assess the stability of its manifestation over time, and evaluate its intensity depending on company size. Methods. The research employed statistical analysis methods, with data processing carried out using Microsoft Excel. A range of empirical and theoretical methods were applied, including analysis, synthesis, induction, modelling, description, and comparison. Results. A statistically significant excess of average monthly abnormal stock returns was detected in the period from the 1st to the 3rd month following the earnings disclosure month for companies with positive earnings surprises, compared to those with negative earnings surprises. The figures were 0.75?% for the 1st month, 1.22?% for the 2nd month, and 0.98?% for the 3rd month. However, in the 1st and 3rd months, the effect exhibited higher volatility and relatively low temporal stability. Conclusions and Relevance. The post?earnings announcement drift effect is observed in the Russian stock market over the period from 2015 to 2024, specifically in the 1st–3rd months following the earnings disclosure month. The effect demonstrates the highest temporal stability and lowest volatility in the 2nd month. It is more pronounced among small companies with a market capitalization of less than 219?billion rubles. The effect was entirely absent in the 1st month for small and medium?sized companies, but was quite pronounced among large companies. The findings enrich the theoretical framework concerning the drivers of pricing in the Russian stock market associated with pricing anomalies. They can be used in developing investment strategies for the Russian stock market.
Ball R., Brown P. An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research, 1968, vol. 6, no. 2, pp. 159–178. DOI: 10.2307/2490232
Fink J. A Review of the Post-Earnings-Announcement Drift. Journal of Behavioral and Experimental Finance, 2021, vol. 29, 100446. DOI: 10.1016/j.jbef.2020.100446
Bernard V.L., Thomas J.K. Post-earnings-announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research, 1989, vol. 27, pp. 1–36. DOI: 10.2307/2491062
Bhushan R. An Informational Efficiency Perspective on the Post-Earnings Announcement Drift. Journal of Accounting and Economics, 1994, vol. 18, iss. 1, pp. 45–65. DOI: 10.1016/0165-4101(94)90018-3
Bernard V.L., Thomas J.K. Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings. Journal of Accounting and Economics, 1990, vol. 13, iss. 4, pp. 305–340. DOI: 10.1016/0165-4101(90)90008-R
Martineau C. The Evolution of Financial Market Efficiency: Evidence from Earnings Announcements. SSRN Electronic Journal, 2019, pp. 1–44. DOI: 10.2139/ssrn.3111607
Bänziger A., Pitthan A., Gramespacher T., Hüppin U. New Evidence on the Information Content of Earnings Announcements for the Swiss Market. Journal of Risk and Financial Management, 2023, vol. 16, iss. 3, pp. 156–165. DOI: 10.3390/jrfm16030156 EDN: CBOIJI
Zhang S., Hua Q., Wu H. Post Earnings Announcement Drift and Price Impact around Earnings Announcements: Evidence from London Stock Exchange. SSRN Electronic Journal.
Lan Q., Xie Y., Mi X., Zhang C. Post Earnings Announcement Drift: A Simple Earnings Surprise Measure, the Medium Effect of Investor Attention and Investing Strategy. International Review of Financial Analysis, 2024, vol. 95, Part B, 103460. DOI: 10.1016/j.irfa.2024.103460 EDN: KFDUHS
Truong C. Post-Earnings Announcement Abnormal Return in the Chinese Equity Market. Journal of International Financial Markets, Institutions and Money, 2011, vol. 21, iss. 5, pp. 637–661. DOI: 10.1016/j.intfin.2011.04.002
Goh J., Jeon B.H. Post-Earnings-Announcement-Drift and 52-week High: Evidence from Korea. Pacific-Basin Finance Journal, 2017, vol. 44, pp. 150–159. DOI: 10.1016/j.pacfin.2017.06.008
Liu W., Strong N., Xu X. Post-Earnings-Announcement Drift in the UK. European Financial Management, 2003, vol. 9, iss. 1, pp. 89–116. DOI: 10.1111/1468-036X.00209 EDN: EUEBRL
Sen K. Earnings Surprise and Sophisticated Investor Preferences in India. Journal of Contemporary Accounting & Economics, 2009, vol. 5, iss. 1, pp. 1–19. DOI: 10.1016/j.jcae.2008.11.001
Swart D.J., Hoffman A.J. Analysis of the Post-Earnings Announcement Drift Anomaly on the JSE. Investment Analysts Journal, 2013, vol. 42, iss. 77, pp. 17–34. DOI: 10.1080/10293523.2013.11082553
Chudek M., Truong C., Veeraraghavan M. Is Trading on Earnings Surprises a Profitable Strategy? Canadian Evidence. Journal of International Financial Markets, Institutions and Money, 2011, vol. 21, iss. 5, pp. 832–850. DOI: 10.1016/j.intfin.2011.06.004
Syed A.M., Bajwa I.A. Earnings Announcements, Stock Price Reaction and Market Efficiency – the Case of Saudi Arabia. International Journal of Islamic and Middle Eastern Finance and Management, 2018, vol. 11, iss. 3, pp. 416–431. DOI: 10.1108/IMEFM-02-2017-0044
Burghof H.P., Johannsen M. Risk Effect versus Delayed Price Response: The Case of the Post-Earnings-Announcement Drift in Germany. Credit and Capital Markets, 2009, vol. 42, iss. 1, pp. 55–91. DOI: 10.3790/kuk.42.1.55
Ahlatcioğlu A., Okay N. Post-earnings Announcement Drift: Evidence from Turkey. Borsa Istanbul Review, 2021, vol. 21, iss. 1, pp. 92–103. DOI: 10.1016/j.bir.2020.09.001 EDN: HATDHO
Shu H., Tan W. Investor Limited Attention, Opinion Divergence, and Post-earnings-announcement Drift: Evidence from China. Emerging Markets Finance and Trade, 2022, vol. 58, iss. 14, pp. 3985–4000. DOI: 10.1080/1540496X.2022.2079975 EDN: GRYEQQ
Santana V.F., Black E.L., Lima G.A.S.F. Post-Earnings Announcement Drift in Latin America. Revista Brasileira de Gestao de Negocios, 2022, vol. 24, iss. 3, pp. 472–496. DOI: 10.7819/rbgn.v24i3.4193
Swaleh B.A., Elly D.O. Effect of Earnings Announcement on Share Price among Firms Listed at the Nairobi Securities Exchange. African Development Finance Journal, 2022, vol. 3, no. 2.
Sun P.W., Wen Z. Stock return predictability of the cumulative abnormal returns around the earnings announcement date: Evidence from China. International Review of Finance, 2023, vol. 23, iss. 1, pp. 58–86. DOI: 10.1111/irfi.12380 EDN: KGTESM
