Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
POST-EARNINGS-ANNOUNCEMENT DRIFT 7 the Banz-Reinganum size effect.8 Under this approach, abnormal returns are calculated as follows: ARjt = Rjt- (1) where AR1t = abnormal return for firm j, day t; Rjt = raw return for firm j, day t; Rpt= equally ......