Journal article
Can mutual funds profit from post earnings announcement drift? The role of competition
Journal of banking & finance, Vol.114, p.105774
05/01/2020
DOI: 10.1016/j.jbankfin.2020.105774
Abstract
This study examines how competition affects the profitability of mutual funds' trading on the post earnings announcement drift (PEAD). Our results show that among funds actively pursuing this strategy, only those that manage to avoid competition deliver superior performance. Further, we find that funds avoid competition by investing in illiquid stocks. Our analysis shows that the outperformance of these low-competition funds is mainly attributable to their information advantage in identifying mispricing among illiquid stocks. (C) 2020 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- Can mutual funds profit from post earnings announcement drift? The role of competition
- Creators
- Ashiq Ali - The University of Texas at DallasXuanjuan Chen - Shanghai Finance UniversityTong Yao - University of IowaTong Yu - University of Cincinnati
- Resource Type
- Journal article
- Publication Details
- Journal of banking & finance, Vol.114, p.105774
- Publisher
- Elsevier
- DOI
- 10.1016/j.jbankfin.2020.105774
- ISSN
- 0378-4266
- eISSN
- 1872-6372
- Number of pages
- 19
- Language
- English
- Date published
- 05/01/2020
- Academic Unit
- Finance
- Record Identifier
- 9984380552502771
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