Pead Assignment

Assignment: Describe the procedure of Post-Earnings Announcement Drift

1. Measure streamer unexpected earnings (SUE) for distributively firm


SUEt = et E(et)
[pic]
et: actual earnings announced at solar day t
E(et): expected earnings at day t
[pic] : the historical standard deviation of the last eight trace earnings (1)




2. Rank SUE from the lowest to the highest


3.



Separate them into antithetic group, for example if you have 100 firms, you group into 10 portfolios, each portfolio has around 10 firms


LOWEST SURPISE

|100 | |
|99 | multitude 1 |
|98 | |
|… | |
|90 | |
|… | |
|… |Group 2 |
|… | |
|10 | |
|9 |Group 10 |
|… | |
|1 | |


HIGHEST SURPISE




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