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- W3122290250 abstract "The gambler's fallacy (Rabin, 2002) predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the same sign. When the most recent earnings surprise extends a streak, post-earnings announcement drift is strong and significant. In contrast, the drift is negligible following the termination of a streak. Indeed, streaks explain about half of the post-earnings announcement drift in our sample. Our results are robust to more general definitions of trends than streaks and a battery of control variables including the magnitude of earnings surprises and their autocorrelation. Overall, post-earnings announcement drift has a significant time-series component that is consistent with the gambler's fallacy." @default.
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- W3122290250 date "2011-01-01" @default.
- W3122290250 modified "2023-09-23" @default.
- W3122290250 title "Streaks in Earnings Surprises and the Cross-section of Stock Returns" @default.
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- W3122290250 doi "https://doi.org/10.2139/ssrn.1343451" @default.
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