Cluster Analysis on PEAD Using SUE Model with Quarterly Data

Huaiyu Sun, Mi Zhu, Feng He

1Economics and Management School, Wuhan University, Wuhan, China; 2Research Department, China Investment Securities Co., Ltd, Shenzhen, China.
Research Department, China Investment Securities Co., Ltd, Shenzhen, China.

DOI: 10.4236/ib.2013.51B007                

Abstract

The paper constructs SUE model with Quarterly Report Data of the A-share listed companies for the first time, to analyze Post-Earnings-Announcement Drift (PEAD) with a higher data frequency. A further cluster analysis is made to examine PEAD phenomenon under different market caps and report periods. The study finds that large cap stocks show stronger PEAD than the small cap. It also firstly finds that PEAD on Q1 is more obvious than others. These findings have practical significance for the investment management decisions and the quantitative trading financial products developments.

Keywords

Post-Earnings-Announcement Drift; PEAD; SUE Model; Cluster Analysis

Conflicts of Interest

The authors declare no conflicts of interest.

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