Cluster Analysis on PEAD Using SUE Model with Quarterly Data - iBusiness

IB > Vol.5 No.1, March 2013

iBusiness

Volume 5, Issue 1 (March 2013)

ISSN Print: 2150-4075 ISSN Online: 2150-4083

Google-based Impact Factor: 0.61 Citations

Cluster Analysis on PEAD Using SUE Model with Quarterly Data ()

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DOI: 10.4236/ib.2013.51B007 5,662 Downloads 7,696 Views Citations

Author(s)

Huaiyu Sun, Mi Zhu, Feng He

Affiliation(s)

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.

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

Share and Cite:

H. Sun, M. Zhu and F. He, "Cluster Analysis on PEAD Using SUE Model with Quarterly Data," iBusiness, Vol. 5 No. 1B, 2013, pp. 31-34. doi: 10.4236/ib.2013.51B007.

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