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Explaining the Decline of PEAD: More Arbitrage or Less News?

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Journal of Accounting, Auditing & Finance

Published online on

Abstract

Journal of Accounting, Auditing & Finance, Ahead of Print.
Post-earnings-announcement drift (PEAD) has declined significantly over time. The prevailing explanation for this decline from prior work is an increase in arbitraging activities. We propose a new explanation based on a decline in the informativeness of ...