Explaining the Decline of PEAD: More Arbitrage or Less News?
Journal of Accounting, Auditing & Finance
Published online on March 31, 2026
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 ...
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 ...