Cluster Analysis on PEAD Using SUE Model with Quarterly Data

DOI: 10.4236/ib.2013.51B007   PDF   HTML     4,613 Downloads   6,085 Views   Citations

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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.

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