Post Earnings Announcement Drift and Price Impact Around E Arnings Announcements : Evidence from the London Stock Exchange

Using a sample of 219 firms listed on the FTSE 350 index from 2000-2022, we discover that both the PEAD and price asymmetry effect is stronger for firms around the earning announcement period. Price continuations (reversals) following buys (sales) are present, asymmetric price impact exists for firms around the earning announcement. When we control for the bid-ask bounce error caused by the earning news, we find that the rest of price anomalies caused by the PEAD. The asymmetric price effect is jointly affect with the earning drift during the post earning announcement period