Francis, Jennifer; Lafond, Ryan; Olsson, Per; Schipper, … - In: Journal of Business Finance & Accounting 34 (2007-04) 3-4, pp. 403-433
We examine whether rational investor responses to information uncertainty (IU) explain properties of and returns to the post-earnings-announcement-drift (PEAD) trading anomaly. Consistent with a rational learning explanation, we find that: (1) unexpected earnings (UE) signals that are...