Zhang, Sijia; Hua, Qiuling; Wu, He; Zhang, Sijia - 2023
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...