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Cited by 394

The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.

Arbitrage Risk and Post‐Earnings‐Announcement Drift

Open access
Mendenhall, Richard R.·2004·The Journal of Business
DOI 10.1086/422627
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Abstract

This study examines whether the magnitude of post-earnings-announcement drift is related to the risk faced by arbitrageurs who may view the anomaly as a trading opportunity. Consistent with this hypothesis, the magnitude of the drift is strongly related to the arbitrage risk measure developed by Wurgler and Zhuravskaya (2002). The effect of arbitrage risk is statistically and economically significant under a wide range of specifications. The results suggest that post-earnings-announcement drift represents an underreaction to earnings information and that arbitrage risk impedes arbitrageurs from eliminating it.

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Metadata

Authors
Mendenhall, R. R.
Venue
The Journal of Business
Publisher
University of Chicago Press
Published
2004-10
Volume
77
Issue
4
Pages
875-894
ISSN
  • 0021-9398 (ISSN-L)
  • 1537-5374
DOI
10.1086/422627
OpenAlex
W3121404877
Cited by
394
References
28
FWCI
15.67
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Arbitrage Risk and Post‐Earnings‐Announcement Drift. https://app.cochat.ai/papers/10.1086/422627
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Mendenhall, R. R. (2004). Arbitrage Risk and Post‐Earnings‐Announcement Drift. The Journal of Business. https://doi.org/10.1086/422627

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.