Post–earnings–announcement Drift in the UK

Weimin Liu, Norman Strong, Xinzhong Xu

Research output: Journal PublicationArticlepeer-review

35 Citations (Scopus)


This paper fills a void in the market efficiency literature by testing for the presence of post–earnings–announcement drift in a non–US market. We test for drift using alternative earnings surprise measures based on: (i) the time–series of earnings; (ii) market prices; and (iii) analyst forecasts. Using each of the measures we find evidence of significant post–earnings–announcement drift, robust to alternative controls for risk and market microstructure effects. Using a one–dimensional analysis, the price–based measure of earnings surprise gives the strongest drift, and using a two–dimensional analysis the drift associated with the price–based measure almost subsumes drift associated with the other two measures. Our conclusion is that the UK stock market is inefficient with respect to publicly available corporate earnings information. This evidence provides out–of–sample confirmation of the post–earnings–announcement drift documented in the USA.

Original languageEnglish
Pages (from-to)89-116
Number of pages28
JournalEuropean Financial Management
Issue number1
Publication statusPublished - Mar 2003
Externally publishedYes


  • Earnings surprises
  • Market efficiency
  • Post–earnings–announcement drift

ASJC Scopus subject areas

  • Accounting
  • Economics, Econometrics and Finance (all)


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