Post-Earnings Announcement Drift (PEAD) na América Latina

Translated title of the contribution: Post-Earnings Announcement Drift in Latin America

Verônica de Fátima Santana, Ervin L. Black, Gerlando Augusto Sampaio Franco de Lima

Research output: Contribution to journalArticlepeer-review


Purpose – This research investigates the post-earnings announcement drift (PEAD) anomaly in the Latin American stock markets. Theoretical framework – The theoretical fundamentals of PEAD analysis lie in the efficient market hypothesis (EMH). Design/methodology/approach – We use firms from Argentina, Brazil, Colombia, Chile, Mexico, and Peru. We examine the PEAD anomaly by estimating the cumulative abnormal returns (CAR) around earnings announcement dates. We replicate the analysis using a sample of firms from the New York Stock Exchange (NYSE) for comparison. We analyze how firm-level and country-level (institutional) variables can explain the PEAD anomaly. Findings – Under different specifications, we find that good news firms yield positive CAR while bad news firms yield negative CAR even after a window of 20 days. We find that the effect of earnings surprises on CAR in Latin America varies with firms’ size and countries’ risk, while in the US it varies with firms’ size and the market-to-book (MTB) ratio. Practical & social implications of research – We fill a gap in the literature on the role of accounting in the capital markets by analyzing the Latin American markets, which are usually left unexplored. In addition, our results are important for portfolio selection strategies, since the PEAD anomaly represents an opportunity to gain abnormal returns based on earnings surprises. Originality/value – We contribute to the literature on the PEAD anomaly by providing evidence on how investors react to earnings announcements in Latin American countries. While other studies have investigated how accounting numbers are useful for investment strategies in the region, by including earnings surprises we go back a step and first investigate the reaction around these surprises.

Translated title of the contributionPost-Earnings Announcement Drift in Latin America
Original languagePortuguese
Pages (from-to)472-496
Number of pages25
JournalRevista Brasileira de Gestao de Negocios
Issue number3
StatePublished - 2022
Externally publishedYes


  • abnormal returns
  • country-level factors
  • firm-level factors
  • Latin America
  • Post-Earnings Announcement Drift

ASJC Scopus subject areas

  • Business and International Management
  • Industrial relations
  • Strategy and Management


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