TITLE:
Cluster Analysis on PEAD Using SUE Model with Quarterly Data
AUTHORS:
Huaiyu Sun, Mi Zhu, Feng He
KEYWORDS:
Post-Earnings-Announcement Drift; PEAD; SUE Model; Cluster Analysis
JOURNAL NAME:
iBusiness,
Vol.5 No.1B,
April
11,
2013
ABSTRACT: The paper constructs SUE model with Quarterly Report Data of the A-share listed companies for the first time, to analyze Post-Earnings-Announcement Drift (PEAD) with a higher data frequency. A further cluster analysis is made to examine PEAD phenomenon under different market caps and report periods. The study finds that large cap stocks show stronger PEAD than the small cap. It also firstly finds that PEAD on Q1 is more obvious than others. These findings have practical significance for the investment management decisions and the quantitative trading financial products developments.