Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors' expectations regarding permanent earnings? Evidence from Athens Stock Exchange

摘要

The main objective of the paper is to test whether post-earnings announcement drift (PEAD) is a consequence of the presence of self-attribution bias in investors’ expectations, regarding permanent earnings. This is the first study to examine empirically this issue, in the sample of Athens Stock Exchange firms. Self-attribution bias implies that the investors respond asymmetrically to confirmations and negations of their prior expectations, regarding permanent earnings, which are based on private information. Confirmations of prior expectations, which are based on private information, lead to increases in investors’ confidence in their expectations, regarding permanent earnings. On the other side, negations of prior expectations, which are based on private information, fail to diminish investors’ confidence, regarding permanent earnings. The study provides evidence that self-attribution bias does not drive PEAD in Athens Stock Exchange firms.