Post-Earnings Announcement Drift in Latin America

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Abstract

In this research paper we investigate the Post-Earnings Announcement Drift (PEAD) in Latin America. While the PEAD literature has been around for several decades, its focus has been on developed markets, especially the United States. However, market anomalies and specifically post-earnings announcement drift have not been lacking in emerging markets, and more particularly Latin American. With this in mind, we select a sample of firms from the primary market indices of the largest Latin American countries: Argentina, Brazil, Colombia, Chile, Mexico and Peru. We examine PEAD and the cumulative abnormal returns around their annual earnings announcements. In addition, we also replicate the analysis using a sample of matched firms from the New York Stock Exchange (NYSE). By examining the NYSE, which has been used in prior literature, we can analyze and compare the results found for Latin America. This comparison allows us to examine whether the results are driven by differences in the environment or Latin American firm characteristics.

Authors

• Ervin L Black, The University of Oklahoma

• Gerlando Lima, University of Illinois

• Veronica de Faitma Santana, Universidade de Sao Paulo - USP