cash flow announcement drift

Research Project

Project/Area Number	19730300
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Single-year Grants
Research Field	Accounting
Research Institution	Okayama University
Principal Investigator	NAKAGAWA Toyotaka Okayama University, 大学院・社会文化科学研究科, 准教授 (70403467)
Project Period (FY)	2007 – 2009
Project Status	Completed (Fiscal Year 2009)
Budget Amount *help	¥3,580,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥780,000) Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000) Fiscal Year 2008: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000) Fiscal Year 2007: ¥200,000 (Direct Cost: ¥200,000)
Keywords	利益発表後ドリフト / CFO発表後ドリフト / 決算発表ドリフト / 財務情報の有用性 / アナウンスメントドリフト / キャッシュフロー / インフレーション錯覚
Research Abstract	The purpose of this study is to examine not only the phenomenon of post-earnings-announcement drift but post-CFO-announcement drift. While many prior researches have been made on attempts to explain post-earnings-announcement drift and the cause of the drift is still controversial, I focus my attention on the extended analysis of the drift. Namely, the point of this study is whether SUCFO deciles have predictability for future abnormal returns or not. It was found from the result that returns from the SUCFO-based strategy are independent of the returns from a SUE-based strategy.