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Unifying underreaction anomalies


Finance, Finance

Publishing details

Authors / Editors

Jackson A;Johnson T

Publication Year



This paper asks whether momentum and post-event drift are manifestations of the same underlying mechanism or whether they are separate phenomena. We find that both effects can be attributed to persistence in returns following news which affects expected earnings or earnings growth. Holding these quantities fixed, there is no momentum effect, nor is there post-event drift for our sample of events, which includes seasoned equity offerings, re-purchases, equity-financed mergers, and dividend inititations and omissions.

Publication Research Centre

Institute of Finance and Accounting

Series Number

FIN 363


IFA Working Paper

Available on ECCH


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