We conduct an event study around the earning announcement to examine the asymmetric post earnings announcement drift, and its relationship with the bid-ask bias, order follow imbalance on post earnings announcement period for UK stock market from 2000 2021. The earning drift is significantly asymmetric in the post earnings announcement period, stocks with good news have less drift, and it (at least) partly due to the order flow imbalance during the event period. The earning announcement attracts more sell than buy orders, and an overall negative reaction in the market. The difference between transaction price return and quote price returns shows that the bid-ask bias is also a possible explanation of post earnings announcement drift. Our results are robust across different estimations and robustness tests.

中文翻译：

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财报发布后的不对称漂移和订单流失衡：对股市回报的影响


我们围绕盈利公告进行了事件研究，以检验2000年至2021年英国股市盈利公告后的不对称漂移，及其与买卖偏差、订单跟随不平衡的关系。盈利漂移明显不对称在财报发布后期间，有好消息的股票漂移较小，（至少）部分原因是活动期间的订单流不平衡。盈利公告吸引的卖出订单多于买入订单，市场整体反应负面。交易价格回报与报价回报之间的差异表明，买卖偏差也是盈利公告后漂移的可能解释。我们的结果在不同的估计和稳健性测试中都是稳健的。