Spanish post-earnings announcement drift and behavioral finance models

Resumen

The aim of this paper is to check the robustness of the behavioural theories developed to explain the medium-term drift and long-term reversion in returns. Concretely, we realize an out-of-sample test of the models of Daniel et al (1998), Hong and Stein (1999) and Barberis, Shleifer and Vishny (1998) in two ways. First, by analysing the predictions of these models in the Spanish market and second, by examining the post-earnings announcement drift anomaly instead of the momentum anomaly. Our results show very little evidence in favour of the hypothesis used to test the validity of these models to explain this market anomaly in the Spanish market.