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Post Earnings Announcement Drift in Sweden: Evidence and application of theories in Behavioural Finance
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

The post earnings announcement drift is a market anomaly causing a firms cumulative abnormal returns to drift in the direction of an earnings surprise. By measuring quarterly earnings surprises using two measures. The first based upon a times series prediction and the other based upon on analyst forecast errors. This study finds evidence that the drift ex-ists in Sweden and that investor’s systematically underreacts towards positive earnings sur-prises. Further this study shows that the cumulative average abnormal returns is larger for surprises caused by analyst forecast errors. While previous studies have tried to explain the drift by taking on additional risk or illiquidity in the stocks. This study provides evidence supporting that investors limitations in weighting new information causes an underreaction, hence a drift in the stock prices.

Place, publisher, year, edition, pages
2012. , 56 p.
Keyword [en]
Post Earnings Announcement Drift, Behavioral Finance, Efficient Markets, Analyst Forecast Error
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-18308OAI: oai:DiVA.org:hj-18308DiVA: diva2:531273
Subject / course
IHH, Business Administration
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2012-07-06 Created: 2012-06-06 Last updated: 2012-07-06Bibliographically approved

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fulltext(1194 kB)488 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf