Information transfers in Nordic stock exchanges - Market underreaction to interim report information

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi Mäkinen, Kasper 2011-11-14T11:23:36Z 2011-11-14T11:23:36Z 2010
dc.description.abstract INFORMATION TRANSFERS IN NORDIC STOCK EXCHANGES – MARKET UNDERREACTION TO INTERIM REPORT INFORMATION PURPOSE OF THIS STUDY The objective of this paper is to investigate whether stock market participants (investors) are able to correctly transfer quarterly earnings announcement information across companies that operate in the same industry. The focus is mainly on late announcers of the industry and on market’s ability to use the early announcers’ interim report information to estimate the late announcers’ earnings. This paper adds new important evidence about information transfers as well as market irrationality in Nordic stock exchanges. These exchanges are Helsinki, Stockholm and Oslo. DATA The data for this thesis is gathered mainly from Thomson Reuters databases. Also OMX News Client as well as company websites are used to collect information. The data set includes 89 industries, 416 companies, 8274 quarterly earnings report dates and 57282 stock price observations. Companies are classified into industries using 3-digit SIC-code classification. The data covers years 1998-2009. RESULTS The main finding of this thesis is that market seems to underestimate the intra-industry implications of same industry companies’ quarterly earnings announcement information. This underreaction is present both for the first announcer as well as for the late announcers of the industry. Moreover I find that the underreaction is largest especially when the market is negatively surprised by the earnings of the first announcer within industry. en
dc.format.extent 83
dc.language.iso en en
dc.title Information transfers in Nordic stock exchanges - Market underreaction to interim report information en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Economics en
dc.contributor.department Department of Accounting and Finance en
dc.contributor.department Laskentatoimen ja rahoituksen laitos fi
dc.subject.keyword underreaction
dc.subject.keyword overreaction
dc.subject.keyword information transfer
dc.subject.keyword intra-industry information
dc.subject.keyword industry classification
dc.subject.keyword 3-digit SIC-code
dc.identifier.urn URN:NBN:fi:aalto-201111181417
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon pörssit
dc.subject.helecon stock exchanges
dc.subject.helecon Pohjoismaat
dc.subject.helecon Scandinavia
dc.subject.helecon informaatio
dc.subject.helecon information
dc.subject.helecon behavioral finance
dc.subject.helecon behavioral finance
dc.ethesisid 12373 2010-09-08
dc.location P1 I

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