Post-earnings-announcement drift global evidence from stock markets
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School of Business |
Master's thesis
Authors
Date
2022
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
80 + 7
Series
Abstract
In this paper, I study the post-earnings-announcement drift anomaly from a global aspect. I also study the anomaly on a cross-sectional basis comparing different countries and continents to each other. I find that post-earnings-announcement drift still exists as it is available to provide abnormal returns of around 1 % annually in the years 2005-2020. I then show that the abnormal returns have decreased in the past decade, which is in line with results from previous research. The abnormal returns according to my findings are mostly generated just before and after the earnings announcement in the event window of [-1,1] and longer drift exists only in a few special cases. I find that there are differences between continents and countries, especially between developed countries and emerging countries. Overall, my findings on post-earnings-announcement drift seem to follow the recent literature as the anomaly still exists, however, it seems that it has diminished in recent years. Additionally, I add to the existing literature by analyzing post-earnings-announcement drift with known factor models to better understand if the anomaly shares certain risk profiles. The findings of the models are similar to past literature. There is some new evidence about the profitability and momentum risk factors, but after adding control variables to the models the evidence becomes inconclusive. Further on, I show that the higher number of analysts following a company has a decreasing effect on the abnormal returns.Description
Thesis advisor
Rantapuska, EliasKeywords
PEAD, post-earnings-announcement drift, global, event study, earnings