Work detail

Event Study on Financial Announcements: New Evidence of Stock Sensitivity and Post-Earnings-Announcement Drift

Author: Bc. Matěj Čonka
Year: 2017 - summer
Leaders: doc. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 67
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/185505/
Abstract: This thesis investigates the presence of abnormal returns after the companies
announce their earnings (earnings-price anomaly) on 23 companies listed on
STOXX 50 Europe index. We use the event studies framework and we summarize
main models for abnormal returns’ estimation with closer look on the Market
Model and CAPM. We do not find considerable value added when using more
complex CAPM compared to the Market Model. The results show significant
abnormal returns for good news and bad news earnings surprises with bigger
market reaction on good news earnings surprises. The findings also provide the
evidence of market inefficiency and the possibility of pre-announcement leakage
of information. We find post-earnings-announcement drift for good news earnings
surprisesandthepresenceof contrarianreturns.
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