Work detail

Market Reaction to Earnings Announcements and (In)Efficiency of Financial Markets: Cross-sector Analysis

Author: Mgr. Pavel Prucek
Year: 2017 - summer
Leaders: prof. Ing. Evžen Kočenda M.A., Ph.D., DSc.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 85
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/179195/
Abstract: Using the sample of three largest stocks from seven main market sectors in the
US, the thesis examines the effect of information content of earnings announcements
on market reaction across sectors. Our findings prove the asymmetry of
market reaction to different earnings surprise categories with negative-surprise
reaction being the most profound. The financial markets tend to be less efficient
in response to negative earnings surprises. Leakage of information is
not present suggesting that insider trading is well-mitigated on the US capital
markets. Furthermore, we investigate the market reaction to earnings surprises
in different sectors separately and find that Consumer Staples and IT sector
tend to be the most sensitive, on the contrary Telecommunication and Energy
sector tend to be the least sensitive.
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