Market Reaction to Earnings Announcements and (In)Efficiency of Financial Markets: Cross-sector Analysis
| Autor: | Mgr. Pavel Prucek |
|---|---|
| Rok: | 2017 - letní |
| Vedoucí: | prof. Ing. Evžen Kočenda Ph.D., DSc. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 85 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/179195/ |
| Abstrakt: | 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. |
