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The possible beginning of an end: A study of the Post Earnings Announcement Drift on the Swedish stock market
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2013 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Post earnings announcement drift (PEAD) is defined as the drift that occurs in a company’s share priceafter their earnings announcement. A company that reports earnings above (below) the analysts’expectations should, according to previous studies of PEAD, continue to drift upwards (downwards)after the announcement. (Ball & Brown, 1968) The thesis purpose is to investigate if PEAD existed onthe Swedish market between 2006-2010. We test PEAD’s existences through; (i) creating portfolios inwhich companies’ abnormal return (AR) we expect to decline or increase, (ii) doing a multiple regressionanalysis to test if the drift is statistically significant. From the results of our study, we can neither acceptnor reject the hypothesis that PEAD existed on the Swedish market, although the multiple regressionanalysis prove a statistically significant result for companies’ AR that we expect to decline have drifted3,11% in a negative direction compared to our total sample.

Place, publisher, year, edition, pages
2013. , 45 p.
Keyword [en]
Post Earnings Announcement Drift, Earnings Surpise, Market Efficiency, Behavioural Finance, Swedish stock market
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-202507OAI: oai:DiVA.org:uu-202507DiVA: diva2:632109
Subject / course
Business Studies
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2013-06-25 Created: 2013-06-24 Last updated: 2013-06-25Bibliographically approved

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Hedberg & Lindmark, 2013(944 kB)555 downloads
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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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