Post Earnings Announcement Drift (PEAD) är en marknadsanomali som innebär att aktiepriser driftar i samma riktning som resultatöverraskningar under en period efter publicerad kvartalsrapport. Denna studie undersöker om PEAD existerar på Stockholmsbörsen under de efterföljande 10 respektive 60 handelsdagarna efter publicerad kvartalsrapport. Undersökningen av PEAD genomfördes med en eventstudie under tidsperioden 2013-2019. Huvudresultatet kan inte konstatera att PEAD återfinns på Stockholmsbörsen. Vid separat analys av Large Cap och Small Cap påvisas PEAD för stora bolag 60 handelsdagar efter publicerad kvartalsrapport för positiva resultatöverraskningar. För negativa resultatöverraskningar konstateras istället en omvänd (positiv) drift i aktiepriser för stora bolag. Små bolag påvisar en svagt signifikant positiv drift i samma riktning resultatöverraskningen de efterföljande 60 handelsdagarna. Studien tyder på att företagsstorlek kan påverka driften i aktiepriser. Det fastställs även att en hedgeportfölj för små bolag kan generera en signifikant överavkastning. Sammanfattningsvis kan studien inte fastställa att PEAD existerar på Stockholmsbörsen.

Post earnings announcement drift (PEAD) är den första erkända avvikelsen mot den effektiva marknadshypotesen och innebär att aktier tenderar att utvecklas i samma riktning som en resultatöverraskning. Denna studie undersöker förekomsten av PEAD för små bolag på First North och Stockholmsbörsen under perioden 2016–2022. Studien har genomförts som två eventstudier där daglig avkastning för små bolag på First North och Stockholmsbörsen har undersökts efter publicering av kvartalsrapport. Vår studie finner att First North uppvisar omvänd drift för upp till 60 handelsdagar efter kvartalsrapporter, vilket innebär att aktiekurser tenderar att utvecklas i motsatt riktning som kursreaktionen vid resultatöverraskningen. Vi fann ingen signifikant PEAD på Stockholmsbörsen, varken PEAD eller omvänd drift. Resultaten tyder på att First North överreagerar i samband med resultatöverraskningar, vilket sedan följs av en priskorrigering i efterföljande period. Detta indikerar att små bolag på First North har mindre effektiv prissättning än bolag med motsvarande storlek på Stockholmsbörsen.

Tidigare forskning har under sex decennier bevisat existensen av anomalin post-earnings-announcement drift (PEAD) som uppstår på finansmarknaden i samband med kvartalsrapporter. Denna anomali, vars existens indikerar en inkonsistens med EMH, visar att aktiepriser driftar i samma riktning som vinstöverraskningar i samband med publicering av finansiella rapporter. Vår studie undersöker huruvida denna anomali existerade på Stockholmsbörsen under åren 2010-2019. För att besvara frågeställningen undersöker vi 41 bolag som är noterade på OMX Stockholm genom en eventstudie innehållande 1640 kvartalsobservationer. Med hjälp av analytikerestimat delar vi in bolagen i portföljer om kvintiler. Setterberg (2011) som var den första att finna PEAD i Sverige fann drift för en innehavsperiod om 12 månader. Vi är istället intresserade av att undersöka kortsiktig avkastning och undersöker därför endast 60 handelsdagar. Studien finner inga belägg för att anomalin skulle ha funnits i Sverige under de studerade åren, eftersom icke signifikanta resultat uppnås för alla utom en portfölj. Resultatet indikerar att den svenska marknaden är mer effektiv än vad vi först trodde.

In the first essay titled "The Information Role of Analysts' Contrarian Revisions," I study a special group of revisions: contrarian revisions, defined as recommendation changes that are inconsistent with sizable stock price movements during the past week. I find that contrarian revisions are relatively more informative than trending revisions. In particular, contrarian revisions are associated with a both statistically and economically larger post-announcement drift. I also find contrarian downgrades are less likely to be issued by all-star analysts and analysts with more experience. After implementation of Regulation RD, the market reaction to contrarian revisions issued by all-stars significantly decreases, indicating private information contained in contrarian recommendations has declined. Overall, our results suggest analyst recommendations are important information sources for market participants. In the second essay titled "Market Reaction to Earnings When Investors Disagree," I investigate how the divergence of opinions between individual and institutional investors affects stock price movements around public news events, specifically earnings announcements. I use a discrete static market equilibrium model to illustrate that divergence of investors' opinions has a significant impact on stock price movements around earnings announcements. Specifically, the divergence of opinion has a negative relation with the immediate market reaction but a positive relation with the subsequent stock price drift. I also investigate trading volume around earnings announcements to explore how traders respond to changes in the divergence of investors' opinions. Empirical evidence supports the model implications and indicates announcement trading volume decreases inversely to the divergence of opinions.

Investors are constantly searching for new ways to obtain a higher return on the market. This study examines if the stock prices for the companies within the market index OMXS30 changes more than expected when an earnings announcement is published and if it is possible to benefit from it in order to obtain a higher return. The study investigates how well the traditional theories, such as the efficient market hypothesis and random walk, can explain the market today by performing two event studies that represent different investment strategies. Event study 1 examine how the stock price changes before earnings announcement. Event study 2 examine how the stock price changes if you own the stock when the earnings announcement is published and sells it afterwards. The results from the event studies show that the null hypothesis are rejected at a 5 percent significance level, where event study 1 had an abnormal return of 0.84 percent and event study 2 had an abnormal return of 5.46 percent. Based on the results of the study the conclusion is that it is possible to obtain an abnormal return using the two investment strategies. / Investerare letar ständigt efter nya sätt att erhålla en överavkastning. Denna studie kommer att undersöka om aktiepriset för bolagen inom indexet OMXS30 förändras mer än förväntat i samband med att kvartalsrapporten publiceras och om det går att dra nytta av detta för att erhålla en överavkastning. Studien testar hur väl de traditionella finansiella teorierna såsom den effektiva marknadshypotesen och random walk förklarar marknaden idag genom att genomföra två eventstudier som representerar två alternativa investeringsstrategier. Eventstudie 1 undersöker hur aktiepriset förändras inför en kvartalsrapport. Eventstudie 2 undersöker hur aktiepriset förändras när en aktie ägs vid publiceringen av kvartalsrapporten och säljs efteråt. Resultatet från eventstudierna visade att båda nollhypoteserna kan förkastas på 5 procents signifikansnivå, där eventstudie 1 visade en abnormal avkastning på 0,84 procent och eventstudie 2 visade en abnormal avkastning på 5,46 procent. Utifrån studiens resultat dras slutsatsen att det går att erhålla en abnormal avkastning vid de båda alternativa investeringsstrategierna.

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Post Earnings Announcement Drift (PEAD) is a market anomaly that challenge the “Efficient Market Hypothesis” (EMH). It was first discovered in 1968 by Ball and Brown. When firms on the stock market have their earnings announcement the stock price will be affected and tend to drift up or down in price for days, weeks or months. Based on the limited research studies available there is acceptance that PEAD exists in the Stockholm stock exchange but depending on how measured the effect can strongly differ. In this master thesis we will study PEAD anomaly in the Swedish stock market and how pronounced it is on the stock’s sector, beta and trading volume. This study is an event and quantitative study which analyses firms on the Stockholm exchange market during the period between January 2007 to December 2022. A price measurement methodology has been used where the benchmark for abnormal (or excess) returns is the index of the list. Evidence shows that PEAD is present in the Stockholm Stock Exchange but that the effect is limited. The fact that the event abnormal returns are significant regarding of the returns up to after 60 trading days (although on a very small effect) provides insight and understanding of the effect. This study has also provided insight that beta and sector is a relevant PEAD parameter, maybe as important as the abnormal returns in the event itself. Trading volume have not provided any insight on PEAD in this study.

This dissertation is concerned with the relationship between accounting earnings and stock prices. It consists of three empirical papers, all using a sample of firms listed on the Stockholm Stock Exchange (1990-2008). The first paper documents the existence of a drift in stock prices subsequent to quarterly earnings announcements. Two interesting empirical observations are that the drift is only significant for longer holding periods and that the drift on the short position, i.e. after bad earnings news, is negligible. The lack of downward drift on the short position is interpreted as an indication of the post-earnings announcement drift, at least partly, being explained by investors demanding a compensation for a risk factor that is omitted in the test design. The second paper illustrates under what conditions information risk in the earnings signal might explain a low announcement reaction and a price drift in the post-announcement period. It is hypothesized that two earnings signals – based either on GAAP earnings or core earnings – have different levels of information uncertainty with respect to how they depict the value creation of the firm. In the empirical sections, it is concluded that the low immediate announcement reaction and high post-announcement drift for the GAAP earnings signal is due to this signal being perceived by investors as containing more uncertainty than the core earnings signal. It is argued that this uncertainty might be due to GAAP earnings encompassing items that prior research has shown more likely to be manipulated and/or to contain estimation error. The positive association between information risk and expected return is further investigated in the third paper, where information risk is measured by earnings quality metrics. Using a new approach to estimate the implied cost of capital, it is found that Swedish investors demand a higher expected return for firms with poor earnings quality, i.e. firms associated with higher information risk. / Diss. Stockholm : Handelshögskolan i Stockholm, 2011

This paper investigates whether greater investor distraction on the Swedish stock market during the summer months of June, July and August leads to a more pronounced post earnings announcement drift (PEAD) effect, during the ten year period between 2000 and 2009. PEAD is an anomaly whereby the information contained in earnings announcements is not immediately or completely incorporated into stock prices, in the cases where the announcement contains an ‘earnings surprise’. The methodology involves using the standardised unexpected earnings (SUE) metric to measure the level of ‘earnings surprise’ and a buy and hold abnormal returns (BHAR) trading strategy to measure return. The study tests and confirms the existence of greater investor distraction during summer months on the Swedish market. For a holding period of 12 months, a BHAR trading strategy generates a greater abnormal return for summer months (11.3%) compared with the abnormal return for non-summer months (10.5%). These results are also interesting in a broader context, as they confirm the existence of the PEAD effect, one of the strongest counter-arguments to the efficient markets hypothesis (EMH); the foundation of many financial models used for stock market valuation. This is because, according to the EMH, in an efficient market it should not be possible to generate abnormal returns based on available information. However, it may be noted that these results do not take into account transaction costs. This means that while it can be demonstrated that there is greater investor distraction during the Swedish summer, in order to implement a successful trading strategy based on this finding, further testing would be required. Therefore, based on the findings of this paper, a number of areas for future research have been identified.

本研究主要探討兩項關於融券交易的議題。首先，本研究發現巨量融券與續後的股價反應呈現顯著的負相關。再者，進一步探究盈餘宣告前的融券信用交易是否與非盈餘宣告的時間存有差異。本研究是採用在台灣證券交易所上市之股票並觀察其盈餘宣告前五日之融券交易行為。實證結果發現盈餘宣告前的融券與盈餘宣告後的股價反應存在負向關係，顯示可能有私有資訊的交易者在盈餘宣告前進行融券交易。接下來本研究進一步使用基本財務比率中的帳面價值對市價比將樣本區分成價值型與成長型之股票，發現擁有較低比率之公司較受融券交易者之青睞。本研究希望研究成果能對證券市場主管機關在制訂法律與提供更即時、更廣泛的信用交易資訊揭露給投資大眾參考。 / This research examines two issues of short-selling transactions.First,we find a strong negative relationship between short interest and subsequent abnormal returns.The second is whether short-selling in the days leading up to an announcement differs from short-selling in times when no announcement is imminent.We examine short-selling behavior of investors in the five days prior to the earnings announcements of Taiwan Stock Exchange (TSE)listed firms.The tests provide evidence that there might exist informed trading in pre-announcement short-selling because they reveal that abnormal short-selling is significantly linked to post-announcement stock returns.A high level of unusual pre-announcement short-selling is an indicator of future stock returns at earnings announcement.Also,the tests indicate that short-sellers typically are more active in stocks with low book-to-market ratio valuation.We believe that these results should encourage financial market regulators to consider providing more extensive and timely disclosures of short-selling to investors.