The post earnings announcement drift is a market anomaly causing a firms cumulative abnormal returns to drift in the direction of an earnings surprise. By measuring quarterly earnings surprises using two measures. The first based upon a times series prediction and the other based upon on analyst forecast errors. This study finds evidence that the drift ex-ists in Sweden and that investor’s systematically underreacts towards positive earnings sur-prises. Further this study shows that the cumulative average abnormal returns is larger for surprises caused by analyst forecast errors. While previous studies have tried to explain the drift by taking on additional risk or illiquidity in the stocks. This study provides evidence supporting that investors limitations in weighting new information causes an underreaction, hence a drift in the stock prices.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hj-18308 |
| Date | January 2012 |
| Creators | Magnusson, Fredrik |
| Publisher | Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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