Stock Return Behaviour around Earnings Disclosure
Førsteamanuensis Imtiaz Badshah ved Institutt for økonomi, innovasjon og samfunn har sammen med tre medforfattere publisert artikkelen Stock Return Behaviour around Earnings Disclosure i tidsskriftet International Journal of Innovation, Creativity and Change.
Artikkelens sammendrag (Abstract) beskriver resultater og metodisk tilnærming:
We used event study methodology to analyse stock return behaviour around earnings disclosure of 227 firms listed on PSX from 2004 to 2013. Empirical evidence suggests firstly, earnings announcements generate significant returns on the announcement day, declaring the PSX to be a semi-strong inefficient market. Secondly, significant returns were observed in the pre-announcement period reflecting information leakage. Thirdly, significant returns were observed in the post-announcement period suggesting a lag in the investors’ response. Fourthly, post-earnings announcement drift anomaly is reported for negative earnings announcements, and fifthly, the results are found to be sensitive to the type of statistical test undertaken.