Tid: 1 juni 2016 kl 14.00-14.30.Seminarierummet 3424, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 4. Karta!
Föredragshållare: Hampus Hagström (Master Thesis)
Titel: Post Earnings-Announcement Drift: A comparative study on the impact of measure calculations
Abstract This thesis investigate the phenomenon of post earnings-announcement drift where good (bad) interim reports are followed by an upward (downward) drift in stock price. The main question is whether the specific construction of the drift measure has any impact on the drift. The results show that reported earnings are more suited than earnings per share as a measure of earnings. Stock price is seen to affect the decile sorting in many of the measures and as such, using the standard deviation of past expected earnings is recommended. No definitive conclusion can be drawn about the model of unexpected earnings for the standardized unexpected earnings measure. Standardized unexpected earnings outperform earnings announcement returns in the size of drift.
|Sidansvarig: Filip Lindskog