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From Market Efficiency to Event Study Methodology: An Event Study of Earnings Surprises on Nasdaq OMX Stockholm
Mälardalen University, School of Business, Society and Engineering.
Mälardalen University, School of Business, Society and Engineering.
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The analysis of market efficiency helps researchers and investors to better understand the complexities of the financial market. This report tests market efficiency at the semi-strong degree by employing an event study with focus on surprises in quarterly earnings-announcements made by companies that are publicly listed on Nasdaq OMX Stockholm. The surprises are determined by comparing the earnings per share with its consensus estimate, for two positive and one negative panel respectively. The report also provides a robust methodology description of event studies in general, likewise a broad discussion about different types of biases that might occur. For determining estimated abnormal returns the market model is adopted, as most commonly done in event studies. The panels are statistically evaluated by the use of a non-parametric rank test and economically through cumulated abnormality. The authors statistically find semi-strong market inefficiency through the negative panel, as well as for the small positive panel when economical inferences are taken into account, where a slight post announcement abnormal return can be achieved. The same could not be implied for the large positive panel.

Place, publisher, year, edition, pages
2014. , 39 p.
Keyword [en]
Event Study, Efficient Market Hypothesis, Semi-Strong Market Efficiency, Earnings Surprises Stockholm OMX, Swedish Stock Market, Rank Test
National Category
Economics and Business Economics
Identifiers
URN: urn:nbn:se:mdh:diva-25310OAI: oai:DiVA.org:mdh-25310DiVA: diva2:727035
Subject / course
Economics
Presentation
2014-06-04, Västerås, 13:15 (English)
Supervisors
Examiners
Available from: 2014-07-01 Created: 2014-06-19 Last updated: 2014-07-01Bibliographically approved

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fulltext(884 kB)2834 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf