Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • 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
Investor distraction during the Swedish summer and stock market under-reaction to companies’ earnings releases
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2011 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2011. , 48 p.
Keyword [en]
investor distraction, investor inattention, Post Earnings Announcement Drift, PEAD, under-reaction, earnings surprise, SUE, summer, seasonal effects, buy and hold abnormal returns, abnormal returns, BHAR
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-155747OAI: oai:DiVA.org:uu-155747DiVA: diva2:427864
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2011-06-30 Created: 2011-06-29 Last updated: 2011-06-30Bibliographically approved

Open Access in DiVA

fulltext(290 kB)463 downloads
File information
File name FULLTEXT01.pdfFile size 290 kBChecksum SHA-512
16a550f096abeeeacd8be9179eef5926d7e5021677ed708dea28432bd3b04482f0f97915b3b3f40246dc411e32df238a8068f99e541f9fa3fc67f4b2d65e8629
Type fulltextMimetype application/pdf

By organisation
Department of Business Studies
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 463 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 875 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • 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