Stock price reaction to earnings announcement: the case of an emerging market
AbstractIn an efficient stock market stock prices instantaneously and accurately adjust to new information. This paper conducts an event study analysis on an emerging market namely the Karachi Stock Exchange (KSE) by investigating the stock price reaction to public announcement of quarterly after tax profit by listed firms. By employing 5 year data on stock prices from January 2004 to August 2008 for 114 non financial firms we found that there is no abnormal return post earnings announcement. Moreover the study provides evidence that there is a bigger element of surprise in bad news than in good news as the market reaction to bad news is stronger.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 30865.
Date of creation: 01 Jan 2011
Date of revision: 10 May 2011
Event Study; Earnings Announcement; Emerging Markets;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Iqbal, Javed, 2008. "Stock Market in Pakistan: An Overview," MPRA Paper 11868, University Library of Munich, Germany.
- Jennifer Conrad & Bradford Cornell & Wayne R. Landsman, 2002. "When Is Bad News Really Bad News?," Journal of Finance, American Finance Association, vol. 57(6), pages 2507-2532, December.
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- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- Gennotte, Gerard & Trueman, Brett, 1996. "The Strategic Timing of Corporate Disclosures," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 665-90.
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