Stock Price Response to Earnings Announcements: Evidence from the Nigerian Stock Market
AbstractThis paper examines the stock market reaction to annual earnings information releases using data on the Nigerian Stock Exchange. Using the event study method, the speed of reaction of the market to annual earnings information releases for a sample of 16 firms listed on the exchange is tested. Significant abnormal price reactions around earnings announcements suggest the earnings announcements contain value-relevant information. We find that the magnitude of the cumulative abnormal returns is dominated by significant reactions 20 days before the earnings release date which suggests that a portion of the market reaction may be due to private acquisition and, possibly, abuse of information by insiders. The persistent downward drift of the cumulative abnormal returns, 20 days after the announcement, is inconsistent with the efficient markets hypothesis, and therefore suggests that the Nigerian stock market does not efficiently adjust to earnings information for the sample firms within the study period.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 33931.
Date of creation: 15 Mar 2011
Date of revision: 16 May 2011
earnings announcements; abnormal returns; event studies; emerging markets; Nigeria;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-AFR-2011-10-15 (Africa)
- NEP-ALL-2011-10-15 (All new papers)
- NEP-FMK-2011-10-15 (Financial Markets)
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