Date of Submission
Campus Only Senior Thesis
Bachelor of Arts
This paper utilizes the event study methodology to examine post-earnings announcement drift following the first full-length quarter in a post-COVID-19 environment. Markets that are described as efficient can absorb and distribute all new information quickly. An event study centered around earnings announcement allows for an analysis of market efficiency in a period of information uncertainty and high market volatility. This paper adds to the literature on market efficiency, post-earnings announcement drift (PEAD), and the presence of abnormal returns of the ten biggest firms by market capitalization in each of the eleven industry sectors. This study found that firms whose earnings surprise was “extremely bad news” had statistically significant post-earnings announcement drift while those with bad news, no news, good news, and extremely good news experienced no statistically significant drift.
Shah, Ravi, "The Impact of Earnings Announcements on Stock Prices: An Event Study to Examine Information Uncertainty and the Presence of Post Earnings Announcement Drift" (2020). CMC Senior Theses. 2532.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.