Graduation Year

2020

Date of Submission

11-2020

Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts

Reader 1

Fan Yu

Reader 2

Ricardo Fernholz

Rights Information

Ravi Shah

Abstract

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.

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This thesis is restricted to the Claremont Colleges current faculty, students, and staff.

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