Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Ben Gillen

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The Efficient Market hypothesis argues that stock prices should fully and immediately reflect all available information. A great deal of work has been done in determine post-earnings- announcement drift in developed (PEAD) countries. However, there has been little attention paid to PEAD in developing economies and the potential for an arbitrage trading strategy. Using recent Bloomberg data for the Indonesian stock market, this paper finds substantial PEAD of 8.3% for the top quintile of the IDX over a one month-period starting from the day after the release of the earning announcement and a pre-announcement leakage of 15.48% starting from two weeks before the release of the earning announcement. This result is significant and holds for both large firms and firms with high turnover in the IDX. This result also led to the creation of stock portfolio’s that consistently beat benchmark index portfolios and have returns of up to 5.83% in 30 days or around 20% annualized.

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