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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Post-Earnings-Announcement Drift - Enhanced? |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 32 |
| Date | 2018 |
| Abstract Text | The phenomenon of post-earnings-announcement drift in stock market refers to the continual trends of the estimated cumulative abnormal returns for stocks both with good earnings news and bad earnings news. In this study, we replicate post-earnings-announcement drift using two approaches to quantify stock earnings shocks, we use a seasonal autoregression and a simple averaging approach to estimate expected earnings. And in addition to controlling only for firm size risk when estimating abnormal returns, we use Fama-French fivefactor model with an additional momentum factor to account for more risk factors. Based on our replication, we examine whether the phenomenon remains and the magnitude of drift that is left when controlling for more risk factors. And we also examine the features of post-announcement drifts before and after financial crisis. The profitability of monthly stock portfolios based on post-announcement drifts is also studied, we construct a monthly stock portfolio based on the phenomenon and the profit and loss result is compared to other momentum strategies based on stock earnings and price. |
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