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Description

Lamont and Frazzini (2007) document that a trading strategy of buying every stock expected to announce within the coming month and selling short every stock not expected to announce the coming month generates a large and statistically significant earnings announcement premium in the U.S. stock market between 1972 and 2004. Lamont and Frazzini (2007) claim that the main explanation for the earnings announcement premium is uninformed or irrational demand by individual investors, coupled with imperfect arbitrage by sophisticated investors. Their results are not in accordance with weak-form market efficiency in the U.S. stock market in the sense that historical information can be used to predict future stock prices. This thesis tests if related trading strategies based on predicted quarterly earnings announcement dates generates an earnings announcement premium at the Oslo Stock Exchange in the period between 1999 and 2007. Contrasting with the results of Lamont and Frazzini (2007), the results show that various versions of the trading strategy based on predicted earnings announcement dates do not generate average excess returns that are statistically significantly above zero.

Contributeurs

Auteur Beate Borch

Détails sur le produit

DUIN 1AJ7UIVDIDA

GTIN 9783639194494

Langues Anglais

Nombre de pages 152

Type de produit Livre de Poche

Dimension 220  mm

Market Efficiency Theory and the Earnings Announcement Premium

A study of the Oslo Stock Exchange

Beate Borch

58,16 €

Vendeur: Dodax EU

Date de livraison: entre jeudi, 25. octobre et lundi, 29. octobre

État: Neuf

TVA incluse - Livraison GRATUITE
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58,16 €
TVA incluse - Livraison GRATUITE