Many authors have already studied about stock price reactions after earnings announcements yet, which is because of the importance of earnings announcements, in particular quarterly earnings announcements, for many investors. However, all major studies concerning this topic deal with long-term scenarios, the stock’s price performance is measured for a time period of at least three quarters. Due to the fact that there are many investors, especially institutional investors such as hedge funds that trade stocks much more frequently, the existing studies are not relevant for them.
This paper studies stock price reactions around quarterly earnings announcements for companies listed in Deutscher Aktienindex (DAX) or Midcap DAX (MDAX) with respect to changes of the company’s full-year outlook and of earnings surprise regarding analyst consensus forecast within ten days before and after the announcement date. Hence, this paper aims to analyse short-term reaction to quarterly earnings announcements, which are of relevance for all investors, whose investment strategy is, at least partially, focussing on the short-term performance. The main target group of this analysis are therefore hedge funds and investors that run short-term strategies. Due to the fact that the widespread Event Study Methodology is focused on the long-term, it is irrelevant for this analysis.
Table of Contents
List of Abbreviations
List of Figures
1 Introduction
1.1 Problem Definition and Objectives
1.2 Course of the Investigation
2 Theoretical Foundations
2.1 What Determines a Stock Price?
2.2 Prime Standard
2.3 Ad Hoc Publicity
2.4 Market Efficiency
2.5 Anomalies and Abnormal Performance
3 Theoretical Discussion on Stock Price Behaviour after Earnings Announcements
3.1 Behavioural Finance
3.2 Investment Strategies and Models
3.3 Bad-model Problems
4 Practical Examination on Stock Price Behaviour after Earnings Announcemens
4.1 Data
4.2 Benchmarks
4.2.1 Sector Indexes as Benchmark
4.2.2 Consensus Expectations and Company Outlook as Benchmarks
4.3 Classification of Portfolios
4.4 Results of Examination
4.4.1 Differentiation between Quarters
4.4.2 Differentiation between Performance Prior the Earnings Announcement
4.5 Outliers
5 Conclusion
- Citation du texte
- Benjamin Schmitt (Auteur), 2008, Stock Price Reaction to Quarterly Earnings Announcements with respect of outlook changes and deviation to consensus forecast, Munich, GRIN Verlag, https://www.grin.com/document/300329
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