Post earnings announcement drift in PSI20

Detalhes bibliográficos
Autor(a) principal: Martins, Rui Diogo
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/70416
Resumo: This paper presents an innovative application of post-earnings announcement drift in the PSI-20 from 2011-2017. We show that abnormal returns exist, and are more significant when we incorporate momentum and liquidity factors for different earnings surprises. Moreover, we implement an investment strategy, including transaction costs, which takes advantage of such abnormal returns. A hedging strategy designed according to the stock’s proximity to 52-week high and earnings surprise yields an info Sharpe of 1.78 and a 65.12% accuracy. Finally, we show that a long-portfolio on PSI-20 equities with a 20-day holding period presents unsatisfactory results when incorporating transaction costs.
id RCAP_1467495bb36726937c321ad81d5fbe0f
oai_identifier_str oai:run.unl.pt:10362/70416
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Post earnings announcement drift in PSI2052-week highPost-earnings announcement driftLiquidityEarnings surpriseDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper presents an innovative application of post-earnings announcement drift in the PSI-20 from 2011-2017. We show that abnormal returns exist, and are more significant when we incorporate momentum and liquidity factors for different earnings surprises. Moreover, we implement an investment strategy, including transaction costs, which takes advantage of such abnormal returns. A hedging strategy designed according to the stock’s proximity to 52-week high and earnings surprise yields an info Sharpe of 1.78 and a 65.12% accuracy. Finally, we show that a long-portfolio on PSI-20 equities with a 20-day holding period presents unsatisfactory results when incorporating transaction costs.Lameira, PedroRUNMartins, Rui Diogo2019-05-22T14:47:43Z2019-01-252019-01-25T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/70416TID:202226395enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:33:22Zoai:run.unl.pt:10362/70416Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:35:05.889191Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Post earnings announcement drift in PSI20
title Post earnings announcement drift in PSI20
spellingShingle Post earnings announcement drift in PSI20
Martins, Rui Diogo
52-week high
Post-earnings announcement drift
Liquidity
Earnings surprise
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Post earnings announcement drift in PSI20
title_full Post earnings announcement drift in PSI20
title_fullStr Post earnings announcement drift in PSI20
title_full_unstemmed Post earnings announcement drift in PSI20
title_sort Post earnings announcement drift in PSI20
author Martins, Rui Diogo
author_facet Martins, Rui Diogo
author_role author
dc.contributor.none.fl_str_mv Lameira, Pedro
RUN
dc.contributor.author.fl_str_mv Martins, Rui Diogo
dc.subject.por.fl_str_mv 52-week high
Post-earnings announcement drift
Liquidity
Earnings surprise
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic 52-week high
Post-earnings announcement drift
Liquidity
Earnings surprise
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper presents an innovative application of post-earnings announcement drift in the PSI-20 from 2011-2017. We show that abnormal returns exist, and are more significant when we incorporate momentum and liquidity factors for different earnings surprises. Moreover, we implement an investment strategy, including transaction costs, which takes advantage of such abnormal returns. A hedging strategy designed according to the stock’s proximity to 52-week high and earnings surprise yields an info Sharpe of 1.78 and a 65.12% accuracy. Finally, we show that a long-portfolio on PSI-20 equities with a 20-day holding period presents unsatisfactory results when incorporating transaction costs.
publishDate 2019
dc.date.none.fl_str_mv 2019-05-22T14:47:43Z
2019-01-25
2019-01-25T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/70416
TID:202226395
url http://hdl.handle.net/10362/70416
identifier_str_mv TID:202226395
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799137972505804800

Registros relacionados