Fearful asymmetry: an analysis of pre-earnings abnormal returns

Detalhes bibliográficos
Autor(a) principal: Amaro, João Tiago Mira Duarte
Data de Publicação: 2010
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9906
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling Fearful asymmetry: an analysis of pre-earnings abnormal returnsEarnings announcementsAbnormal returnsAARSARA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this paper we study the returns on a set of different strategies, which are based on the sign and magnitude of the pre-earnings announcement return for a group of US stocks and for some international markets which provides an additional measure of robustness. We also propose a new methodology for the evaluation of abnormal returns. Evidence is found that stocks with negative abnormal returns on the days prior to the earnings announcement have a subsequent higher return on the days following the announcement. A trading strategy based on these findings is then reproduced and its results are analyzed.NSBE - UNLSanta-Clara, PedroRUNAmaro, João Tiago Mira Duarte2013-06-12T14:04:54Z2010-012010-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9906enginfo: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:RCAAP2024-03-11T03:43:18Zoai:run.unl.pt:10362/9906Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:19:07.089860Repositório 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 Fearful asymmetry: an analysis of pre-earnings abnormal returns
title Fearful asymmetry: an analysis of pre-earnings abnormal returns
spellingShingle Fearful asymmetry: an analysis of pre-earnings abnormal returns
Amaro, João Tiago Mira Duarte
Earnings announcements
Abnormal returns
AAR
SAR
title_short Fearful asymmetry: an analysis of pre-earnings abnormal returns
title_full Fearful asymmetry: an analysis of pre-earnings abnormal returns
title_fullStr Fearful asymmetry: an analysis of pre-earnings abnormal returns
title_full_unstemmed Fearful asymmetry: an analysis of pre-earnings abnormal returns
title_sort Fearful asymmetry: an analysis of pre-earnings abnormal returns
author Amaro, João Tiago Mira Duarte
author_facet Amaro, João Tiago Mira Duarte
author_role author
dc.contributor.none.fl_str_mv Santa-Clara, Pedro
RUN
dc.contributor.author.fl_str_mv Amaro, João Tiago Mira Duarte
dc.subject.por.fl_str_mv Earnings announcements
Abnormal returns
AAR
SAR
topic Earnings announcements
Abnormal returns
AAR
SAR
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2010
dc.date.none.fl_str_mv 2010-01
2010-01-01T00:00:00Z
2013-06-12T14:04:54Z
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/10362/9906
url http://hdl.handle.net/10362/9906
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.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
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
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