Förlorad lönsamhet - en studie av PEAD
s förändrade egenskaper på den svenska aktiemarknaden mellan år 2000 och 2009
Post-Earnings Announcement DriftEarnings Announcement ReturnNegative earnings surpriseTrading strategySwedish equity market
In this thesis we study the development of post-earnings announcement drift (PEAD) in the Swedish equity market from 2000 to 2009. By forming portfolios based on the stock price reaction to quarterly reporting we show that the characteristics of PEAD have changed. We demonstrate that negatively surprising companies show a positive drift during a holding period of six months sufficiently large to render the trading strategy unprofitable. This development holds from 2005 and onwards and these results contradict many a study which finds the same portfolio construction to be indeed profitable. We argue that this development is a trend that will not only affect our study but future studies as well.