Bookcover of Market Efficiency Theory and the Earnings Announcement Premium
Booktitle:

Market Efficiency Theory and the Earnings Announcement Premium

A study of the Oslo Stock Exchange

VDM Verlag Dr. Müller (2009-09-16 )

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ISBN-13:

978-3-639-19449-4

ISBN-10:
3639194497
EAN:
9783639194494
Book language:
English
Blurb/Shorttext:
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.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Beate Borch
Number of pages:
152
Published on:
2009-09-16
Stock:
Available
Category:
Economics
Price:
59.00 €
Keywords:
Market Efficiency, Earnings announcement premium, Oslo Stock Exchange

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