The Impact of Earnings Announcements on Stock Prices: An Event Study for the London Stock Exchange

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The Impact of Earnings Announcements on Stock Prices: An Event Study for the London Stock Exchange

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The Impact of Earnings Announcements on Stock Prices: An Event Study for the London Stock Exchange

Reon Odendaal¹•Institutions (1)

15 Apr 2014-Social Science Research Network-

TL;DR: In this article, the authors focus on the earnings announcements and investigate financial market efficiency, post earnings announcement drift and the presence of abnormal returns during the assessed period and show a picture in time of stock price impacts when information is released to financial markets.

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Abstract: The period of 2010-2012 was characterized by information uncertainty and market volatility. Information uncertainty is a critical characteristic of financial market behavior. The ability to absorb and distribute information is central to financial market efficiency. Uncertain corporate earnings information causes stock price volatility which in turn impacts stock price equilibrium levels. An event study shows a picture in time of stock price impacts when information isreleased to financial markets. This picture can give indications of the levels of financial market efficiency. This event study focusses on the earnings announcements and investigates financial market efficiency, post earnings announcement drift and the presence of abnormal returns during the assessed period. This study seeks to add to the existing literature of event studies.

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Proceedings Article•DOI•

Understanding Incentivized Mobile App Installs on Google Play Store

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Shehroze Farooqi¹, Álvaro Feal², Tobias Lauinger³, Damon McCoy³, Zubair Shafiq⁴, Narseo Vallina-Rodriguez⁵ - Show less +2 more•Institutions (5)

University of Iowa¹, Charles III University of Madrid², New York University³, University of California, Davis⁴, IMDEA⁵

27 Oct 2020

TL;DR: In this paper, the authors identify incentivized install campaigns that require users to install an app and perform in-app tasks targeting manipulation of a wide variety of user engagement metrics (e.g., daily active users, user session length) and revenue.

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Abstract: "Incentivized" advertising platforms allow mobile app developers to acquire new users by directly paying users to install and engage with mobile apps (e.g., create an account, make in-app purchases). Incentivized installs are banned by the Apple App Store and discouraged by the Google Play Store because they can manipulate app store metrics (e.g., install counts, appearance in top charts). Yet, many organizations still offer incentivized install services for Android apps. In this paper, we present the first study to understand the ecosystem of incentivized mobile app install campaigns in Android and its broader ramifications through a series of measurements. We identify incentivized install campaigns that require users to install an app and perform in-app tasks targeting manipulation of a wide variety of user engagement metrics (e.g., daily active users, user session lengths) and revenue. Our results suggest that these artificially inflated metrics can be effective in improving app store metrics as well as helping mobile app developers to attract funding from venture capitalists. Our study also indicates lax enforcement of the Google Play Store's existing policies to prevent these behaviors. It further motivates the need for stricter policing of incentivized install campaigns. Our proposed measurements can also be leveraged by the Google Play Store to identify potential policy violations.

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13 citations

Share price reaction to earnings announcement on the London Stock Exchange

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Dorothea Milioni

17 Apr 2019

TL;DR: This chapter discusses the literature review, methodology, and conclusions that were reached in the second part of this book about physical evidence of climate change in Europe and Africa.

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Abstract: ................................................................................................................... IIII CONTENTS ........................................................................................................................ V CHAPTER 1: INTRODUCTION ............................................................................................ 7 1.1 LONDON STOCK EXCHANGE .......................................................................................... 9 CHAPTER 2: LITERATURE REVIEW .................................................................................. 13 2.1 EMPIRICAL EVIDENCE FROM US .................................................................................... 13 2.2 EMPIRICAL EVIDENCE FROM EUROPE ............................................................................. 15 2.3 EMPIRICAL EVIDENCE FROM ASIA .................................................................................. 17 2.4 EMPIRICAL EVIDENCE FROM AFRICA AND AUSTRALIA ......................................................... 19 CHAPTER 3: DATA ........................................................................................................... 21 CHAPTER 4: METHODOLOGY ......................................................................................... 23 4.1 TESTING HYPOTHESIS ................................................................................................. 27 CHAPTER 5: EMPIRICAL RESULTS ................................................................................... 29 CHAPTER 6: CONCLUSIONS ............................................................................................ 33 BIBLIOGRAPHY ............................................................................................................... 35

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2 citations

Cites background from "The Impact of Earnings Announcement..."

...Recent evidence from UK capital market was offered by the study of Odendaal (2014)....
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Journal Article•DOI•

Benford’s Law and Stock Market—The Implications for Investors: The Evidence from India Nifty Fifty:

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M. Jayasree¹, C. S. Pavana Jyothi¹, P. Ramya¹•Institutions (1)

Gandhi Institute of Technology and Management¹

18 Jun 2018

TL;DR: Benford's law which is also known as first digit law states that data follow a certain frequency is applied to accounting by Nigrini (2012, Benford's Law: Applications for forensic accou...

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Abstract: Benford’s law which is also known as first digit law states that data follow a certain frequency. This law was applied to accounting by Nigrini (2012, Benford’s Law: Applications for forensic accou...

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2 citations

Cites result from "The Impact of Earnings Announcement..."

...Odendaal (2014) examined the same, that is, impact of earnings announcements on stock returns with reference to London Stock Exchange and found similar results....
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Journal Article•DOI•

Divulgação do Informe de Governança Corporativa (ICVM 586) e o Impacto no Retorno da Ação

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Rafael Siqueira Mingone, Cristiane Lana Silva, José Carlos Marion, Neusa Maria Bastos Fernandes Dos Santos

31 Jan 2020-Hermes

TL;DR: In this paper, the authors identify if there was an impact on the return of the companies that issued the governance report based on this new instruction, and show that the disclosure event of the corporate governance report had a statistically significant impact on stock returns of only a group of companies surveyed.

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Abstract: The interrelation between regulation and self-regulation promotes the effectiveness of the instruments derived from the legal framework. It is efficient to handle the flaws and inherent risks. A structured financial system promotes the economic development of countries. In 2016, the Brazilian Code of Corporate Governance was approved, a work developed by GT Interagentes. In 2017, the Brazilian Securities and Exchange Commission (CVM) incorporates the document into the standard ICVM 586. The purpose of this article is to identify if there was an impact on the return of the companies that issued the governance report based on this new instruction. Corroborating the H1 hypothesis, there may be indications that the disclosure event of the governance report had a statistically significant impact on the stock returns of only a group of companies surveyed.

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1 citations

Cites background from "The Impact of Earnings Announcement..."

...Para Famá (1970), a Hipótese da Eficiência de Mercado (HEM) baseia-se no modelo clássico de finanças e seus pressupostos estão relacionados ao comportamento humano racional, que maximiza utilidades e é apto a processar de maneira ótima todas as informações disponíveis....
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...Hipótese da Eficiência de Mercado: um Estudo Exploratório no Mercado de Capitais Brasileiro....
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...Em “Especulação no Mercado Futuro de Commodities Agrícolas e o Papel da Regulação Governamental e da Autorregulação da BM&FBOVESPA”, de Felipe Morelli da Silva (2015), procurou-se tratar da regulação governamental e das implicações em se ter uma mesma organização, nesse caso a B3, responsável por criar normas e simultaneamente participar do mercado....
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...Especulação no Mercado Futuro de Commodities Agrícolas e o Papel da Regulação Governamental e da Autorregulação da BM&FBOVESPA....
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...É possível observar os impactos no preço das ações por meio de uma ferramenta adequada de mensuração, que tem como base a HEM: Hipótese da Eficiência de Mercado (Odendaal, 2014; Ding; Lam; Cheng; & Zhou, 2018)....
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Posted Content•

Divulgações de informações e o efeito no retorno de ações da maior empresa de educação listada na B3 (Brasil, Bolsa, Balcão) [Information disclosures and the effect on the return of stocks of the largest education company listed on B3 (Brasil, Bolsa, Balcão)]

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Liliane Vicentina Gomes, José Odálio dos Santos, Cristiane Lana Silva, Maurício Ferreira de Souza

01 Jan 2018

TL;DR: In this article, a pesquisa analisa a reacao do mercado a divulgacao de informacoes sobre a maior instituicao de educacao listada na B3.

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Abstract: O mercado e eficiente se novas informacoes relevantes causarem variacao no retorno das acoes. As acoes podem ser afetadas por eventos e isso pode causar oscilacoes. A pesquisa analisa a reacao do mercado a divulgacao de informacoes sobre a maior instituicao de educacao listada na B3. Foi utilizado o estudo de eventos para confrontar o comportamento do retorno das acoes no periodo de 30 de setembro 2015 a 30 de setembro de 2017. A pesquisa parte da teoria de mercado eficiente. As informacoes selecionadas foram distribuidas em grupos, sendo: A - Divulgacao dos resultados trimestrais; B - Operacoes de compra e venda de participacoes; C - Mudancas relacionadas ao Financiamento Estudantil. Os resultados evidenciaram que a reacao que caracterizou o fator mercado eficiente foi identificada no Grupo C, em parte corroborada pelo comportamento do preco da acao.

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1 citations

References

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Journal Article•DOI•

Common risk factors in the returns on stocks and bonds

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Eugene F. Fama¹, Kenneth R. French¹•Institutions (1)

University of Chicago¹

01 Feb 1993-Journal of Financial Economics

TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.

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24,874 citations

Journal Article•DOI•

Efficient capital markets: a review of theory and empirical work*

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Eugene F. Fama

01 May 1970-Journal of Finance

TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper

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Abstract: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene F. Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 Published by: Blackwell Publishing for the American Finance Association Stable URL: http://www.jstor.org/stable/2325486 Accessed: 30/03/2010 21:28

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18,295 citations

"The Impact of Earnings Announcement..." refers background or methods in this paper

...Continuing, I will look at the market efficiency model denoted by Fama (1970)....
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...(see Fama, 1991 for in-depth analysis) Secondly, given the assumption that markets are efficient, examine the impact on the wealth of firms. The event study methodology is a useful tool and its methods are discussed thoroughly by MacKinlay (1997), it is widely used in different fields not just in finance for earnings announcements, stock splits, dividend announcements or merger and acquisition studies....
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...Past market efficiency was denoted by Eugene Fama, Fama (1970), and this study seeks to add to the work that look at market efficiency, post earnings announcement drifts and the Electronic copy available at: https://ssrn.com/abstract=2674594 ~ 7 ~ presence of abnormal returns for the release of new…...
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...Past market efficiency was denoted by Eugene Fama, Fama (1970), and this study seeks to add to the work that look at market efficiency, post earnings announcement drifts and the Electronic copy available at: https://ssrn.com/abstract=2674594 ~ 7 ~ presence of abnormal returns for the release of new information....
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...Past market efficiency was denoted by Eugene Fama, Fama (1970), and this study seeks to add to the work that look at market efficiency, post earnings announcement drifts and the...
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Journal Article•DOI•

Capital asset prices: a theory of market equilibrium under conditions of risk*

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William F. Sharpe

01 Sep 1964-Journal of Finance

TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.

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Abstract: One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional model of investment under conditions of certainty, the pervasive influense of risk in finansial transactions has forced those working in this area to adobt models of price behavior which are little more than assertions. A typical classroom explanation of the determinationof capital asset prices, for example, usually begins with a carefull and relatively rigorous description of the process through which individuals preferences and phisical relationship to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of asset adjusting accordingly to account for differences of their risk.

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17,922 citations

Journal Article•DOI•

The arbitrage theory of capital asset pricing

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Stephen A. Ross¹•Institutions (1)

University of Pennsylvania¹

01 Dec 1976-Journal of Economic Theory

TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.

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6,763 citations

Journal Article•DOI•

An empirical evaluation of accounting income numbers

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Ray Ball, Philip Brown

01 Jan 1968-Journal of Accounting Research

TL;DR: In this article, it is argued that income numbers cannot be defined substantively, that they lack "meaning" and are therefore of doubtful utility, and the argument stems in part from the patchwork development of account-based theories.

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Abstract: Accounting theorists have generally evaluated the usefulness of accounting practices by the extent of their agreement with a particular analytic model. The model may consist of only a few assertions or it may be a rigorously developed argument. In each case, the method of evaluation has been to compare existing practices with the more preferable practices implied by the model or with some standard which the model implies all practices should possess. The shortcoming of this method is that it ignores a significant source of knowledge of the world, namely, the extent to which the predictions of the model conform to observed behavior. It is not enough to defend an analytical inquiry on the basis that its assumptions are empirically supportable, for how is one to know that a theory embraces all of the relevant supportable assumptions? And how does one explain the predictive powers of propositions which are based on unverifiable assumptions such as the maximization of utility functions? Further, how is one to resolve differences between propositions which arise from considering different aspects of the world? The limitations of a completely analytical approach to usefulness are illustrated by the argument that income numbers cannot be defined substantively, that they lack "meaning" and are therefore of doubtful utility.' The argument stems in part from the patchwork development of account-

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6,043 citations

"The Impact of Earnings Announcement..." refers background in this paper

...Research by Bernard and Thomas (1989), Francis, LaFond, Olsson and Schipper (2007) and Ball and Brown (1968) With regards to the magnitude of the drift, Ball and Brown (1968) were among the earliest studies which found that the CAAR drifts upwards for “good news” firms and down ward for “bad news.”...
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...Various historical research by Ball and Brown (1968) and Bernard and Thomas (1989) have concluded various finding for the PEAD....
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...…in the field of event studies has been conducted worldwide and the most notably were Beaver (1968), L’Her and Suret (1996), Brav and Heaton (2002), Ball and Brown (1968), Foster, Olsen and Shevlin (1984), Bernard and Thomas (1989) and Francis, LaFond, Olsson and Schipper (2007), Wang and Phet…...
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...The drift was first hypothesised by Ball and Brown (1968)....
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...Consistent with Ball and Brown (1968), Gerard (2012:51-54) noted that earnings figures released had various sub classification implications for event studies....
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