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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5110

Title: How markets react to earnings announcements in the absence of analysts and institutions evidence from the Saudi market
Authors: Alzahrani, AA
Skeratt, L
Keywords: Post-earnings announcement drift
Market efficiency
Analysts’ forecasts
Saudi stock market
Over and under-reaction
Publication Date: 2009
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 09-40
Abstract: How stock markets react to news is an established area of research. We examine the behaviour of the Saudi Stock market in response to earnings announcements where there are no analysts’ forecasts, with the aim of examining the efficiency of the market. The SSM seems to underreact to positive news for the first five days and then reactions tend to strengthen in the following weeks, indicating the presence of a post–earnings announcement drift, or PEAD. At the same time, the SSM overreacts to negative news in the first five days and then reverses its direction and reports an upward post-earnings announcement drift. The individually dominated market combined with the absence of analysts’ forecasts is the main explanation for this underreaction to positive news and overreaction to negative news.
URI: http://bura.brunel.ac.uk/handle/2438/5110
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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