Test for post earnings announcement drift at the Nairobi Securities Exchange
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Date
2012-11Author
Wamweya, Edward Kariungu
Type
ThesisLanguage
enMetadata
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This study was undertaken to test whether post earnings announcement drift exist at Nairobi
Securities Exchange (NSE). It investigated abnormal stock returns due earning surprise after
earnings announcements. The aim was to verify whether positive earnings surprise were
followed by positive abnormal stock returns and equally whether negative earnings surprise
was followed by negative abnormal stock returns during the event window of sixty days. The
event study was conducted on thirty-eight sampled securities for companies listed and made
earnings announcement over the period of three calendar years from January 2009 to
December 2011. This study contributes to the body of empirical research focused on the
anomalies on the NSE.
An event study was conducted in which quantitative data was collected and analyzed across
the sampled companies and through the event study period. The study relied entirely on
secondary data available at NSE database. Descriptive statistic, regression, and T-test were
used to analyze data collected on daily stock prices and earnings per share. Ms Excel and
SPSS were used in aiding the analysis of abnormal returns and earnings surprise.
From the data analysis results of the study revealed that firms that report good news in their
earnings, they tend to have their stock returns move upwards in direction of the earnings
surprise. For firms that report bad news their stock returns tend to move downwards for a
period of at least 60 days from earnings announcement. This clearly shows post earnings
announcement exist at NSE. Further research using better methods of earnings forecast and a
longer period of study is needed to support this conclusion.
Citation
MBA ThesisSponsorhip
University of NairobiPublisher
School of Business, University of Nairobi
Description
Test for post earnings announcement drift at the Nairobi Securities Exchange