2026-09-19T23:10:18Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/367162022-01-13T07:54:36Zcom_1721.1_7582com_1721.1_7581col_1721.1_131024
Warren Seering.
Phipps, Alika M
Massachusetts Institute of Technology. Dept. of Mechanical Engineering.
Massachusetts Institute of Technology. Department of Mechanical Engineering
2007-03-12T17:47:09Z
2007-03-12T17:47:09Z
2006
2006
http://hdl.handle.net/1721.1/36716
77561465
Thesis (S.B.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2006.
Includes bibliographical references (leaf 23).
The Efficient Market Hypothesis, which has been one of the fundamental propositions of finance for over 30 years, implies that an investor, whether he is an amateur or a professional trader, cannot consistently beat the market. In this study, we examine if this theory holds in the period preceding an earnings announcement, by testing whether there is a relationship between stock returns before and after an earnings announcement. We find that there exists a negative correlation between pre-earnings returns and post-earnings returns for small capitalization stocks that could be explained by investor irrationality. This relationship is statistically significant for pre-earnings returns calculated up to a 10 day period preceding an earnings announcement and strongest over a 3 day period. We also tested to see if there was a correlation between the earnings results in the last quarter and the movements in stock price prior to this quarter's earnings announcement, and did not observe any statistically significant outcomes.
by Alika M. Phipps.
S.B.
23 leaves
eng
Massachusetts Institute of Technology
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.
http://dspace.mit.edu/handle/1721.1/7582
Mechanical Engineering.
A study of market efficiency in the period preceding earnings announcements
Thesis
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