Analysis of the post earnings announcement drift in the Nairobi Securities Exchange
Date
2015-12
Authors
Musalia, Claude Mugaravai
Journal Title
Journal ISSN
Volume Title
Publisher
Strathmore University
Abstract
This paper is an event study concerning the market anomaly, Post-earnings-announcement drift (PEAD) in the Nairobi Securities Exchange from 2008 to 2014. The PEAD theorizes that a stock's cumulative abnormal returns tend to drift in the same direction of an earnings surprise for several weeks following an earnings announcement. Its aim was to determine if the PEAD occurred in the Nairobi securities exchange and whether it could be used to monitor stock performance. Stock performance was determined by using the market model to regress the stock returns against the market returns. Evidence from the study suggests that the PEAD anomaly occurred in the NSE and that it could be used to monitor stock performance.
Description
A research project submitted in partial fulfillment of the requirements for the Degree of Bachelor of Business Science Actuarial at Strathmore University
Keywords
Post earnings announcement drift, Nairobi Securities Exchange