Impact of Earning Announcements on Stock Returns and Companies Systematic Risk
Author: Muhammad Shoaib Akram

This study examined stock market reaction to annual earnings announcements using the most recent data from the Pakistan Stock Exchange. The period of study is 1 January 2006, to 31 December, 2015. Using the event study methodology, the magnitude of market reaction to the earnings announcements for a sample of 26 listed firms on Pakistan Stock Exchange is tested. The research establish that the abnormal returns weren’t present. Though, the results shows that some sectors with in the selected sample produce the abnormal returns particularly Investment and Automobile Assembler sectors because the overall result was not statistically significant, the study will conclude that the semi strong form of the EMH is in fact true. However, certain sectors analyzed contradict the EMH where abnormal returns were present. Supervisor:- Dr. Abdur Rashid

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Keywords : Abnormal Returns, Earning Announcements, Efficient Market Hypothesis, Event Study, Pakistan Stock Exchange
Supervisor: Abdul Rashid

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