Post Earnings Announcement Drift in Swedish Small Cap Listed Firms

Abstract

Previous research has found abnormalities after quarterly earnings announcements, which question the efficiency of the capital market. The main purpose of this paper is to investigate abnormalities in the Swedish stock market, applied on small cap listed firms on NASDAQ OMX Nordic Stockholm. The main models are Standardized Unexpected Earnings (SUE) and Cumulated Abnormal Return (CAR), which are based on Setterberg (2011) and Börjesson and Johansson (2012). The empirical result of this paper finds a positive effect in the abnormal return after two and four quarters when positive unexpected earnings are presented. The opposite result is found for negative unexpected earnings, which lead to a negative development in the abnormal return. Parts of the time period investigated is, however, not able to reveal the classic Post Earnings Announcement Drift (PEAD). This paper concludes that the capital market is not always efficient since abnormalities are found among the investigated small cap listed firms.