Economics, Econometrics and Finance
4 years ago

Turkish Stock Market Shows 2.9% Increase in Post-Earnings Announcement Drift

Borsa Istanbul Review
Post-earnings announcement drift: Evidence from Turkey
Aykut Ahlatcıoğlu, Nesrin Okay

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The study looked at how stock prices in Turkey change after companies announce their earnings. By analyzing surprise measures based on past earnings, researchers found that stocks with higher earnings surprises tend to have higher returns in the following 60 days. This relationship remained strong even after considering other factors like firm size. The study also showed that multifactor models couldn't fully explain the differences in returns after earnings announcements.