Post-Earnings Announcement Drift på Stockholmsbörsen : Finns det skillnader mellan large cap- och small cap-bolag?

Sammanfattning

Post-Earnings Announcement Drift (PEAD) is a market anomaly implying that stock prices tend to continue moving in the same direction as an earnings surprise following the release of quarterly reports. This study examines the existence of PEAD on the Stockholm Stock Exchange during the period 2019–2025 and whether the effect differs between large cap and small cap companies. The study is conducted through a quantitative event study in which earnings surprises are calculated using Unexpected Earnings (UET) and subsequently analyzed using cumulative abnormal returns during a 60-day post-event window. The main results show that no statistically significant PEAD can be identified when large cap and small cap companies are analyzed jointly. However, the robustness tests, where large cap and small cap companies are analyzed separately, reveal clearer differences between the market segments, with small cap companies exhibiting a more consistent PEAD pattern than large cap companies. The results therefore indicate that firm size may affect how quickly new public information is incorporated into stock prices.