The pre-earnings announcement premium : Evidence from the Swedish stock market

Sammanfattning

This thesis studies the occurrence of a pre-earnings announcement premium on Nasdaq Stockholm Main Market between 2015-2025. Further, it examines whether the premium could be related to behavioral factors, with particular attention to whether lottery-like stocks earn higher pre-announcement abnormal returns. Using an event study methodology combined with pooled OLS regression analysis, the results show that Nasdaq Stockholm exhibits abnormal returns prior to earnings announcements. The pre-announcement premium is economically modest but statistically robust. It is mainly concentrated in the final three days before the announcement, followed by a post-announcement reversal. This reversal may indicate that the premium reflects speculative demand rather than risk-based compensation. However, the evidence for lottery demand is not fully robust. The results show that lottery stocks, proxied by EA_MAXRET, earn higher abnormal returns prior to earnings announcements, but alternative lottery proxies are either insignificant or negatively related to pre-earnings returns. The findings suggest that the pre-earnings announcement premium is present in Sweden and may potentially reflect behavioral factors. However, the evidence for lottery-like stocks suggests that the relationship is sensitive to how these stocks are measured. The results may have implications for market efficiency, as quarterly earnings announcements appear to be linked to predictable pre-announcement returns.