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LUND UNIVERSITY LIBRARIES

Who Drives the Price Reaction After Earnings Announcement?

Bernales Björck, Erik LU (2025) NEKH01 20242
Department of Economics
Abstract
The aim of this thesis is to study whether high retail ownership of a firm impacts the market response to an earnings announcement. To this end, I utilize the traditional event-study methodology in combination with cross-sectional regression. The latter is used to examine whether a company’s ownership structure affects abnormal returns. Two event windows were analyzed, a three-day window and an eleven-day window, both with an estimation period of 250 days.

The fund ownership as a share of free float was used as an inverse proxy variable for retail ownership. Out of eight cross-sectional regressions, a statistically significant impact for this variable was found in only one instance. As such this study did not show any significant... (More)
The aim of this thesis is to study whether high retail ownership of a firm impacts the market response to an earnings announcement. To this end, I utilize the traditional event-study methodology in combination with cross-sectional regression. The latter is used to examine whether a company’s ownership structure affects abnormal returns. Two event windows were analyzed, a three-day window and an eleven-day window, both with an estimation period of 250 days.

The fund ownership as a share of free float was used as an inverse proxy variable for retail ownership. Out of eight cross-sectional regressions, a statistically significant impact for this variable was found in only one instance. As such this study did not show any significant impact for the differences in the underlying ownership of the free float. The event study found the expected market reaction following beating or missing market expectations. These findings point to markets either being effective or that the effect of this factor is insignificant. (Less)
Please use this url to cite or link to this publication:
author
Bernales Björck, Erik LU
supervisor
organization
alternative title
The Role of Shareholder Types in the Free Float
course
NEKH01 20242
year
type
M2 - Bachelor Degree
subject
keywords
Behavioral finance, Event-study, retail ownership, Prospect Theory, Efficient Market Hypothesis
language
English
id
9187475
date added to LUP
2025-05-08 09:15:31
date last changed
2025-05-08 09:15:31
@misc{9187475,
  abstract     = {{The aim of this thesis is to study whether high retail ownership of a firm impacts the market response to an earnings announcement. To this end, I utilize the traditional event-study methodology in combination with cross-sectional regression. The latter is used to examine whether a company’s ownership structure affects abnormal returns. Two event windows were analyzed, a three-day window and an eleven-day window, both with an estimation period of 250 days. 

The fund ownership as a share of free float was used as an inverse proxy variable for retail ownership. Out of eight cross-sectional regressions, a statistically significant impact for this variable was found in only one instance. As such this study did not show any significant impact for the differences in the underlying ownership of the free float. The event study found the expected market reaction following beating or missing market expectations. These findings point to markets either being effective or that the effect of this factor is insignificant.}},
  author       = {{Bernales Björck, Erik}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Who Drives the Price Reaction After Earnings Announcement?}},
  year         = {{2025}},
}