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LUND UNIVERSITY LIBRARIES

How Fundamentals and Investor Sentiment Shape Short-Term Price Dynamics Following Earnings Announcements

Tyrstrup, Markus LU (2026) NEKP01 20252
Department of Economics
Abstract
This paper analyzes how different types of information affect how the market reacts to earnings announcements. This is done by focusing on short-term price dynamics following earnings announcements explained by EPS Surprise and Sentiment. The market reaction is measured as overnight and intraday abnormal returns. The main findings indicate an immediate overnight reaction associated with both EPS Surprise and Sentiment, with suggestive evidence of an intraday reversal primarily driven by sentiment. At the end of the day the fundamentals were the dominating variable for the outcome.
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author
Tyrstrup, Markus LU
supervisor
organization
course
NEKP01 20252
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Market Efficiency, Earnings Surprises, Investor Sentiment, Abnormal Returns, Behavioral Finance
language
English
id
9221758
date added to LUP
2026-02-04 08:27:49
date last changed
2026-02-04 08:27:49
@misc{9221758,
  abstract     = {{This paper analyzes how different types of information affect how the market reacts to earnings announcements. This is done by focusing on short-term price dynamics following earnings announcements explained by EPS Surprise and Sentiment. The market reaction is measured as overnight and intraday abnormal returns. The main findings indicate an immediate overnight reaction associated with both EPS Surprise and Sentiment, with suggestive evidence of an intraday reversal primarily driven by sentiment. At the end of the day the fundamentals were the dominating variable for the outcome.}},
  author       = {{Tyrstrup, Markus}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{How Fundamentals and Investor Sentiment Shape Short-Term Price Dynamics Following Earnings Announcements}},
  year         = {{2026}},
}