Title: Post-announcement drift in an emerging market

Authors: Hannu J. Schadewitz, Antti J. Kanto, Hannu A. Kahra, Dallas R. Blevins

Addresses: Turku School of Economics and Business Administration, Rehtorinpellonkatu 3, Turku 20500, Finland. ' Helsinki School of Economics, P.O. Box 1210, Helsinki 00101, Finland. ' Monte Paschi Asset Management SGR S.p.A., Via San Vittore 37, IT-20123 Milan, Italy. ' University of Montevallo, 6713 Winchester Lane, Pelham, AL 35214, USA

Abstract: This research discovers a possible pattern of market response to the degree of interim disclosure. All of the interim reports submitted by non-financial sector listed firms on the Helsinki Exchanges over the period 1985–1993 are examined. When a 20-day post-announcement period is clustered in five-day blocks, a possible pattern emerges. That pattern may be characterised as: event, the initial response on the day of the announcement; reaction, the market|s response from the first one to three days, depending upon the degree of disclosure; association, the market|s response as it gropes for the intrinsic value of the reporting security. The complete market response cycle, consisting of the entire year|s information flow, may be characterised chronologically as: anticipation; event; reaction; adjustment; association; transition. The implications are that similar patterns may exist in other emerging markets and even in mature markets. It is expected that the magnitudes and speeds of adjustment will be time and venue specific, but that the elements and sequence of the pattern will be universal. It is further expected that the degree of interim disclosure will exercise some influence over the magnitude and timing of the sequence.

Keywords: CAR; cumulative abnormal returns; earnings response coefficient; ERC; interim reports; voluntary disclosure; interim disclosure; Finland; post-announcement drift; emerging markets.

DOI: 10.1504/IJAAPE.2005.006898

International Journal of Accounting, Auditing and Performance Evaluation, 2005 Vol.2 No.1/2, pp.168 - 185

Published online: 20 Apr 2005 *

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