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Earnings announcement and weekend effect: evidence from Stock Exchange of Thailand |
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| รหัสดีโอไอ | |
| Title | Earnings announcement and weekend effect: evidence from Stock Exchange of Thailand |
| Creator | Wuthipong Luckkanalawan |
| Contributor | Phanthisa Pavabutr, Advisor |
| Publisher | Thammasat University |
| Publication Year | 2557 |
| Keyword | Distraction, Holiday, Earnings announcement, Investors’ inattention, Stocks prices, Investments |
| Abstract | This paper examines the distraction hypothesis is proposed by Hirshleifer, Lim and Teoh (2009) by investigating stock price reaction and volume response around holidays and weekends. In US stock market, Dellavigna and Pollet (2009) and Hirshleifer, Lim and Teoh (2009) find investors’ inattention in events of earnings announcement. This paper uses data between 2005 and 2014 to examine whether investors in the Stock Exchange of Thailand are distracted before holidays and weekend and are not responsive to earnings surprises. The research does not find that Thai investors have inattention to the earnings surprises launched which is consistent with Udompongluckana (2012) study. Although the immediate volume response of the distracted day would be lower than the response of normal day, the price reactions in immediate response of distracted day give higher sensitivity than normal day (but it is not statically significant). Moreover, this study does not find the statistically significant difference on the companies’ earnings surprises between normal day and distracted day. |
