Event study Statistics Project Example | Topics and Well Written Essays - 1750 words

Event study - Statistics Project Example Market capitalization entails a multiplication of the total number that a company owns by the price of each share. With respect to the perspectives of the efficient market hypothesis and the PEAD, this paper aims at testing the PEAD phenomenon on a non-American market, Greek market. The paper considers the availability of 80 companies selected randomly for assessment on how PEAD affects the Greek market. The data for the 80 companies has been obtained from secondary sources especially the internet (Vaios). Considering available statistics, the Athens’ Stock Exchange a daily announcement of earnings effect on the markets. The data used in this paper considers four SUE portfolios based on events’ quoted prices as one method of testing the PEAD phenomenon and examination of whether market over and under reaction usually exist through the use of event study methodology. Finally, this paper also classifies the sample firms regarding their response or exposure to the PEAD phenomenon. In this paper, the selection of the used sample was based on the consideration of all companies listed in the ASE. Out of the 264 firms listed in the ASE, 80 were selected from which their reporting of earnings from the year 2001 to 2008 (Vaios). Among the data sets that will be considered in this case include the quarterly earnings per share, corresponding announcement dates of the quarterly returns per share, and the closing prices of the stocks (Brown and Warner, 328). Besides the random selection of the companies, all without quarterly earnings per share were excluded (Vaios). The exclusion in this case involves the dates of announcements and, therefore, the consideration of annual returns per share as this would not show the major changes that occurred after each announcement. For instance, considering that positive announcements can affect markets for as long as 40 days in the Greek market, it is clear that annual EPS may not reflect any major