| Abstract [eng] |
This master's thesis examines the impact of corporate financial disclosures on stock return volatility, aiming to determine whether investor reactions depend on the nature of the information, the timing of disclosure, and the broader economic context. The study is grounded in information asymmetry and behavioral finance theories, which suggest that market participants respond unevenly to new information and often make decisions that deviate from full rationality. The empirical analysis applies the Event Study methodology to a sample of 153 S&P 500 companies over the period 2014–2024. The study evaluates investor responses to both quarterly and annual earnings announcements, with groupings based on industry sector, economic cycle phase, day of the week, and earnings surprise (EPS) classification—categorized as positive, negative, or neutral. Several event windows were used, ranging from short-term [–1;+1], [–2;+2] to longer horizons [+1;+10],[+1;+30], and [+1;+60] to capture both immediate and delayed market responses. The analysis includes the calculation of abnormal returns (AR), cumulative abnormal returns (CAR), and cumulative average abnormal returns (CAAR). Statistical testing employed non-parametric methods (Mann–Whitney, Wilcoxon, Fligner–Killeen), logistic and quantile regressions, as well as entropy-based measures to assess the variation in reaction patterns. The results show that investors respond most strongly to negative earnings news. Sector affiliation and the economic cycle influence the nature of these reactions, and earnings announcements released on Fridays trigger significantly more negative short-term responses. Quarterly reports more frequently lead to stronger and more dispersed stock reactions compared to annual reports. The findings confirm that investor behavior is asymmetric and context-dependent, offering new insights into how financial information is incorporated into stock prices. The study contributes to both academic research and practical applications in market analysis. |
