The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data
This research aims to evaluate and comparative the impact of earnings surprises on stock returns and volatility using high frequency data from stock markets in Australia and United States of America. Findings indicate that the correlation between earnings surprise and stock returns and volatility is...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2015
|
| Online Access: | https://eprints.nottingham.ac.uk/28614/ |
| _version_ | 1848793609741008896 |
|---|---|
| author | Zaeem, Faz |
| author_facet | Zaeem, Faz |
| author_sort | Zaeem, Faz |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This research aims to evaluate and comparative the impact of earnings surprises on stock returns and volatility using high frequency data from stock markets in Australia and United States of America. Findings indicate that the correlation between earnings surprise and stock returns and volatility is statistically significant in both markets. US stocks tend to respond more strongly to negative earnings surprises as compared to Australian stocks due to varying corporate governance and legal environments in the two countries. Within-day returns for stocks in both countries register mild responses to earnings surprise. Additionally, it is observed that earnings surprise tends to have a greater impact on stock volatility in the United States relative to the Australian market. The results also further validate the contribution of earnings forecasts in valuation of equity prices. |
| first_indexed | 2025-11-14T19:03:01Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-28614 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:03:01Z |
| publishDate | 2015 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-286142017-12-29T03:07:07Z https://eprints.nottingham.ac.uk/28614/ The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data Zaeem, Faz This research aims to evaluate and comparative the impact of earnings surprises on stock returns and volatility using high frequency data from stock markets in Australia and United States of America. Findings indicate that the correlation between earnings surprise and stock returns and volatility is statistically significant in both markets. US stocks tend to respond more strongly to negative earnings surprises as compared to Australian stocks due to varying corporate governance and legal environments in the two countries. Within-day returns for stocks in both countries register mild responses to earnings surprise. Additionally, it is observed that earnings surprise tends to have a greater impact on stock volatility in the United States relative to the Australian market. The results also further validate the contribution of earnings forecasts in valuation of equity prices. 2015-02 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/28614/1/ZaeemFaz.pdf Zaeem, Faz (2015) The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data. [Dissertation (University of Nottingham only)] |
| spellingShingle | Zaeem, Faz The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data |
| title | The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data |
| title_full | The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data |
| title_fullStr | The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data |
| title_full_unstemmed | The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data |
| title_short | The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data |
| title_sort | impact of earning surprise on return and volatility : a comparative study between us and australia using tick by tick data |
| url | https://eprints.nottingham.ac.uk/28614/ |