En studie av kortsiktig abnorm avkastning i samband med riktkursförändringar

Sammanfattning: Using a dataset of analyst target prices issued for companies included in the OMXS30 index between 2007 and 2016, this paper examines short-term abnormal returns around the publication of target prices. The existence and magnitude of abnormal returns are examined through an event-study, using both parametric and non-parametric methods, as well as through regressions. We find a significant market reaction around the publication of target prices, and that the magnitude of the abnormal return depends on how positive or negative the target price is considered to be. We also find that the abnormal return around the publication of a target price can be better explained by the change in target price rather than the relationship between the target price and the share price.