"Buy low, sell high, that's my motto." - An event study examining the Post Earnings Announcement Drift on the Swedish market

Sammanfattning: The post earnings announcement drift (PEAD) is a well studied market anomaly. However, few academic papers have focused their attention on Swedish market. Therefore, this paper evaluates if the PEAD can be observed on the Swedish market between the first quarter of 2006 and the last quarter of 2019. Using a sample of 121 firms consisting of both small and large sized firms, this paper found statistically significant drift for firms that had quarterly reports above and below market expectation. Although, the strongest drift was observed in firms that had reports below market expectations. In line with past research, the result also points towards that small sized firms are the main driver behind the drift. On the other hand, the practical implications of the results are limited. In contrast to past papers, there exists a large inherent risk in taking a position that would exploit the effect. Further, there is a large likelihood that transaction cost would eat up any profit generated from the strategy. Thus, creating a trading strategy based on the results will probably not be profitable.