Relationship of Earnings Announcement with Stock Prices, Investor Reaction and Bid Ask Spreads: Empirical Investigation of KSE.100 Index (2004 - 2013)

Abstract

The aim of the study is to investigate the relationship of earnings announcements with share process of Pakistani listed companies in 100 index, investor reaction and bid-ask spreads. The sample is acquired from KSE.100 index including 118 companies with sample period of 10 financial years (2004-2013). The data is acquired from various national databases mentioned in methodology. Moreover, Augmented Dickey Fuller (ADF) and regression tests are used for acquisition of findings after data purification and data outlier’s eradication. Hence, study lead significant findings as like historic investigations

Keywords: Earnings announcements, Bid-ask Spread, Investor reaction, Stock Prices, KSE.100 index, Sample period, ADF, Regression