Effect of Micro and Macro News on Post-Earnings Announcement Drift: Evidence from Türkiye and Thailand

Abstract

This thesis examines the influence of micro (earnings announcements) and macroeconomic news on post-earnings announcement drift (PEAD) in the emerging markets of Türkiye and Thailand. The study investigates PEAD and the factors affecting it across various market environments. The findings confirm the existence of significant PEAD in both Türkiye and Thailand, with cumulative abnormal returns ranging from 2.9-3.3% and 6.1-7.9%, respectively, over the 61-day period following earnings announcements. While information density, measured by the number of concurrent announcements, correlates with the drift magnitude in the announcement-heavy Thai market, the Turkish market with fewer announcements displays no such relationship. Additionally, the research explores the interaction between macroeconomic news and PEAD. The findings suggest that PEAD is reduced in Türkiye when earnings announcements coincide with macroeconomic news releases suggesting that macroeconomic news attracts investor attention. Conversely, Thailand’s results exhibit an increase in PEAD under these circumstances, indicating that macroeconomic news distracts investors.