Date of Award
Spring 2020
Degree Name
Bachelor of Science (BS)
Advisor(s)
John Shon
Second Advisor
Luke Kachersky
Abstract
Using ordinary least squares regressions, regressing abnormal returns on earnings surprises for earnings announced the day after the Super Bowl, we find that the data largely supports the efficient market hypothesis instead of the theory of behavioral finance. However, the inattention effect of the Super Bowl is apparent in raw, unwinsorized data, suggesting that limited attention and behavioral finance may play a role in the pricing of earnings surprises after a distractive event outside of market hours. Earnings surprises are significant economic events which should be interpreted efficiently under the efficient market hypothesis. Yet, signs of behavioral finance are possibly disrupting the efficient market hypothesis as a consequence of limited attention.
Recommended Citation
Moran, Marissa, "The Inattention Effect of the Super Bowl on the Pricing of Earnings Surprises" (2020). Gabelli School of Business Honors Thesis Collection. 64.
https://research.library.fordham.edu/gabelli_thesis/64
