A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this paper we study the returns on a set of different strategies, which are based on
the sign and magnitude of the pre-earnings announcement return for a group of US
stocks and for some international markets which provides an additional measure of
robustness. We also propose a new methodology for the evaluation of abnormal
returns. Evidence is found that stocks with negative abnormal returns on the days
prior to the earnings announcement have a subsequent higher return on the days
following the announcement. A trading strategy based on these findings is then
reproduced and its results are analyzed
