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Title Determinants of Earnings Response Coefficient: Evidence from non-financial Sector of Pakistan

Author(s) Muhammad Nadeem

Abstract Thesis Title: Determinants of Earnings Response Coefficient; Evidence from Non-Financial Sector of Pakistan. The study provides new evidence between the relationship of unexpected earnings and abnormal return. Earnings provide the information reflected in stock price and investors react over the available information provided by the firm. The earnings response coefficient is obtained by the regression of stock price and accounting profit. The aim of this study is to examine the determinants of earnings response coefficient as default risk, systemic risk, growth opportunities, firm size, profitability, financial leverage, inflation rate and interest rate and its impact on non-financial firms listed at Pakistan Stock Exchange. The study used the multiple regression models for the period of 2011 to 2016. Data gathered has been processed and analyzed by E-views 9 package. This study applies proportionate sampling technique for the selection of 160 listed non-financial firms of Pakistan Stock Exchange. The empirical results of the study confirmed that the default risk has significant negative impact on earnings response coefficient. Growth opportunities, firm size, profitability and financial leverage have positive and significant impact on earnings response coefficient. But systemic risk, inflation rate and interest rate has insignificant impact on earnings response coefficient. Moreover, the earnings response coefficient has direct or positive relationship with growth opportunities, firm size, profitability and financial leverage and has inverse or negative relationship with default risk. Thus, the determinants of earnings response coefficient study has provide an additional extension to literature, as there is no considerable work on earnings response coefficient being Pakistan is a developing economy. Keywords: Earnings response coefficient, surprise earnings, default risk, financial leverage, cumulative abnormal return.

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2018-11-12

Subject Finance

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