Research-Thesis: Investigating the relationship between quarterly earnings reports and the efficient market hypothesis: Evidence from the Belgian BEL20

Abstract

This thesis investigates how companies listed in Belgium’s BEL20 index reacted to the release of quarterly earnings reports in the period from 2017 to 2024. The analysis focuses on whether the observed reactions are consistent with the Efficient Market Hypothesis or reveal significant patterns that could indicate an inefficient market behavior. The market model was applied to estimate expected returns, from which abnormal returns and cumulative abnormal returns were calculated. All earnings announcements were classified into different news categories based on the reported earnings per share surprise. Statistical tests were then performed to determine the significance of the results within each news group. The initial results were tested for reliability by using different robustness tests. The study makes an important contribution to the existing literature by focusing on the Belgian stock market, for which academic evidence on the Efficient Market Hypothesis remains limited. The results of this study reveal some isolated abnormal returns that seem to be inconsistent with the Efficient Market Hypothesis. However, the overall statistical evidence suggests that the Belgian stock market reacts efficiently.