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Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow Stock Exchange

Title data

Njoroge, Parmenas Kim ; Shevchenko, Dmitry ; Baumann, Michael Heinrich:
Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow Stock Exchange.
2019
Event: 5th International Conference on Applied Theory, Macro and Empirical Finance (AMEF 2019) , April 22-33, 2019 , University of Macedonia, Thessaloniki, Greece.
(Conference item: Conference , Speech )

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Abstract in another language

The impact of financial reports on stock prices and on enterprise values is of great importance for managements, shareholders, and potential investors. Publication of annual or quarterly financial statements might send signals to investors. Positive signals cause a rise in stock prices, while negative signals have the opposite effect. Although various literature has documented a change in stock prices related to the publication of financial statements in a developed market, only a few studies have looked into emerging markets, e.g., the Russian financial market.

The purpose of this research is to analyze the effect of financial reporting on the market value of firms, listed on the Moscow Stock Exchange. The selected stocks are in the financial sector. We also seek to identify promising procedures, forms, and requirements for financial statements that ensure adequate information to financial market participants to eliminate contradictions between the fundamental and the market value.

In this study, we use the event study method, first introduced in the work of Ball and Brown (1968), Fama, Fisher, Jensen, and, Roll (1969), to analyze the impact of publishing corporate news on changes in the market value. The daily share price data for the period from 2017 to 2018 is used for the analysis of the relationship between the behaviour of the share prices and the release of the firms’ annual financial statements. The stock prices were obtained from Yahoo finance. Annual financial statements were obtained from the respective company websites.

A positive abnormal return was observed for a day preceding the event day for the VTBR stock. This may mean that investors were anticipating good news from the annual reports. A similar observation was made for SBER, though the abnormal return for the SBER stock was negative. This means investors were expecting negative news from the publication of Sberbank’s financial statement, creating negative abnormal returns on the day preceding the announcement. The anticipated bad news may be caused by the low recorded profit of the bank in 2016.

Further data

Item Type: Conference item (Speech)
Refereed: Yes
Keywords: Abnormal Returns; Market Efficiency; Earnings per Share (EPS); Event Study
Subject classification: JEL classification: G14, G30, G32
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne)
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Result of work at the UBT: No
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Date Deposited: 21 Oct 2019 11:58
Last Modified: 21 Oct 2019 11:58
URI: https://eref.uni-bayreuth.de/id/eprint/52793