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

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005137
URN to cite this document: urn:nbn:de:bvb:703-epub-5137-8

Title data

Njoroge, Parmenas ; Baumann, Michael Heinrich ; Baumann, Michaela ; Shevchenko, Dmitry:
Stock Price Reactions to Publications of Financial Statements : Evidence from the Moscow Stock Exchange.
Bayreuth (Germany); Rostov-on-Don (Russian Federation) , 2020 . - 22 S.

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Abstract

The purpose of this research is to analyze the effects of financial reporting on stock prices of the firms, listed on the Moscow Stock Exchange. In this paper, we use the event study method to analyze the impact of publishing corporate news on changes in the stock prices. The daily stock prices of 49 components of the Russia Trading System Index were obtained from Yahoo finance. Data from the years 2014 to 2018 were used to analyze the relation between the behavior of the share prices and the releases of the firms’ annual, quarterly, and unscheduled financial statements. We use an ordinary least squares market model to estimate market parameters and calculate abnormal returns. We perform several statistical tests for non-Gaussian distribution and find that there is a significantly abnormal relationship between the publication of financial statements and prices of shares. We argue that the stock prices’ volatility on the publication of financial statements is due to an information asymmetry and we therefore discuss recommendations to improve information content of financial statements in Russia.

Further data

Item Type: Working paper, discussion paper
Keywords: abnormal returns; efficient market hypothesis; EMH; event study; financial reporting; market value
Subject classification: JEL classification: G14, G30, G32
DDC Subjects: 300 Social sciences > 330 Economics
500 Science > 510 Mathematics
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Applied Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Applied Mathematics > Chair Applied Mathematics - Univ.-Prof. Dr. Anton Schiela
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions > Research Centres > Forschungszentrum für Modellbildung und Simulation (MODUS)
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Profile Fields
Profile Fields > Advanced Fields
Research Institutions
Research Institutions > Research Centres
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5137-8
Date Deposited: 26 Oct 2020 10:22
Last Modified: 26 Oct 2020 10:22
URI: https://epub.uni-bayreuth.de/id/eprint/5137

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