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

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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.