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Wyświetlanie 1-15 z 39
Tytuł:
INVESTORSʼ REACTIONS FOR SUSTAINABILITY INDEX INCLUSION – IS CSR A GOOD NEWS?
Autorzy:
Daszyńska-Żygadło, Karolina
Ryszawska, Bożena
Słoński, Tomasz
Zawadzki, Bartosz Marek
Powiązania:
https://bibliotekanauki.pl/articles/659055.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
CSR
Sustainability
ESG
event study
Opis:
This article presents the problem of measuring the impact of information disclosure aboutCSR activities on stock performance. The research was performed on two indexes which representPan-European capital market and local Central and Eastern European capital market. Differentmarket characteristics could limit the application of results presented in numerous studiesperformed on well-established markets. The information with relatively strong signal for investoris the inclusion to CSR index. In order to measure the investors’ reaction the event study analysiswas performed. It was proved that the short–term reaction was very similar on each market. Thereaction to announcement of CSR index inclusion was slightly negative, but this effect was offsetby the opposite reaction in the day of inclusion. The total reaction in the seven days event windowwas close to zero. However, the long-term reaction measured in 30 trading days window wasnegative for two markets, but the local market investors show more discontent.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2014, 2, 300
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
MACROECONOMIC INDICATORS FORECASTS ACCURACY AND REACTION OF INVESTORS ON THE WSE
Autorzy:
Wójtowicz, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/453019.pdf
Data publikacji:
2015
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
macroeconomic news announcements
WSE
event study
Opis:
Every day analysts and news agencies publish forecasts of important macroeconomic indicators. When the announced value of an indicator differs from its forecast, investors must revise their strategies. The strength of investors’ reaction depend on the difference between expectations and the true value of the indicator. In this paper we analyze the reaction of investors on the WSE to U.S. macroeconomic news announcements. We compare the strength of the reaction when forecasts are based on information from different financial services.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2015, 16, 2; 142-151
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
THE REACTION OF INTRADAY WIG RETURNS TO THE U.S. MACROECONOMIC NEWS ANNOUNCEMENTS
Autorzy:
Gurgul, Henryk
Suliga, Milena
Wojtowicz, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/453331.pdf
Data publikacji:
2013
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
event study
macroeconomic announcements intraday data
Opis:
This paper analyses the reaction of stock returns on the Warsaw Stock Exchange to U.S. macroeconomic news announcements. The study is conducted on the basis of five-minute returns of WIG from January 2004 to December 2012. This nine-year period includes different stages of economic cycle and additionally the global financial crisis. Hence results of our analysis are not limited only to contraction or expansion and can be applied to bull and bear market. The application of event study analysis allows us to measure not only the strength of the impact of information release but also its duration.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 1; 150-159
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stock Market Reaction to CEO Appointment – Preliminary Results
Autorzy:
Byrka-Kita, Katarzyna
Czerwiński, Mateusz
Preś-Perepeczo, Agnieszka
Powiązania:
https://bibliotekanauki.pl/articles/465592.pdf
Data publikacji:
2017-06-15
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
CEO appointment
abnormal return
event study
Opis:
Stock Market Reaction to CEO Appointment – Preliminary Results
Źródło:
Journal of Management and Business Administration. Central Europe; 2017, 2; 23-42
2450-7814
Pojawia się w:
Journal of Management and Business Administration. Central Europe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Impact of US Macroeconomic News on the Prices of Single Stocks on the Vienna Stock Exchange
Autorzy:
Wójtowicz, Tomasz
Gurgul, Henryk
Mitterer, Christoph
Powiązania:
https://bibliotekanauki.pl/articles/2075347.pdf
Data publikacji:
2021
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
event study
macroeconomic announcements
intraday data
Opis:
Recent studies have shown that announcements of information about the state of the US economy have had a significant impact on European stock markets. However, the importance of information about the US economy may vary in time. In order to analyze this issue, we examine the impact of announcements of unexpected US macroeconomic news on the prices of selected stocks listed on the Vienna Stocks Exchange. On the basis of the 5-minute returns of 13 stocks we examine how the strength and the significance of the reactions of investors to unexpected macroeconomic news from the US has changed over the last 15 years. Event study methodology allows us to describe precisely such reactions in the first minutes after news announcements
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2021, 3; 287-329
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Market Reaction to Stock Splits - Evidence from the Warsaw Stock Exchange
Autorzy:
Sekuła, Paweł
Powiązania:
https://bibliotekanauki.pl/articles/16729033.pdf
Data publikacji:
2023
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
split
Warsaw Stock Exchange
event study methodology
Opis:
Theoretical background: A share split is an operation that increases the total number of shares. The split is a technical operation and should not affect the market value of the company. The shareholding structure of the company remains unchanged when the shares are split. However, split studies around the world show the occurrence of abnormal returns. Purpose of the article: The article analyses splits based on market data from 2009 to 2021. The aim of the study is to analyse the cumulative average abnormal returns (CAARs) in the periods preceding stock splits on the Warsaw Stock Exchange (WSE). CAARs are analysed in different research variants. The influence of the stock market situation and the frequency of splits on the amount of abnormal returns is examined. Research methods: The research was carried out using event study analysis. The Market-Adjusted Return Model was used to determine abnormal returns. CAARs were calculated for each analysed event window. The statistical significance of abnormal returns was verified by the parametric t test and the non-parametric Corrado rank test. Main findings: The study showed statistically significant positive abnormal returns in the 30-day period preceding the split. The hypothesis that multiple splits cause particularly high increases in the market value of companies has not been confirmed. Research on the reaction to splits depending on the state of the stock market situation did not allow unambiguous conclusions in the case of the periods when the WSE Index (WIG) increased. Weaker reaction to planned splits in the period of worse market conditions was confirmed.
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2023, 57, 1; 181-195
0459-9586
2449-8513
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
An Analysis of Insider Trading in the Credit Derivatives Market Using the Event Study Methodology
Autorzy:
Wareluk, Ewa
Powiązania:
https://bibliotekanauki.pl/articles/417414.pdf
Data publikacji:
2013
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
insider trading
information flow
event study
credit derivatives
Opis:
Purpose: In this paper I investigate the information fl ow between the credit default swap market and the stock market as well as insider trading in the credit default swap market. Methodology: For my analysis I use the event study methodology. Using the event study methodology I calculate abnormal stock returns and abnormal credit default swap premium changes. The analysis is based on 175,874 observations collected for 92 companies between the years 2001 and 2010. Findings: The results show that the information fl ow from the credit default swap market to the stock market is the most signifi cant in terms of negative rating outlooks. The information fl ow is much less signifi cant in relations to negative surprises during announcements of annual fi nancial results and rating upgrades. Evidence of insider trading is also most evident with reference to negative rating outlooks. Additionally, a distinctive feature of the credit default swap market and the stock market is the asymmetric response to negative and positive credit information. Research limitations: The event study methodology does not consider other potentially important reasons for the information flow between markets than the ones actually investigated. The credit events and credit risk information used in this research are just a proposal and can be extended by future researchers. Originality: This paper discusses a new research area. The main research area in terms of insider trading is still the stock market, with special focus on the US market. I decided to explore the insider trading phenomenon in the credit default swap market. I only considered contracts that are quoted with reference to European underlying assets. This part of the fi nancial market is attractive in terms of economic research as credit derivatives are more commonly used not only in North America but also in Europe.
Źródło:
Management and Business Administration. Central Europe; 2013, 21, 4(123); 25-54
2084-3356
Pojawia się w:
Management and Business Administration. Central Europe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The impact of a surprise dividend increase on a stocks performance. the analysis of companies listed on the Warsaw Stock Exchange
Autorzy:
Słoński, T.
Zawadzki, B.
Powiązania:
https://bibliotekanauki.pl/articles/406506.pdf
Data publikacji:
2012
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
effect of a dividend announcement
event study analysis
Opis:
The reaction of marginal investors to the announcement of a surprise dividend increase has been measured. Although field research is performed on companies listed on the Warsaw Stock Exchange, the paper has important theoretical implications. Valuation theory gives many clues for the interpretation of changes in dividends. At the start of the literature review, the assumption of the irrelevance of dividends (to investment decisions) is described. This assumption is the basis for up-to-date valuation procedures leading to fundamental and fair market valuation of equity (shares). The paper is designed to verify whether the market value of stock is immune to the surprise announcement of a dividend increase. This study of the effect of a surprise dividend increase gives the chance to partially isolate such an event from dividend changes based on long-term expectations. The result of the research explicitly shows that a surprise dividend increase is on average welcomed by investors (an average abnormal return of 2.24% with an associated p-value of 0.001). Abnormal returns are realized by investors when there is a surprise increase in a dividend payout. The subsample of relatively high increases in a dividend payout enables investors to gain a 3.2% return on average. The results show that valuation models should be revised to take into account a possible impact of dividend changes on investors’ behavior.
Źródło:
Operations Research and Decisions; 2012, 22, 2; 45-54
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The issuer and investor credit ratings – the impact on the stock prices
Autorzy:
Chodnicka-Jaworska, Patrycja
Powiązania:
https://bibliotekanauki.pl/articles/583205.pdf
Data publikacji:
2018
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
credit rating
issuer
investor
stock prices
event study
Opis:
The basic goal of the article is to analyse the impact of credit rating changes on the rates of return on banks’ shares, considering the entity that asked for assigning a credit rating. The following hypotheses are proposed: banks’ share prices react stronger to the investor-paid credit rating changes. the strongest impact of the banks’ credit rating changes is observed for a downgrade, for both the issuer and the investor credit ratings, while a stronger significant reaction is observed after the moment of publication. The analysis was prepared on the Thomson Reuters Database. The analysis was carried out on data from the years 1980 to 2015, for banks from the European countries, by using event study methods.
Źródło:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2018, 519; 40-52
1899-3192
Pojawia się w:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Sovereign credit ratings and CDS spreads in Emerging Europe
Autorzy:
Dopierała, Łukasz
Ilczuk, Daria
Wojciechowski, Liwiusz
Powiązania:
https://bibliotekanauki.pl/articles/22444414.pdf
Data publikacji:
2020
Wydawca:
Instytut Badań Gospodarczych
Tematy:
credit rating agencies
Emerging Europe
CDS
event study
Opis:
Research background: Sovereign credit ratings play an important role in determining any country?s access to the international debt market. During the global financial crisis and the European debt crisis, credit rating agencies were harshly criticized for the timing of their announcements regarding ratings downgrades and the ranges of those downgrades. Therefore, it is worth considering whether the sovereign credit rating is still a useful benchmark for investors. Purpose of the article: This article examines whether credit rating agencies still provide financial markets with new information about the solvency of governments in Emerging Europe countries. In addition, it describes the differences in the effect of particular types of rating events on financial markets and the impact of individual agencies on the market situation. Our study also focuses on evaluating these occurrences at different stages of the business cycle. Methods: This article uses data about ratings events that took place between 2008 and 2018 in 17 Emerging Europe economies. We took into consideration positive, neutral, and negative events related to ratings changes and the outlooks reported by Fitch Ratings, Moody?s, and Standard & Poor?s. We used a methodology based on event studies. In addition, we performed Wilcoxon signed-ranks test and used a logit model to determine the usefulness of cumulative adjusted credit default swap (CDS) spread changes in predicting the direction of ratings changes. Findings & Value added: Our research provides evidence that the CDS market reflects information regarding government issuers up to three months before ratings downgrades are announced. Information reported to the market by ratings agencies is only relevant in the short timeframe surrounding ratings downgrades and upgrades. However, positive credit rating changes convey more information to the market. We also found strong evidence that, in the post-crisis period, credit ratings provide markets with less information.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2020, 15, 3; 419-438
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange
Autorzy:
Gurgul, Henryk
Hastenteufel, Jessica
Wójtowicz, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/1917113.pdf
Data publikacji:
2021-12-08
Wydawca:
Główny Urząd Statystyczny
Tematy:
event study
macroeconomic announcements
intraday data
Warsaw Stock Exchange
Opis:
Due to the high importance of the American economy, in the past, announcements of US macroeconomic data were shown to have a significant impact on financial markets in general, and on European stock markets in particular. However, as this effect may vary in time, this paper examines the changes in the impact of US macroeconomic news on the WIG20, the main index of the Warsaw Stock Exchange. Based on intraday data from 2004- 2019 we study the changes in significance and in the strength of the reaction of WIG20 to announcements of unexpected values of 13 indicators describing the American economy. On the basis of the event study analysis, we describe the reaction of the WIG20 index in the first few minutes after these kinds of announcements.
Źródło:
Statistics in Transition new series; 2021, 22, 4; 41-58
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ opublikowanej rekomendacji na reakcję inwestorów
Investors’ Reaction to a Published Recommendation
Autorzy:
Polak, Kamil
Powiązania:
https://bibliotekanauki.pl/articles/2185133.pdf
Data publikacji:
2018-07-30
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
zwyżkowa stopa zwrotu
analiza zdarzeń
abnormal returns
event study
Opis:
Celem artykułu jest analiza wpływu opublikowanych rekomendacji giełdowych na zachowanie się kursu akcji spółek notowanych na Warszawskiej Giełdzie Papierów Wartościowych wchodzących w skład indeksu WIG20. Badaniu poddano 364 depesze o wydaniu rekomendacji w latach 2015–2016 opublikowane na stronie www.infostrefa.com. W badaniu posłużono się klasyczną analizą zdarzeń w celu określenia wpływu danego zdarzenia na zachowanie się kursów akcji.
The aim of the research was to analyze the influence of published stock market recommendations on the behavior of share prices of companies listed on the Warsaw Stock Exchange in the WIG20 index. The presented research examined 364 recommendations from January 2015 to December 2016. The analysis was carried out using the event study methodology to determine the impact of a given event on the behavior of share prices.
Źródło:
Studia i Materiały; 2018, 1(27) cz. 2; 127-135
1733-9758
Pojawia się w:
Studia i Materiały
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Reakcja inwestorów giełdy hiszpańskiej na zamknięcie granic. Weryfikacja za pomocą metodyki analizy zdarzeń
Testing the Reaction of Spanish Exchange Market with the Use of Event Study
Autorzy:
Ulmann, Kamila
Roszkowski, Filip
Powiązania:
https://bibliotekanauki.pl/articles/2033976.pdf
Data publikacji:
2021-11-05
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
event study
behavioral economics
behavioral finance
irrationality
capital market
Opis:
The purpose of the article/hypothesis: The aim of the article is to examine the significance of the reaction of stock exchange investors in that country to the publication of information about the reintroduction of border controls in order to limit the movement of people, especially foreigners. The article discusses issues related to economics and behavioral finance, paying special attention to the irrationality of decisions, discussed by many authors, under the influence of various factors. Methodology: In the case of the empirical study, event analysis methodologies were applied, using abnormal and cumulative abnormal rates of return. Results of the research: The results of a detailed analysis of events, based on overnormative single-period logarithmic rates of return and cumulative over-normative single-period logarithmic rates of return for an event, showed an interesting case contradicting the thesis on irrationality of investor behavior in the capital market, while questioning the efficient market hypothesis.
Źródło:
Finanse i Prawo Finansowe; 2021, 4, 32; 83-96
2391-6478
2353-5601
Pojawia się w:
Finanse i Prawo Finansowe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Can the publication of annual financial reports become an opportunity for insider trading?
Autorzy:
Suliga, M.
Powiązania:
https://bibliotekanauki.pl/articles/108412.pdf
Data publikacji:
2015
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
market abuse detection
insider trading
event study
GARCH process
Opis:
Illegal insider trading is a problem that involves most of financial markets. Unusual abnormal returns as well as increased trading volumes observed ahead of price sensitive information can be signals of this type of market abuse behavior. In this paper, I study the occurrence of insider trading on the Warsaw Stock Exchange. I verify if publications of annual financial reports of WIG issuers can be preceded by this phenomenon. The study includes reports from the period between 1 January, 2010, and 29 May, 2014. In order to define abnormal returns, I suit the GARCH process to daily returns and use event-study analysis. Potential insider trading behaviors are found with the use of two-day cumulative abnormal returns in a first step and with the use of daily abnormal returns afterwards. The publications that are marked with potential informed price movements are analyzed for the presence of extremely high abnormal trading volumes, which can be additional signals of market abuse.
Źródło:
Managerial Economics; 2015, 16, 1; 77-89
1898-1143
Pojawia się w:
Managerial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Competitors’ Response to a Bankruptcy Filing Announcement Made by a Stock-Listed Company Depending on Sector Characteristics
Autorzy:
Krzeczewska, Olga
Powiązania:
https://bibliotekanauki.pl/articles/1836550.pdf
Data publikacji:
2021
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
contagion effect
competitive effect
information transfer
bankruptcy filing
event study
Opis:
The main aim of the article is to determine how the bankruptcy filing announcement of a stock listed company affects the market valuation of its competitors, depending on sector characteristics. An event study was conducted on the example of returns to shares of companies comprised in the WIG index and operating in 9 sectors. It is indicated that the bankruptcy filing announcement is quickly (within one day) incorporated into the share prices of competitors of the announcing firm. It is confirmed that the direction of market reaction toward share prices of competitors is differentiated by the characteristics of the sector. Averaged results show that the competitive effect occurs in the sectors with a high level of concentration, while the contagion effect is noted in sectors with low concentration. Companies from sectors characterized by low leverage experience the competitive effect. No information transfer was found for a group of companies in sectors characterized by high leverage.
The main aim of the article is to determine how the bankruptcy filing announcement of a stock listed company affects the market valuation of its competitors, depending on the sector characteristic. An event study was conducted on the example of returns to shares of companies comprised in the WIG index and operating in 9 sectors. It is indicated that the bankruptcy filing announcement is quickly (within one day) incorporated into the share prices of competitors of the announcing firm. It is confirmed that the direction of market reaction toward share prices of competitors is differentiated by the characteristics of the sector. Averaged results show that the competitive effect occurs in the sectors with a high level of concentration, while the contagion effect is noted in sectors with low concentration. Companies from sectors characterized by low leverage experience the competitive effect. No information transfer was found for a group of companies in sectors characterized by high leverage.
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2021, 55, 1; 31-40
0459-9586
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 39

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