Impact of Public Announcements on Stock Prices: the Example of Lithuanian Stock Market Considering Values of Stock Prices
DOI:
https://doi.org/10.7250/eb.2014.027Keywords:
Abnormal returns, Lithuanian stock market, public announcements, stock prices.Abstract
The previous studies have shown that there is a relation between values of stock prices and the price changes caused by public announcements. Thus the aim of this paper is to examine if the respective relation can be observed in Lithuanian stock market and how it is affected by different categories of announcements. A simplified version of the event study methodology was used in this paper and the average absolute and abnormal returns were calculated. A negative correlation between the values of stock prices and the price changes caused by public announcements was observed; that is consistent with the previous studies.References
Agrawal, A., Jaffe, J. F., Mandelker, G. N., “The Post-Merger Performance of Acquiring Firms: A Re-Examination of an Anomaly,” Journal of Finance, 1992, vol. 47, pp. 1605–1621.
http://dx.doi.org/10.1111/j.1540-6261.1992.tb04674.x
Alwathnani, A. M., Dubofsky, D. A., “It’s All Overreaction: the Post Earnings Announcement Drift,” Working paper series, 2014.
Beaver, W. H., “The Information Content of Annual Earnings Announcements,” Journal of Accounting Research, vol. 6, 1968.
Conrad, J., Cornell, B., Landsman, W. R., “When Is Bad News Really Bad News?” Journal of Finance, 2002, vol. 57, no. 6, pp. 2507–2532. http://dx.doi.org/10.1111/1540-6261.00504
Eizentas, V., Krušinskas, R., Stankevičienė, J., “Impact of Public Information Signals on Share Prices: Evidence from Lithuania,” Economics and Management, 2012, vol. 17, no. 3, pp. 879–888.
Fama, E. F., “Efficient Capital Markets: Review of Theory and Empirical Work,” The Journal of Finance, 1970, vol. 25, no. 2, pp. 383–417. http://dx.doi.org/10.2307/2325486
Ikenberry, D. L., Ramnath, S., “Underreaction to Self-Selected News Events: the Case of Stock Splits,” Review of Financial Studies, 2001, vol. 15, pp. 489–526. http://dx.doi.org/10.1093/rfs/15.2.489
Kiete, K., Uloza, G., “The Information Efficiency of the Stock Markets in Lithuania and Latvia,” SSE Riga Working Papers, 2005, vol. 75, no. 7, pp. 1–53.
Laidroo, L., “Public Announcement Induced Market Reaction on Baltic Stock Exchanges,” Baltic Journal of Management, 2008, vol. 3, no. 2, pp. 174–192. http://dx.doi.org/10.1108/17465260810875505
Laidroo, L., Grigaliūnienė, Ž., “Asymmetries in Price Reactions to Quarterly Earnings Announcements on Tallinn, Riga and Vilnius Stock Exchanges During 2000–2009,” Baltic Journal of Economics, 2011, vol. 12, no. 1, pp. 61–86. http://dx.doi.org/10.1080/1406099X.2012.10840511
Michaely, R. Thaler, R. H., Womack, K. L., “Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?” Journal of Finance, 1995, vol. 50, pp. 573–608.
http://dx.doi.org/10.1111/j.1540-6261.1995.tb04796.x
Morse, D., “Wall Street Journal Announcements and the Securities Markets,” Financial Analysts Journal, 1982, vol. 38, no. 2, pp. 69–77.
Palmon, D., Schneller, M. I., “The Relationship Between Securities’ Abnormal Price Movements and Wall Street Journal News,” Journal of Banking and Finance, 1980, vol. 4, no. 3, pp. 235–247.
Pritamani, M., Singal, V., “Return Predictability Following Large Price Changes and Information Releases,” Journal of Banking & Finance, 2001, vol. 25, pp. 631–656. http://dx.doi.org/10.1016/S0378-4266(00)00091-1
Ritter, J. R., “The Long-Run Performance of Initial Public offerings,” Journal of Finance, 1991, vol. 46, pp. 3–27. http://dx.doi.org/10.1111/j.1540-6261.1991.tb03743.x
Ryan, P., Taffler, R. J., “Are Economically Significant Stock Returns and Trading Volumes Driven by Firm-Specific News Releases?” Journal of Business Finance & Accounting, 2004, vol. 31, pp. 49–82. http://dx.doi.org/10.1111/j.0306-686X.2004.0002.x
Skinner, D. J., Sloan, R. G., “Earnings Surprises, Growth Expectations, and Stock Returns or Don’t Let an Earnings Torpedo Sink Your Portfolio,” Review of Accounting Studies, 2002, vol. 7, pp. 289–312. http://dx.doi.org/10.1023/A:1020294523516
Sprenger, T. O., Welpe, I. M., “News or Noise? The Stock Market Reaction to Different Types of Company-Specific News Events,” Working papers series, 2011.
Vega, C., “Stock Price Reaction to Public and Private Information,” Journal of Financial Economics, 2006, vol. 82, issue 1, pp. 103–133. http://dx.doi.org/10.1016/j.jfineco.2005.07.011
Wu, H., “Trading Volume Movement Versus Price Change: The Volume Shock Around Earning Announcement in Chinese Stock Market,” Engineering Economic Management, 2013, pp. 339–345.
You, H., Zhang, X. J., “Limited Attention and Stock Price Drift Following Earnings Announcements and 10-K Filings,” China Finance Review International, 2011, vol. 1, issue 4, pp. 358–387. http://dx.doi.org/10.1108/20441391111167487
Downloads
Published
Issue
Section
License
Copyright (c) 2015 Jurgita Stankevičienė, Simas Akelaitis (Author)
This work is licensed under a Creative Commons Attribution 4.0 International License.
How to Cite
