Quarterly Financial Reports and the Stock Price Reaction at the Warsaw Stock Exchange

25 Pages Posted: 8 Feb 2002

Date Written: December 2001

Abstract

This paper deals with market reaction to announcements of quarterly earnings. We observe if information content of quarterly reports is accordingly reflected in stock prices, as theoretically implied by the Efficient Market Hypothesis. We focus on the small emerging market in Poland, and search for the post-announcement drift of abnormal returns, similar to the one observed on well-developed and mature world markets. We propose a relatively rare method of statistical verification of obtained results, tailored for specific characteristics and limitations resulting from conducting this kind of event studies on the small emerging market. The clearest finding of the paper is the significant post-announcement drift of negative abnormal returns in a group of companies that unexpectedly reported highly disappointing quarterly earnings.

Keywords: Quarterly earnings, Efficient Market Hypothesis, event studies, emerging market, abnormal returns, post-announcement drift, Warsaw Stock Exchange

Suggested Citation

Szyszka, Adam, Quarterly Financial Reports and the Stock Price Reaction at the Warsaw Stock Exchange (December 2001). Available at SSRN: https://ssrn.com/abstract=295299 or http://dx.doi.org/10.2139/ssrn.295299

Adam Szyszka (Contact Author)

Warsaw School of Economics ( email )

Al. Niepodległości 164
Warszawa, 02-554
Poland

HOME PAGE: http://https://biogram.sgh.waw.pl/#/biogram/aszysz1

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