PEAD na polskim rynku akcji

• Autorzy: Marek Sojka
• Języki publikacji: PL

Abstrakty

Celem pracy jest zbadanie reakcji kursów akcji na ogłoszenie zaskakujących wyników finansowych. Teoria rynku efektywnego zakłada, że każda informacja publicznie dostępna jest natychmiast odzwierciedlona w rynkowych cenach akcji, a więc nie można zarobić ponadprzeciętnej stopy zwrotu, podejmując decyzje na podstawie tych informacji. Tymczasem badania empiryczne na innych rynkach światowych dowodzą, że strategia inwestycyjna oparta na opublikowanych zaskakujących wynikach finansowych przynosi ponadprzeciętną rentowność. W pracy przedstawione zostało badanie empiryczne zjawiska PEAD (post earnings announcement drift) na polskim rynku akcji na podstawie danych za okres od 2004 do 2018 r. W badanym okresie implementacja strategii inwestycyjnej opartej na zjawisku PEAD dawała średnio rentowność 5,4% w ciągu 90 dni od utworzenia portfela. (abstrakt oryginalny)

Słowa kluczowe

PL

Akcje; Wycena akcji; Wynik finansowy; Informacja publiczna; Strategia inwestycyjna; Efektywność rynku; Wyniki badań

EN

Shares; Equity valuation; Financial performance; Public information; Investment strategy; Market effectiveness; Research results

• Czasopismo: Bank i Kredyt
• Rocznik: 2021
• Numer: nr 2
• Strony: 143--166

Twórcy

autor

Marek Sojka

• Bonum Quant Research

Bibliografia

• Abarbanell J.S., Bernard V.L. (1992), Tests of analysts' overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior, The Journal of Finance, 47(3), 1181-1 207.
• Balakrishnan K., Bartov E., Faurel L. (2010), Post loss/profit announcement drift, Journal of Accounting and Economics, 50(1), 20-41.
• Ball R., Brown P. (1968), An empirical evaluation of accounting income numbers, Journal of Accounting Research, 6(2), 159-178.
• Ball R. (1978), Anomalies in relationships between securities' yields and yield-surrogates, Journal of Financial Economics, 6(2-3), 103-126.
• Barber B.M., Odean T. (2000), Trading is hazardous to your wealth: the common stock investment performance of individual investors, The Journal of Finance, 55(2), 773-806.
• Bartov E., Radhakrishnan S., Krinsky I. (2000), Investor sophistication and patterns in stock returns after earnings announcements, The Accounting Review, 75(1), 43-63.
• Basu S. (1997), The conservatism principle and the asymmetric timeliness of earnings, Journal of Accounting and Economics, 24(1), 3-37.
• Battalio R.H., Mendenhall R.R. (2011), Post-earnings announcement drift: bounds on profitability for the marginal investor, Financial Review, 46(4), 513-539.
• Bernard V.L., Thomas J.K. (1989), Post-earnings-announcement drift: delayed price response or risk premium?, Journal of Accounting Research, 27, 1-36.
• Bhushan R. (1994), An informational efficiency perspective on the post-earnings announcement drift, Journal of Accounting and Economics, 18(1), 45-65.
• Bushee B.J., Raedy J.S. (2005), Factors affecting the implementability of stock market trading strategies, SSRN 384500.
• Campbell J.Y., Ramadorai T., Schwartz A. (2009), Caught on tape: institutional trading, stock returns, and earnings announcements, Journal of Financial Economics, 92(1), 66-91.
• Chen L.H., Huang W., Jiang G.J. (2017), Herding on earnings news: the role of institutional investors in post-earnings-announcement drift, Journal of Accounting, Auditing & Finance, 32(4), 536-560.
• Chordia T., Shivakumar L. (2005), Inflation illusion and post-earnings-announcement drift, Journal of Accounting Research, 43(4), 521-556.
• Chordia T., Goyal A., Sadka G., Sadka R., Shivakumar L. (2009), Liquidity and the post-earnings- -announcement drift, Financial Analysts Journal, 65(4), 18-32.
• Collins D.W., Hribar P. (2000), Earnings-based and accrual-based market anomalies: one effect or two?, Journal of Accounting and Economics, 29(1), 101-123.
• De Bondt W.F., Thaler R. (1985), Does the stock market overreact?, The Journal of Finance, 40(3), 793-805.
• Dechow P.M., Sloan R.G., Zha J. (2014), Stock prices and earnings: a history of research, Annual Review of Financial Economics, 6(1), 343-363.
• DellaVigna S., Pollet J. (2009), Investor inattention and Friday earnings announcements, The Journal of Finance, 6 4 (2), 709 -749.
• Doyle J.T., Lundholm R.J., Soliman M.T. (2003), The predictive value of expenses excluded from pro forma earnings, Review of Accounting Studies, 8(2-3), 145-174.
• Doyle J.T., Lundholm R.J., Soliman M.T. (2006), The extreme future stock returns following I/B/E/S earnings surprises, Journal of Accounting Research, 44(5), 849-887.
• Feldman R., Govindaraj S., Livnat J., Segal B. (2010), Management's tone change, post earnings announcement drift and accruals, Review of Accounting Studies, 15(4), 915-953.
• Fama E.F., French K.R. (1992), The cross-section of expected stock returns, The Journal of Finance, 47(2), 427- 465.
• Foster G. (1977), Kw.ly accounting data: time-series properties and predictive-ability results, The Accounting Review, 52(1), 1-21.
• Foster G., Olsen C., Shevlin T. (1984), Earnings releases, anomalies, and the behavior of security returns, Accounting Review, 59(4), 574-603.
• Francis J., Lafond R., Olsson P., Schipper K. (2007), Information uncertainty and post-earnings- -announcement-drift, Journal of Business Finance & Accounting, 34(3-4), 403-433.
• Garfinkel J.A., Sokobin J. (2006), Volume, opinion divergence, and returns: a study of post-earnings announcement drift, Journal of Accounting Research, 44(1), 85-112.
• Hirshleifer D.A., Myers J.N., Myers L.A., Teoh S.H. (2008), Do individual investors cause post-earnings announcement drift? Direct evidence from personal trades, The Accounting Review, 83(6), 1521-1550.
• Hirshleifer D., Lim S.S., Teoh S.H. (2009), Driven to distraction: extraneous events and underreaction to earnings news, The Journal of Finance, 64(5), 2289-2325.
• Jegadeesh N., Livnat J. (2006), Revenue surprises and stock returns, Journal of Accounting and Economics, 41(1-2), 147-171.
• Jones C.P., Litzenberger R.H. (1970), Kw.ly earnings reports and intermediate stock price trends, The Journal of Finance, 25(1), 143 -148.
• Latané H.A., Jones C.P., Rieke R.D. (1974), Kw.ly earnings reports and subsequent holding period returns, Journal of Business Research, 2(2), 119-132.
• Lerman A., Livnat J., Mendenhall R.R. (2007), Double surprise into higher future returns, Financial Analysts Journal, 63(4), 63-71.
• Livnat J. (2003), Post-earnings-announcement drift: the role of revenue surprises and earnings persistence, SSRN 416302.
• Livnat J., Mendenhall R.R. (2006), Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts, Journal of Accounting Research, 44(1), 177-205.
• Narayanamoorthy G. (2006), Conservatism and cross-sectional variation in the post-earnings announcement drift, Journal of Accounting Research, 44(4), 763-789.
• Ng J., Rusticus T.O., Verdi R.S. (2008), Implications of transaction costs for the post-earnings announcement drift, Journal of Accounting Research, 46(3), 661-696.
• Odean T. (1999), Do investors trade too much?, American Economic Review, 89(5), 1279-1298.
• Rendleman Jr, R.J., Jones C.P., Latane H.A. (1982), Empirical anomalies based on unexpected earnings and the importance of risk adjustments, Journal of Financial Economics, 10(3), 269-287.
• Sadka R. (2006), Momentum and post-earnings-announcement drift anomalies: the role of liquidity risk, Journal of Financial Economics, 80(2), 309-349.
• Szyszka A. (2001), Reakcja inwestorów na ogłoszenia raportów kwartalnych spółek notowanych na GPW w Warszawie, w: W. Frąckowiak (red.), Z badań nad rynkiem kapitałowym w Polsce, Wydawnictwo Akademii Ekonomicznej.
• Vega C. (2006), Stock price reaction to public and private information, Journal of Financial Economics, 82(1), 103-133.
• Watts R.L. (1978), Systematic 'abnormal' returns after kw.ly earnings announcements, Journalof Financial Economics, 6(2-3), 127-150.