Влияние корпоративных новостей на цену акций компании

One of the key questions of corporate finance is assessing the influence of financial decisions on the market value of the company. In most cases, the stock price is used as an indicator of the efficiency of decisions made. The stock market is significant for the world economy, because it is one of the first signal warning about instability of current economic situation and the lag between event and stock price fluctuation is small, which allows reacting quickly. The recent case of Rosneft deal against RBC is an example, how one announcement can impact the capitalization of the company. Rosneft filed a lawsuit against RBC for 43 billion rubles because of one heading, which according to the company was detrimental to the actual capitalization of Rosneft, which at the end of the trading session was 43 billion rubles lower than industry index1.
The hypothesis of market efficiency, offered by E. Fama in 1970 [16] proves this statement and states that on efficient market asset price fully reflects all available information and no one can earn excess returns. There are 3 forms of market efficiency: weak (information set consists of information of past prices), semi-strong (information set consists of all publicly available information) and strong (information set consists of all information, including insider trading). The corporate news is included in both semi-strong and strong market efficiency types.
The following events are considered corporate news: annual reports issuance, dividend payment announcement, capital structure changes (for example, buybacks), analytical notes from rating agencies, M&A deals announcement, changes in the company management, law issues etc.
There are many research papers devoted to studying of corporate news effect as there many aspects to be taken into account: the emotional effect of news (positive or negative), the type of event, stage of development of the company, stock market phase, etc. It is needed to add, that sometimes the exact event, but the announcement of it influences the stock price. It is well seen on the example of a dividend announcement. The recent studies about signaling theory (Bozos, Nikolopoulos and Ramgandhi, 2011) [6] confirmed, that management through dividend policy sends signals to investors and stock exchanges on the status of enterprises under their control.
The topic of the thesis is of interest now, because understanding the mechanism of corporate news impact helps the company manipulate the events to make benefits. Fluctuations of the stock prices result from investors’ behavior and their desire to buy or to sell the stock. Investing strategy is built on several assumptions made by investors, which they create from
1 https://www.vedomosti.ru/media/articles/2020/05/21/830767-rosneft-otsenila-uscherb- rbk?utm_source=yxnews&utm_medium=desktop&utm_referrer=https%3A%2F%2Fyandex.ru%2Fnews
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corporate news as the main bridge between them and the company. Also, the research topic is relevant, because it is aimed to close the research gap, analyzing the short-run effects of corporate announcements on Russian oil market that reflects the specifics of emerging market.
The research goal of the thesis is to assess the influence of corporate news on the stock price of Russian companies. On Russian stock exchange several industries are of particular interest, because the most liquid companies refer to them: oil&gas, mining and metallurgy. In this paper, oil industry was chosen for the future analysis. To achieve the research goal, it is necessary to answer some research questions:
1. How do corporate news impact stock price in short-run?
2. What corporate announcements influence the stock price most of
all?
3. How does market react to the regular (non-self-selected) and irregular (self-selected) news in short-run?
Thus, several objectives are stated:
1. To analyze the literature and highlight the most important types of
corporate news;
2. To form a sample of corporate news on Russian oil market for the
period of May 2014 – May 2019;
3. types of news;
To formulate hypotheses about potential effects of the different
4. To conduct event study in order to assess the effect from the chosen types of news and their significance;
5. To provide a conclusion on the results of the study and discuss possible managerial application of the work;
The traditional methodology for such type of research is event study, described by Brown and Warner (1985) [8] and Mackinlay (1997) [29]. For this paper, the short event window of 7 days is used in order to assess the short-term effects of news on company’s stock return. CAPM model is used for normal returns calculation. The hypotheses were analyzed by means of several statistical tests in STATA.
The sample consists of 283 items and includes information about six companies and four types of events: dividend and earnings announcement, M&A deals and financial statements publication. The study showed, that the specific type of news does not affect the company’s stock return, but the fact of announcement. Moreover, there is a difference in reaction to the regular and irregular news.
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The structure of the paper is organized in the following manner. First chapter is devoted to the theoretical background of various types of news and their impact on stock price in order to highlight the most interesting announcements to analyze in this paper. Second chapter explains the methodology of the event study, describes the sample to be tested, presents the results of the analysis and provides the conclusions and managerial implications.