The Influence of News Underestimation and Overestimation on Stock Prices of Russian Companies

<p>In this paper we verify the existence of the phenomenon of overreaction in the Russian market in the short-term , due to the systematic underestimation and overestimation of news.</p><p>The first chapter provides an overview of the methods of analysis used to assess the phenomenon of over-reaction, consider the results of relevant studies of previous years in both developed and emerging markets. In the second chapter we formulate and substantiate the hypothesis , the model evaluation and assessment of the phenomenon of overreaction . The third chapter is devoted to the description of the study sample , the empirical data analysis and hypothesis testing. Also, the basic work limitations and possible directions for further research.</p><div>The results showed that after the crisis , investors tend to overestimate the positive information in the short term . At the same time as in the pre-crisis and post-crisis periods , investors behave more rationally when leaving negative news . At the time of the announcement of negative information in the market reacts average 3% negative excess returns , but the announcement of the next 7 days was not seen significant price reversals .</div><div>&nbsp;</div><div>These results are consistent with some of the results of past studies on the emerging and developed markets . Based on these findings , we can conclude that the Russian market is efficient only in a weak form of the Efficient Market Hypothesis .</div><p>&nbsp;</p>