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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Leonid Troshkinyov
The Influence of News Underestimation and Overestimation on Stock Prices of Russian Companies
Bachelor’s programme
2014
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.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.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 . 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 .

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