Situational Analysis of the term on Russian Stock Market

<p>This research paper conducted an event study to investigate the existence of the abnormal returns during earnings announcements based on data from MICEX on period from 26^th of January 2009 to 13^th of February 2014. &nbsp;The study is based on testing the null hypothesis of no abnormal returns using several statistical tools based on 3 different models, describing expected returns.</p><p>One of the finding of the paper is the significance of the market model as a tool for measuring expected returns. On the other hand, mean return model can not be considered valid. Econometric model constructed on data available have been proven to be most efficient.</p><p>To test the null hypothesis standard Patell test has been used on data from different announcements without aggregation by companies. As a result, H0 has been rejected in 16 companies for mean return model; 13 for market model and for model based on apt &ndash; 9. Thus, the presense of abnormal returns has been indicated for all 3 models.</p><p>Based on aggregated data, for 95% significance level, both for market model and mean return model the null hypothesis has been rejected. For the model, based on the extension of the apt, on this level of significance null hypothesis cannot be rejected. Though, it is rejected for smaller sl. Moreover, more than for 95% of the announcements the sign of the AR has followed the sign of the initial shock.</p><p>This research paper has successfully proven the existence of abnormal returns during the earnings announcement on the Moscow stock exchange.</p>