Year of Graduation
Assessment of the Impact of Claims of Tax and Antitrust Authorities on the Market Value of Public Companies
Strategic Corporate Finance
The thesis presents the effect of news about the claims by the Federal Antimonopoly Service and the Federal Tax Service on the market value of companies. The study is based on analysis of the abnormal return of shares of companies in the period of 31 days around the event. 52 news about suing were observed to eventually reveal the fact of FAS’ greater impact on the market, compared to the FTS (CAAR(FAS) (-20, 10) = -2.45% versus CAAR(FNS) (-20, 10) = -1 , 98%). In addition, an attempt was carried out to detect the presence of insider trading prior to the announcement of the event on the claim and publication of the judgment in the case. It was found a significant negative abnormal return (CAAR(FAS) (-20, -1) = -3.37% and CAAR(FNS) (-20, -1) = -3.02%) and high abnormal activity in the market prior to the announcement. This allows to make a conclusion about the leakage of information from the service before the important statements.