Influence of Publication of Financial Statements on Share Prices

The prepared bachelor diploma paper is devoted to research of how financial statements releases influence the stock prices of the company. This work implies the study of the largest Russian companies trading on the Moscow stock exchange over the years 2013-2017. According to the big amount of different scientific works about impact of different events for financial markets, there will be the most common and useful approach of event study. This methodology often gives the most adequate and accurate results on the relatively short-term time periods because it helps to exclude the influence of many noises from other events to the concrete analysis. Calculation of the normal returns of the shares for the forecast window was based on the classical OLS regression, which has the form of a CAPM model. For the event window, the values of anomalous return were found for each trading day, which together gave an indicator of cumulative abnormal return (CAR). By conduction a special statistical test, it was found that in most cases the release of financial statements does not have a significant impact on the share prices on the Russian stock market. The final step of the study was to study the factors affect CAR, which calculated on the basis of presented financial results. For this, the analysis of panel data was carried out by constructing a random effect model. It was revealed that the only indicator that influence CAR was return on assets.