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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Grigoriy Vysotskiy
Insufficient and Hyper Reaction of the Market to News
Economics
(Bachelor’s programme)
2018
The topic of the market reaction to the news is as old as the world, but over time, it becomes more interesting - it is clearly traced by the growth in the number of publications in the course of time. In connection with the growth of publications, new theoretical approaches appear, the influence of new news is examined and the trend is changed over time. This paper examines the impact of the publication of quarterly reports and the closure of the register of shareholders by the Cumulative abnormal return (CAR) method. 14 Russian companies participate in the sample. In the course of the work, there is a tendency towards a positive hyperreaction of the market to the closure of the register and a weak reaction to news, with a slight bias in the negative side, about the publication of reports. Regression analysis, as in most of the previous work with the CAR method, yielded no significant results, but statistical verification of the results showed that a large proportion of values obtained through CAR are significant at a confidence interval of 5%.

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