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The Influence of the Corporate News on Share Prices

Student: Sarbitova Ekaterina

Supervisor: Alexandra Galanova

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 7

Year of Graduation: 2018

In this paper the influence of corporate news on the stock prices was examined. The data included news of 9 public Russian companies from oil&gas, metal and mining industries. The time period covered 2013-2017. Using the event study approach news about earnings, dividends, management, production, share buyouts, financial and operational news were analyzed. All news in each type was classified as «positive» or «negative». Long and short event windows and two models for normal return calculation were employed. Significant influence was discovered for all types of news in the particular day of news publication. After few days influence of news about production and «other» news, some positive (about earnings, share buyouts, financial) and some negative (news about management and operational) remained significant. 10 days after news announcement only production news and some negative (operational and «other» news) have a significant impact on stock prices. We found no evidence of reaction asymmetry for all news except financial. Trading volume is influenced by news about earnings and negative news about production, management, dividends.

Full text (added May 15, 2018)

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