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The Impact of Disclosure Sentiment on Russian Companies Share Prices

Student: Maksim Kopyrin

Supervisor: Iuliia N. Naidenova

Faculty: Faculty of Economics, Management, and Business Informatics

Educational Programme: Economics (Bachelor)

Final Grade: 10

Year of Graduation: 2019

Information published by news aggregators about Russian companies often is emotionally toned. It is one of the possible reasons why investors might change their mind, which will consequently be the cause to the change in the share prices. This paper examines the hypotheses about the impact of dividend and development news tone on Russian companies share prices. Several models based on financial and non-financial data of 49 Russian public companies included in Moscow exchange index in period from the end of 2017 to the beginning of 2019 were estimated via least square method. The positive significant impact of news text tone on Russian share prices was revealed. Also results of the analysis show that the tone impact effect significantly depends on news category. Additionally, the linear relationship between the value of sentiment and the value of the reaction of investors was identified.

Full text (added May 20, 2019)

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