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Dryf poogłoszeniowy na przykładzie certyfikatów inwestycyjnych notowanych na Giełdzie Papierów Wartościowych w Warszawie

Author

Listed:
  • Artur A. Trzebiński

    (Uniwersytet Ekonomiczny we Wrocławiu, Wydział Zarządzania, Informatyki i Finansów)

Abstract

Głównym celem artykułu było zbadanie wpływu publikowania kwartalnych sprawozdań finansowych zamkniętych funduszy inwestycyjnych na reakcje inwestorów oraz sprawdzenie, czy występuje zjawisko dryfu poogłoszeniowego. Badanie oparto na notowaniach certyfikatów inwestycyjnych na Giełdzie Papierów Wartościowych w Warszawie w latach 2004−2015. Wykorzystano analizę zdarzeń z przeciętną skumulowaną anormalną stopą zwrotu i modelem skorygowanym o średnią. Na podstawie uzyskanych rezultatów można potwierdzić wpływ publikowania kwartalnych sprawozdań finansowych na reakcje inwestorów, zwłaszcza gdy wyniki znacznie odbiegają od oczekiwanych zysków. Rezultaty badania potwierdzają także istnienie dryfu poogłoszeniowego, który utrzymuje się przynajmniej do 50. sesji od dnia opublikowania kwartalnych sprawozdań finansowych. Uwzględnienie wolumenu obrotu certyfikatami i liczby transakcji pozwoliło wykazać, że na podejmowane przez inwestorów decyzje oprócz czynników psychologicznych mogą także wpływać czynniki podatkowe.

Suggested Citation

  • Artur A. Trzebiński, 2017. "Dryf poogłoszeniowy na przykładzie certyfikatów inwestycyjnych notowanych na Giełdzie Papierów Wartościowych w Warszawie," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 173-196.
    • Handle: RePEc:nbp:nbpbik:v:48:y:2017:i:2:p:173-196
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    References listed on IDEAS

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    More about this item

    Keywords

    certyfikaty inwestycyjne; dryf poogłoszeniowy; reakcja inwestorów;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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