Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009
This paper investigates asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000-2009. The results show weak evidence that the reaction to negative earnings news is lower than to positive news. Earnings response coefficients tend to be the largest in recession and lowest in expansion, but in most cases the differences between them are not big enough to be statistically significant. The results indicate some support for overreaction to bad news in expansion and underreaction to good news in recession. However, due to limitations of this paper arising from the naïve earnings expectations models used and differences in results reported using different state of the economy measures, more powerful tests on more developed markets with better data availability are needed to verify reported tendencies.
Volume (Year): 12 (2012)
Issue (Month): 1 (July)
Pages: 61- 86
|Contact details of provider:|| Postal: |
Phone: +371 67039320
Fax: +371 67039318
Web page: http://www.biceps.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007.
"Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets,"
CREATES Research Papers
2007-20, School of Economics and Management, University of Aarhus.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2006. "Real-time price discovery in global stock, bond and foreign exchange markets," International Finance Discussion Papers 871, Board of Governors of the Federal Reserve System (U.S.).
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998.
"A model of investor sentiment,"
Journal of Financial Economics,
Elsevier, vol. 49(3), pages 307-343, September.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- Itay Kama, 2009. "On the Market Reaction to Revenue and Earnings Surprises," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 31-50.
- Korczak, Piotr & Tavakkol, Amir, 2004.
"Institutional investors and the information content of earnings announcements: the case of Poland,"
Elsevier, vol. 28(2), pages 193-208, June.
- Tavakkol, Amir & Korczak, Piotr, 2005. "Institutional Investors and the Information Content of Earnings Announcements: The Case of Poland," Working Paper Series 2005,3, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
- Hautsch, Nikolaus & Hess, Dieter, 2004.
"Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery,"
CFR Working Papers
04-10, University of Cologne, Centre for Financial Research (CFR).
- Hautsch, Nikolaus & Hess, Dieter, 2007. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(01), pages 189-208, March.
- Nikolaus Hautsch & Dieter Hess, 2004. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Discussion Papers 04-17, University of Copenhagen. Department of Economics.
- Nikolaus Hautsch & Dieter Hess, 2004. "Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery," FRU Working Papers 2004/06, University of Copenhagen. Department of Economics. Finance Research Unit.
- Johan Knif & James Kolari & Seppo Pynnönen, 2008. "Stock Market Reaction To Good And Bad Inflation News," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 141-166.
- Lemmens, Aurelie & Croux, Christophe & Dekimpe, Marnik G., 2005. "On the predictive content of production surveys: A pan-European study," International Journal of Forecasting, Elsevier, vol. 21(2), pages 363-375.
- Hahn, TeWhan & Reyes, Mario G., 2004. "On the estimation of stock-market reaction to corporate layoff announcements," Review of Financial Economics, Elsevier, vol. 13(4), pages 357-370.
- P. Diamond, 1980.
"Aggregate Demand Management in Search Equilibrium,"
268, Massachusetts Institute of Technology (MIT), Department of Economics.
- Lemmens, A. & Croux, C. & Dekimpe, M.G., 2005. "On the Predictive Content of Production Surveys : a Pan-European Study," Other publications TiSEM adab9f0e-7dfd-4dc4-bd92-b, Tilburg University, School of Economics and Management.
- Laakkonen, Helinä & Lanne, Markku, 2008.
"Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times,"
8296, University Library of Munich, Germany.
- Laakkonen Helinä & Lanne Markku, 2009. "Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-38, December.
- Veronesi, Pietro, 1999. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 975-1007.
- Yexiao Xu & Burton G. Malkiel, 2003. "Investigating the Behavior of Idiosyncratic Volatility," The Journal of Business, University of Chicago Press, vol. 76(4), pages 613-644, October.
- repec:ner:tilbur:urn:nbn:nl:ui:12-5661263 is not listed on IDEAS
- Gert van Huffel & Philip Joos & Hubert Ooghe, 1996. "Semi-annual earnings announcements and market reaction: some recent findings for a small capital market," European Accounting Review, Taylor & Francis Journals, vol. 5(4), pages 693-713.
- Pearce, Douglas K. & Solakoglu, M. Nihat, 2007. "Macroeconomic news and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 307-325, October.
- Pascal Dumontier & Bernard Raffournier, 2002. "Accounting and capital markets: a survey of the European evidence," European Accounting Review, Taylor & Francis Journals, vol. 11(1), pages 119-151.
- Greg Adams & Grant McQueen & Robert Wood, 2004. "The Effects of Inflation News on High Frequency Stock Returns," The Journal of Business, University of Chicago Press, vol. 77(3), pages 547-574, July.
- Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
- Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
- Jennifer Conrad & Bradford Cornell & Wayne R. Landsman, 2002. "When Is Bad News Really Bad News?," Journal of Finance, American Finance Association, vol. 57(6), pages 2507-2532, December.
When requesting a correction, please mention this item's handle: RePEc:bic:journl:v:12:y:2012:i:1:p:61-86. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lelde Ivankova)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.