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PEAD na polskim rynku akcji

Author

Listed:
  • Marek Sojka

    (Bonum Quant Research)

Abstract

Celem pracy jest zbadanie reakcji kursów akcji na ogłoszenie zaskakujących wyników finansowych. Teoria rynku efektywnego zakłada, że każda informacja publicznie dostępna jest natychmiast odzwierciedlona w rynkowych cenach akcji, a więc nie można zarobić ponadprzeciętnej stopy zwrotu, podejmując decyzje na podstawie tych informacji. Tymczasem badania empiryczne na innych rynkach światowych dowodzą, że strategia inwestycyjna oparta na opublikowanych zaskakujących wynikach finansowych przynosi ponadprzeciętną rentowność. W pracy przedstawione zostało badanie empiryczne zjawiska PEAD (post earnings announcement drift) na polskim rynku akcji na podstawie danych za okres od 2004 do 2018 r. W badanym okresie implementacja strategii inwestycyjnej opartej na zjawisku PEAD dawała średnio rentowność 5,4% w ciągu 90 dni od utworzenia portfela

Suggested Citation

  • Marek Sojka, 2021. "PEAD na polskim rynku akcji," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 143-166.
    • Handle: RePEc:nbp:nbpbik:v:52:i:2:p:143-166
    as

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    File URL: https://bankikredyt.nbp.pl/content/2021/02/bik_02_2021_03.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    PEAD; efektywność rynku; anomalia rynkowa;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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