Open AccessTESTING THE IMPACT OF QUARTERLY RESULTS AND ANALYSTS’ EXPECTATIONS ON PRICES OF SELECTED EQUITIES
Author(s) -
Viktor Šoltés
Publication year - 2012
Publication title -
business, management and education
Language(s) - English
Resource type - Journals
eISSN - 2029-6169
pISSN - 2029-7491
DOI - 10.3846/bme.2012.12
Subject(s) - economics , volatility (finance) , econometrics , surprise , index (typography) , autoregressive conditional heteroskedasticity , financial economics , computer science , psychology , social psychology , world wide web
The aim of the article is to find the relationship between the growth and decline in the share price during the promulgation period of quarterly results of companies and surprise, either positive or negative in the quarterly results. Quarterly results are compared with the forecasts of analysts who publish their forecasts for quarterly results at Thomson Reuters and Bloomberg. Relationship is confirmed statistically, where stock returns in the period is the dependent variable, independent variables are three – return of the corresponding market index, excess impact – measure of surprise in quarterly results in comparison with analysts’ estimates and VIX index. Linear regression is used for testing of return and GARCH model is used for testing of volatility, there is focus on adaptation of actual volatility to the long-term average volatility after accidental shock