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Gyorsjelentés - lassú árfolyam? A gyorsjelentés utáni árfolyamsodródás vizsgálata a magyar részvénypiacon
[Post-earnings announcement drift on the Hungarian stock market]

Author

Listed:
  • Neszveda, Gábor
  • Csillag, Balázs

Abstract

A hatékony piacok elmélete szerint egy adott részvény árfolyama tartalmazza az összes piacon elérhető információt, az empirikus kutatások azonban megmutatták, hogy a piacok gyakran nem felelnek meg az információs hatékonyság kritériumának. Az árfolyamsodródás szerint a gyorsjelentésekben közzétett információk nem azonnal épülnek be a részvényárfolyamokba, hanem a közzététel után még hetekig kifejtik hatásukat. Tanulmányunkban megvizsgáljuk, hogy a gyorsjelentés utáni árfolyamsodródás megfigyelhető-e a magyar piacon a 2009-2019 közötti időszakban. Az erre a stratégiára épülő portfóliók átlagos havi hozama a vizsgált időszakban 2,04 százalék. A kiugró (outlier) értékek kezelése után a Fama-MacBeth-féle regressziókban az árfolyamsodródást megragadó változó együtthatója, egyedül szerepeltetve, nullától különböző hozamot eredményez. A mögöttes befektetői viselkedés feltárásához megvizsgáljuk, hogy a hatás mennyire köszönhető a befektetők korlátozott figyelmének. Abban az esetben, ha a pénteki napokon nem valósítjuk meg a kereskedést, nagymértékben csökken a stratégiával elérhető hozam mértéke, azonban továbbra is szignifikáns marad. Ez azt sugallja, hogy ugyan nem a korlátozott figyelem hajtja teljes mértékben az árfolyamsodródást, azonban nagymértékben hat rá, hiszen pénteken a befektetők a heti határidők betartása és a hétvége közelsége miatt valószínűbb, hogy lemaradnak egy-egy jelentésről, így ez az információ hosszabb idő alatt épülhet be az árfolyamokba. Journal of Economic Literature (JEL) kód: G11, G12.

Suggested Citation

  • Neszveda, Gábor & Csillag, Balázs, 2022. "Gyorsjelentés - lassú árfolyam? A gyorsjelentés utáni árfolyamsodródás vizsgálata a magyar részvénypiacon [Post-earnings announcement drift on the Hungarian stock market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 801-824.
    • Handle: RePEc:ksa:szemle:2060
    DOI: 10.18414/KSZ.2022.7-8.801
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    References listed on IDEAS

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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