Analyst says a lot, but should you listen? Evidence from Russia

2020 ◽  
Vol 47 (4) ◽  
pp. 729-745 ◽  
Author(s):  
Darko Vukovic ◽  
Vladislav Ugolnikov ◽  
Moinak Maiti
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Emerging Market ◽  
Economic Situation ◽  
Analyst Recommendations ◽  
Russian Market ◽  
Content Type ◽  
Policy Content ◽  
Russian Stock Market ◽  
The Impact

PurposeThis study aims to examine whether the publication of analyst recommendations has reaction in the Russian stock market. This study also aims to determine the other factors that influence the reaction.Design/methodology/approachEvent study analysis (ESA) and regression models are used in this study.FindingsThe study finds that Russian stock market significantly reacts to analyst recommendations publications. Then study deeply investigates about the influence of other factors on the Russian market when an analyst's recommendations are published such as changes in recommendation levels, companies' size and general economic situation. The analysis done in the context of three types of recommendations: “buy,” “hold” and “sell.” The study finds that the market reacts not only to separate forecasts and subsequent recommendations, but also to the changes in recommendations' levels as well. Interestingly, the study finds that the impact of crises is not found to be a significant factor in the context of the Russian market.Research limitations/implicationsAnalysts used to spend much more resources on conducting a fundamental analysis than ordinary investors do. Therefore, they usually possess valuable privileged information that is supposed to influence stock prices when published. However, the present study argues that the direction, extent and period of a reaction of an analyst's recommendations are highly complicated and depend on what factors are under consideration in a particular research. Very often, the authors who dedicate their papers to develop and study markets choose a couple of (or even one) factors and delve into them. Nevertheless, to the author's best knowledge, few frequently cited and well-conducted research focused on such an emerging market as the Russian one. Thus, it seems reasonable that there is a gap in the literature that needs to be filled while considering other important factors. The study findings have a significant investment policy content.Originality/valueIn several senses, the present study is unique. First, it investigates whether analyst recommendations sufficiently affect the Russian stock market; second, it determines whether the significant factors such as changes in recommendation levels, companies' size and general economic situation have influence on the reaction. Finally, the study discusses about whether there is an impact of crises in the present study findings.

Russian stock market is unlikely to repeat 2019 gains

2020 ◽  
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Emerging Market ◽  
Oil Prices ◽  
Output Growth ◽  
Private Firm ◽  
Annual Growth ◽  
Content Type ◽  
Russian Stock Market

Subject The Russian stock market. Significance The Russian stock market offered high returns last year, as the Moscow stock exchange posted the highest annual growth of any of its emerging-market peers. The momentum carried over into January and the market reacted positively to a change in government, but the spread of the new coronavirus hit global oil prices. Impacts Low and declining Russian interest rates will encourage further investment inflows into equities. New IPO issuance will improve large firms' financial firepower. Output growth by Novatek should keep it in top position as Russia's most valuable private firm.

Life-cycle asset allocation and the peso problem: does ambiguity aversion matter?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nuno Silva
Keyword(s):  
Life Cycle ◽  
Stock Market ◽  
Asset Allocation ◽  
Stock Prices ◽  
Stock Price ◽  
Ambiguity Aversion ◽  
Content Type ◽  
Portfolio Decisions ◽  
State Of The Economy ◽  
The Impact

PurposeThe study aims to show that ambiguity aversion exerts a non-negligible effect on the investors' decisions, especially due to the possibility of sharp declines in stock prices.Design/methodology/approachThe vast majority of previous studies on life-cycle consumption and asset allocation assume that the equity premium is constant. This study evaluates the impact of rare disasters that shift the stock market to a low return state on investors' consumption and portfolio decisions. The author assumes that investors are averse to ambiguity relative to the current state of the economy and must incur a per period cost to participate in the stock market and solve their optimal consumption and asset allocation problem using dynamic programming.FindingsThe results show that most young investors choose not to invest in stocks because they have low accumulated wealth and the potential return from their stock market investments would not cover the participation costs. Furthermore, ambiguity-averse investors hold considerably fewer stocks throughout their lifetime than ambiguity-neutral ones. The fraction of wealth invested in stocks over the typical consumer's life is hump-shaped: it is low for a young individual, peaks at his early 30s and then decreases until his retirement age.Originality/valueTo the best of the author’s knowledge, this is the first study that assesses the impact of negative stock price jumps on the optimal portfolio of an ambiguity-averse investor.

On the linkage between stock market development and economic growth in emerging market economies

2015 ◽  
Vol 14 (4) ◽  
pp. 363-381 ◽  
Author(s):  
Pramod Kumar Naik ◽  
Puja Padhi
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Emerging Economies ◽  
Emerging Market ◽  
Market Development ◽  
Data Series ◽  
Annual Data ◽  
Content Type ◽  
Stock Market Development ◽  
The Impact

Purpose – The purpose of this study is to empirically examine the impact of stock market development on the economic growth for a panel of 27 emerging economies using annual data over the period from 1995 to 2012. Design/methodology/approach – A second-generation panel unit root test developed by Pesaran (2007) has been used to test the stationary properties of the data series. To achieve the study objectives and to mitigate the endogeneity problem that exists in the given model, the authors use a dynamic panel “system GMM” estimator. The authors also use a heterogeneous panel causality test proposed by Dumitrescu and Hurlin (2012) to examine the direction of causality among the variables. Findings – The empirical findings indicate that stock market development significantly contributes to economic growth. Further, a unidirectional causality running from stock market development to economic growth has been found. This finding is consistent with the supply-leading hypothesis. Besides stock market development, it is also evident that macroeconomic variables, such as investment ratio, trade openness and exchange rates, have significant impact on economic growth. Research limitations/implications – The findings suggest that a well-functioning stock market, a more globalized economy and increasing aggregate investment can potentially foster the economic growth in those emerging economies. Originality/value – Unlike other studies, this study constructs three alternate composite indices along with the individual indicators of stock market development and applies robust panel econometric techniques to establish more reliable results.

scholarly journals Impact of Global Oil Shocks on the Russian Stock Market

2021 ◽  
Vol 92 ◽  
pp. 07037
Author(s):  
Igor Lukasevich ◽  
Ludmila Chikileva
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Value Added ◽  
Stock Index ◽  
Series Data ◽  
Var Model ◽  
Oil Shocks ◽  
Russian Market ◽  
Russian Stock Market ◽  
The Impact

Research background: The study focuses on modeling assessment of oil shocks impact on the Russian stock market. Purpose of the article: The purpose of the study is to determine the impact of oil prices abrupt changes on the Russian stock market, its quantitative and temporal specifications. The study consists of two interrelated sections. The first section includes the results of statistical processing of initial data, calculation of their key characteristics and preliminary analysis. The second section of the study is devoted to modeling the assessment of the impact of oil shocks on the behavior of the Russian market RTS stock index. Methods: Based on an extensive sample of daily price values for Brent North sea oil and the Russian stock index RTS for the period from 1997 to May 2020, the study was conducted using models vector auto regression (VAR-model). Findings &Value added: The VAR model was developed and tested to assess the impact of oil shocks on the Russian stock market. Unlike the results of other studies, it is shown that the Brent oil price variance explains only about 10% of the RTS index yield variance in long-term time intervals. The low correlation of time series data and time limit of the impact of oil shocks on the Russian market have been revealed. According to the results of the study, the market recovery takes about 2 months, then the stock index returns to the ‘historical’ range of average ± standard deviation.

Effect of advertising expenditures on analyst coverage: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Omar Farooq ◽  
Harit Satt ◽  
Fatimazahra Bendriouch
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Positive Impact ◽  
Emerging Market ◽  
Ordinary Least Squares ◽  
Information Asymmetries ◽  
Analyst Coverage ◽  
Content Type ◽  
The Impact ◽  
Advertising Activity

PurposeThis paper aims to document the relationship between advertising expenditures and analyst coverage in a sample of Indian firms during the period between 2000 and 2019.Design/methodology/approachIn order to test the effect of advertising expenditures on the extent of analyst coverage, the authors estimate various versions of pooled ordinary least squares (OLS) regression. The dependent variable (ANALYST) measures the total number of analysts covering a firm in a given year. The main independent variable of interest in this paper represents the advertising activity. The authors define the extent of advertising activity (ADVERT) as the ratio of total advertising expenditures and total assets.FindingsThe study’s results show that advertising expenditures have a significantly positive impact on the extent of analyst coverage and are robust across various proxies of the key variables and various estimation procedures.Practical implicationsThere are a number of key takeaways from our study. First, firms that expend more resources on advertising are more likely to be followed by analysts which is associated with better performance, lower information asymmetries associated and high advertising expenditures. Second, stock prices with more information embedded in them may signify that these firms receive more attention from investors and have lower information asymmetries. And finally the impact of advertising on the decision of an analyst to cover a firm becomes more pronounced for firms with high stock price synchronicity. All these three main conclusions are giving investors a clear insight on analyst coverage, advertising expenditure and the link between the two.Originality/valueThe results are consistent with the argument that advertising expenditures induces analysts to cover firms because firms with high advertising activities are more likely to have better performance, lower information asymmetries and increased attention from investors. All of these factors are supposed to facilitate the analyst coverage.

Corporate governance disclosure and share price accuracy

2015 ◽  
Vol 16 (2) ◽  
pp. 265-286 ◽  
Author(s):  
Walaa Wahid ElKelish ◽  
Mostafa Kamal Hassan
Keyword(s):  
Corporate Governance ◽  
Regression Analysis ◽  
Stock Market ◽  
Emerging Market ◽  
Business Environment ◽  
Share Price ◽  
Content Type ◽  
International Good ◽  
The Impact ◽  
Governance Disclosure

Purpose – The purpose of this paper is to investigate the impact of corporate governance disclosure on share price accuracy of listed companies in the United Arab Emirates (UAE). Design/methodology/approach – Data on corporate governance disclosure were obtained from the financial statements of companies listed in the UAE stock market, and share price accuracy indices were crafted from each company’s weekly share price returns between 2008 and 2009, using generalized least squares regression analysis. Multiple regression analysis with fixed effects was then implemented to test the study hypotheses. Findings – Voluntary corporate governance disclosure has a significant positive impact on share price accuracy. There is also evidence that mandatory corporate governance disclosure plays an important positive role on share price accuracy in the UAE business environment. Research limitations/implications – This paper covers a two-year transitional period during implementation of a new corporate governance code in the emerging market of the UAE. Practical implications – This paper encourages corporate managers in the UAE, as well as in other countries with similar business conditions, to review their voluntary corporate governance disclosure policies in accordance with international good practice. The authors suggest that regulators and accounting standard setters should extend mandatory corporate governance disclosure rules for the benefit of stock market participants and the overall welfare of the economy. Originality/value – This paper extends the literature on the relationship between accounting disclosure and share price accuracy to include corporate governance disclosure in emerging market economies such as the UAE. It also shows the importance of both voluntary and mandatory corporate governance disclosure.

scholarly journals The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dao Le Trang Anh ◽  
Christopher Gan
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Negative Impact ◽  
Emerging Market ◽  
Positive Influence ◽  
Stock Performance ◽  
Content Type ◽  
Stock Market Performance ◽  
Daily Stock Returns ◽  
The Impact

PurposeThis study explores the effects of the COVID-19 outbreak and its following lockdown on daily stock returns in Vietnam, a fast-growing emerging market that successfully revived after the pandemic lockdown.Design/methodology/approachThis study uses panel-data regression models to evaluate the influence of the daily increase in the number of COVID-19 confirmed cases during pre-lockdown and lockdown on daily stock returns of 723 listed firms in Vietnam from 30 January to 30 May 2020.FindingsThe study confirms the adverse impact of the daily increasing number of COVID-19 cases on stock returns in Vietnam. The study also discloses that the Vietnam stock market before and during the nationwide lockdown performed in opposing ways. Though COVID-19 pre-lockdown had a significant, negative impact on Vietnam's stock returns, the lockdown period had a significant, positive influence on stock performance of the entire market and the different business sectors in Vietnam. The financial sector was hardest hit on the Vietnam stock market during the COVID-19 outbreak.Research limitations/implicationsThe study indicates investors' confidence and trust in the Vietnam government's decisions to combat COVID-19 and favorable stocks prices were the main reasons that the Vietnam stock market rebounded during and after lockdown.Originality/valueThis is the first study to examine the impact of COVID-19 during the pre-lockdown and lockdown periods on stock performance in Vietnam, a rapidly developing economy that was successful in controlling the pandemic with a rejuvenated stock market after lockdown.

scholarly journals Macro-Economic Variables and Stock Prices: Empirical Evidence From Sri Lanka

2019 ◽  
Vol 9 (4) ◽  
pp. 148
Author(s):  
S. Anandasayanan
Keyword(s):  
Interest Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Unemployment Rate ◽  
Stock Prices ◽  
Emerging Market ◽  
Series Data ◽  
Economic Variables ◽  
Macroeconomic Variables ◽  
The Impact

Economic strength in a country could be measured by macroeconomics variables. Inflation, interest rate, unemployment rate and GDP Deflator are some macroeconomics variables that show economic condition in Sri Lanka. The impact of macro-economic variables on share prices is uncontrollable. This study investigates the relationship between macroeconomic variables and stock prices in Sri Lankan stock market using yearly time series data for the period from 1990 to 2017. The Ordinary Least Square regression was carried out using four macroeconomic variables for stock prices. The results shows that the higher R Square value (72.4911) which justifies higher explanatory power of macroeconomic variables in explaining stock prices. Consistent with similar results of the developed as well as emerging market studies, interest rate and inflation rate and unemployment rate react mainly negatively to stock prices in the Colombo Stock Exchange. These findings hold practical implications for policy makers, stock market regulators, investors and stock market analysts.

Fundamental and Technical Trading in the Emerging Market of an Oil-Based Economy

2019 ◽  
Vol 22 (01) ◽  
pp. 1950006
Author(s):  
Sulaiman Al-Jassar
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Emerging Market ◽  
Fundamental Analysis ◽  
Price Determination ◽  
Technical Trading ◽  
Governmental Intervention ◽  
The Government ◽  
The Impact

This paper investigates the roles played by technicians and fundamentalists in the emerging stock market of Kuwait. The impact on stock prices of traders whose actions are founded on technical analysis is differentiated from the impact of traders whose actions are based on fundamental analysis. This differentiation is performed by formulating, estimating and testing a model relating changes in stock prices to the actions of fundamentalists, technicians and the government. Both technicians and fundamentalists are found to contribute to stock price determination, with the former contribution appearing more significant, even when accounting for governmental intervention. Some explanations for these findings are presented.

The relationship between individual investor sentiment, stock return and volatility

2015 ◽  
Vol 10 (3) ◽  
pp. 504-520 ◽  
Author(s):  
Mustafa Sayim ◽  
Hamid Rahman
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Emerging Market ◽  
Investor Sentiment ◽  
Individual Investor ◽  
Content Type ◽  
Investor Sentiments ◽  
Market Fundamentals ◽  
The Impact

Purpose – The purpose of this paper is to examine the impact of Turkish individual investor sentiment on the Istanbul Stock Exchange (ISE) and to investigate whether investor sentiment, stock return and volatility in Turkey are related. Design/methodology/approach – This study used the monthly Turkish Consumer Confidence Index, published by the Turkish Statistical Institute, as a proxy for individual investor sentiments. First, Turkish market fundamentals were regressed on investor sentiments in order to capture the effects of macroeconomic risk factors on investor sentiments. Then, it used the impulse response functions (IRFs) generated from the vector autoregression (VAR) model to examine the effect of unanticipated movements in Turkish investor sentiment to both stock returns and volatility of the ISE. Findings – The generalized IRFs from VAR shows that unexpected changes in rational and irrational investor sentiment have a significant positive impact on ISE returns. This suggests that a positive investor sentiment tends to increase ISE returns. The study also documents that unanticipated increase in the rational component of Turkish investor sentiment has a negative significant effect on ISE volatility. This might indicate that investors have optimistic expectations of the economy overall with respect to market fundamentals in Turkey. This optimism can result in creating positive expectations, reducing uncertainty, and reducing the volatility of stock market returns. Research limitations/implications – The study was applied only for the period 2004-2010 on the ISE stock returns and volatility. Practical implications – Regardless, investors should know the impact of irrational investor sentiments while establishing investment strategies. The results of this study may also help policy makers stabilize investor sentiments to reduce stock market volatility and uncertainty. Originality/value – This paper adds to the limited understanding of investor sentiment impact on stock return and volatility in an emerging market context.

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