Institutional investors and the information content of earnings announcements: the case of Poland

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: This paper investigates the relationship between market reaction to earnings surprises and institutional concentration in the firm's shareholders base. We use data from the Polish stock market where pension funds form a homogenous and highly competitive investor class with an increasing share in the market capitalisation and trading volume. We find evidence that higher pension funds holdings in a company tend to reduce the magnitude of market reaction around public disclosures. We interpret these findings as an information advantage that funds have over individual investors, which may result from scale economies in gathering and processing public information, as well as from access to privileged information in the interim period. We also find that company mangers are selective as to the type of information they provide to the market prior to their scheduled disclosures. Terms of use: Documents in EconStor mayJEL Classification: G14, G23, M41

Testing for asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during 2000–2009

“…To the knowledge of the authors, in the context of emerging Central and Eastern European markets only three papers have so far focused on market reactions to earnings announcements. Korczak and Tavakkol (2004) investigated the relation between institutional ownership and the information content of earnings surprises on the Polish stock market during 1999-2002. Kiete and Uloza (2005) focused on market reactions to earnings announcements on the Riga and Vilnius Stock Exchanges during 2001.…”

“…In empirical research earnings expectations are either based on analyst forecasts (see for example Bamber and Cheon 1995;Conrad et al, 2002;Korczak and Tavakkol, 2004) or naïve models (see for example Bernard and Thomas, 1989;van Huffel et al, 1996;Kiete and Uloza, 2005). As on TSE, RSE and VSE the availability of analyst forecasts is limited to the post-2006 period and covers only a few stocks, only naïve expectations models could be used.…”

“…The most popular measure used in previous event studies focusing on earnings is return (for example Cready and Mynatt 1991;Bamber and Cheon, 1995;Conrad et al, 2002;Korczak and Tavakkol, 2004;Kiete and Uloza, 2005 etc. ), but several papers also consider different volume metrics (for example Bamber and Cheon, 1995;Cready and Hurtt, 2002;Korczak and Tavakkol, 2004).…”

“…The most popular measure used in previous event studies focusing on earnings is return (for example Cready and Mynatt 1991;Bamber and Cheon, 1995;Conrad et al, 2002;Korczak and Tavakkol, 2004;Kiete and Uloza, 2005 etc. ), but several papers also consider different volume metrics (for example Bamber and Cheon, 1995;Cready and Hurtt, 2002;Korczak and Tavakkol, 2004). Although previous empirical papers (Bamber and Cheon, 1995;Laidroo, 2008) have reported differences in relative magnitude of volume and return reactions, the authors failed to create reasonably well-performing volume expectation measures considering data availability limitations.…”

The Capital Markets of Emerging Europe: Institutions, Instruments and Investors

“…This enables greater diversification of portfolio risk, but contributes little towards the development of local capital markets. 33 Korczak and Tavakkol (2004), for instance, find that pension funds participating in the Polish stock market have some information advantage over other investors-company managers tend to share positive news with pension funds quickly, but hold on to negative news until the obligatory deadline.…”