Information Impact of Financial Result Deviation from the Market Consensus
DOI:
https://doi.org/10.33119/SIP.2019.176.7Keywords:
informational efficiency, capital markets, net financial result, market capitalizationAbstract
This paper belongs to the body of capital market research in accounting. The author is trying to esti- mate the impact of deviation from the market consensus reflected in corporate periodic reports of net result on market capitalization of companies. Expected net result was estimated based on forecasts of experts interviewed by the Polish Press Agency [Polska Agencja Prasowa]. To validate the hypothesis about the relevance of reported net result we used the event study methodology, which measures the strength of reaction to different events (information). The methodology was supposed to assess the occurrence of events when higher than expected rates of return were reported in periods directly preceding and following the date of submission of corporate interim reports. Based on the researched sample of 22 quarterly reports filed over the period 2013-2018 by each company included in the WIG20 index the author observed statistically significant excess rates of return on days t-4 and t+2 for all the sample. When the sample is divided into two sets comprising higher positive or negative (above 10%) deviations the significance of obtained results is even greater, especially for net financial result lower than the one expected by the market
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References
Dokumenty prawne
1. Dyrektywa Parlamentu Europejskiego i Rady 2013/34/UE z dnia 26 czerwca 2013 r. w sprawie rocznych sprawozdań finansowych, skonsolidowanych sprawozdań finansowych i powiąza¬nych sprawozdań niektórych rodzajów jednostek, Dz.U. UE z 2013 r., poz. L182/19.
Wydawnictwa zwarte
1. Davies T., Boczko T., Chen J. [2008], Strategic Corporate Finance, McGraw-Hill, New York.
2. Grabiński K., Kędzior M., Krasodomska J. [2014], Współczesna rachunkowość na rynkach kapitałowych, Difin, Warszawa.
3. Gurgul H. [2012], Analiza zdarzeń na rynkach akcji. Wpływ informacji na ceny papierów war-tościowych, Oficyna Wolters Kluwer Business, Warszawa.
4. Haugen R. A. [1996], Teoria współczesnego inwestowania, WIG-Press, Warszawa.
5. Krivin D., Patton R., Rose E., Tabak D. [2003], Determination of the Apropriate Event Window Length in Individual Stock Event Studies, NERA Working Paper, New York.
6. Messner Z. [2010], Rachunkowość finansowa w systemie informacji ekonomicznej, w: Rachun-kowość finansowa, red. Z. Messner, Wydawnictwo Akademii Ekonomicznej w Katowicach, Katowice.
7. Sudarsanam S. [2003], Creating Value from Mergers and Acquisitions. The challenges, FTPren- ticeHall, New Jersey.
8. Wiśniakowska L. [2016], Słownik wyrazów bliskoznacznych, Wydawnictwo Naukowe PWN, Warszawa.
Artykuły prasowe i okolicznościowe
1. Abayedeera N. [2010], Value Relevance of Information in Hi-Tech Industries in Australia: Accounting Information and Intangible AssetsDisclosures, „Global Review of Accounting and Finance”, vol. 1, no. 1.
2. Andrzejewski A., Mazur-Maślanka I. [2017], Memoriałowe a kasowe stopy zwrotu na podsta¬wie przedsiębiorstw przemysłu spożywczego notowanych na GPW w Warszawie, „Studia Eko-nomiczne”, nr 345.
3. Apergis N., Artikis G., Eleftheriou S., Sorros J. [2012], Accounting Information and Excess Stock Returns: The Role of the Cost of Capital - New Evidence from US Firm-level Data, „Applied Financial Economics”, vol. 22, no. 4.
4. Ball R., Brown P. [1968], An Empirical Evaluation of Accounting Income Numbers, „Journal of Accounting Research”, vol. 6, no. 2.
5. Bamber L. S. [1986], The Information Content of Annual Earnings Releases: Trading Volume Approach, „Journal of Accunting Research”, vol. 24, iss. 1.
6. Barth M. E., Beaver W. H., Landsman W. R. [1998], Relative Valuation Roles of Equity Book Value and Net Income as a Function of Financial Health, „Journal of Accounting & Econom- ics”, vol. 25, iss. 1.
7. Baruch L., Zarowin P. [1999], The Boundaries of Financial Reporting and How to Extend Them, „Journal of Accounting Research”, vol. 37, no. 2.
8. Beaver W., Clarke R., Wright F. [1979], The Association between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors, „Journal of Accounting Research”, vol. 17, no. 2.
9. Buła, R. [2014], Efektywność informacyjna a zachowanie cen akcji tworzących indeks WIG20, „Studia Ekonomiczne”, nr 177.
10. Campbell J. Y., Grossman S.J., Wang J. [1997], Trading Volume and Serial Corelation in Stock Returns, „Quaterly Journal of Economics”, vol. 108.
11. Cheng C. [1994], A Simple Framework for Modeling the Explicit Earnings-returns Relation, „The Chinese Accounting Review”, vol. 28.
12. Collins D.W., Maydew E.L., Weiss I. [1997], Changes in the Value-relevance of Earnings and Book Values over the Past Forty Years, „Journal of Accounting and Economics”, vol. 24, iss. 1.
13. De Andrade L.L., dos Santos N.S. [2017], Accounting Information and Stock Returns: Evidences from Brazil, „International Journal of Management, Accounting & Economics”, vol. 4, no. 5.
14. Dorantes Dosamantes A. [2013], The Relevance of Using Accounting Fundamentals in the Mexican Stock Market, „Journal of Economics, Finance & Administrative Science”, vol. 18.
15. Fama E. F. [1970], Efficient Capital Markets: A Review of Theory and Empirical Work, „The Journal of Finance”, vol. 25, iss. 2.
16. Fama E. F., Fisher L., Jensen M.C., Roll R. [1969], The Adjustment of Stock Prices to New Information, „International Review”, vol. 10.
17. Francis J., Schipper K. [1999], Have Financial Statements Lost their Relevance?, „Journal of Accounting Research”, vol. 37, no. 2.
18. Gajewski J. F., Quere B. [2001], The Information Content of Earnings and Turnover Announcements in France, „European Accounting Review”, vol. 19.
19. Goodwin J., Ahmad K. [2006], Longitudinal Value Relevance of Earnings and Intangible Assets: Evidence from Australian Firms, „Journal of International Accounting, Auditing & Taxation”, vol. 15.
20. Graham C. M., Cannice M. V., Sayre T. L. [2002], The Value-relevance of Financial and Non- financial Information for Internet Companies, „Thunderbird International Business Review”, vol. 44, iss. 1.
21. Hellstrom K. [2006], The Value Relevance of Financial Accounting Information in a Transi- tion Economy: The Case of the Czech Republic, „European Accounting Review”, vol. 15, iss. 3.
22. Holthausen R. W., Watts R. L. [2001], The Relevance of the Value-relevance Literature for Financial Accounting Standards Setting, „Journal of Accounting & Economics”, vol. 31, s 1-3.
23. Hulian M. [2015], The Usefulness of Accounting Information on Financial Instruments to Inves- tors Assessing Non-financial Companies. An Empirical Analysis on the Bucharest Stock Exchange, „Accounting & Management Information Systems”, vol. 14, no. 4.
24. Khanagha J. B., Mohamad S., Hassan T., Sori Z. [2011], The Impact of Reforms on the Value Relevance of Accounting Information: Evidence from Iran, „African Journal of Business Man- agement”, vol. 5, no. 1.
25. Kimbrough M. D. [2005], The Effect of Conference Calls on Analyst and Market Underreaction to Earnings Announcements, „The Accounting Review”, no. 1, vol. 80.
26. Kormendi R., Lipe R. [1987], Earnings Innovations, Earnings Persistence, and Stock Returns, „Journal of Business”, vol. 60, no. 3.
27. Kothari S. P. [2001], Capital Market Research in Accounting, „Journal of Accounting and Economics”, vol. 31, iss. 1-3.
28. Lisicki B. [2018], Wpływ uwolnienia kursu franka szwajcarskiego na krótkoterminowe stopy zwrotu z notowań akcji banków na GPW w Warszawie, „Przedsiębiorstwo & Finanse”, nr 1.
29. Marshall A. [1890], Principles of Economics, Willey Online Library.
30. Martinez I. [2003], The Impact of Firm-specific Attributes on the Relevance in Earnings and Cash-flows: A Nonlinear Relationship between Stock Returns and Accounting Numbers, „Review of Accounting and Finance”, vol. 2, no. 1.
31. Mazurczak-Mąka A. [2013], Raporty okresowe spółek notowanych na rynku regulowanym w Polsce jako podstawowe źródło informacji dla inwestorów, „Studia Ekonomiczne”, nr 174.
32. Michaely R., Thaler R., Womack K. [1995], Price Reaction to Dividend Initiations and Omis- sions, „Journal of Finance”, vol. 50, no. 2.
33. Mitchell M. L., Stafford E. [1999], Managerial Decisions and Long-term Stock Price Perfor¬mance, CRSP Working Paper, no. 453.
34. Mouselli S., Jaafar A., Goddard J. [2013], Accruals Quality, Stock Returns and Asset Pricing: Evidence from the U', „International Review of Financial Analysis”, vol. 30.
35. Negakis C. J. [2005], Accounting and Capital Markets Research: A Review, „Managerial Finance”, vol. 31, iss. 2.
36. Ohlson J. [1990], A Synthesis of Security Valuation Theory and the Role of Dividends, Cash Flows, and Earnings, „Contemporary Accounting Research”, vol. 6, no. 2.
37. Osundina J., Olajumoke O., Ifayemi M. [2016], Impact of Accounting Information on Stock Price Volatility (A Study of Selected Quoted Manufacturing Companies in Nigeria), „The International Journal of Business and Management Research”, vol. 5, iss. 11.
38. Poniatowska L. [2013], Wpływ wyceny bilansowej na definiowanie i pomiar wyniku finanso¬wego, „Studia i Prace Kolegium Zarządzania i Finansów”, nr 130.
39. Riley R. A., Pearson T.A., Trompeter G. [2003], The Value Relevance of Non-financial Perfor¬mance Variables and Accounting Information: The Case of the Airline Industry, „Journal of Accounting & Public Policy”, vol. 22, no. 3.
40. Salisteanu S. [2014], Economic and Accounting Information and Stock Market Efficiency, „Chal- lenges of the Knowledge Society”, vol. 4, no. 1.
41. Sharpe W. [1992], Asset Allocation: Management Style and Performance Measurement, „Jour- nal of Portfolio Management”, vol. 18 no. 2.
42. Sok-Hyon K., Yuping Z. [2010], Information Content and Value Relevance of Depreciation: A Cross-Industry Analysis, „The Accounting Review”, vol. 85, no. 1.
43. Tan P. M., Lim C. Y. [2007], The Value Relevance of Accounting Variable and Analysts' Forecasts: The Case of Biotechnology Firm, „Review of Accounting & Finance”, vol. 6, no. 3.
44. Utama S., Cready W. M. [1997], Institutional Ownership, Differential Predisclosure Precision and Trading Volume at Announcement Dates, „Journal of Accounting and Economics”, vol. 24, iss. 2.
45. Vultur P. [2018], Study Based on the Importance of the Information Provided by Management Accounting on the Managerial Process in the Joint Stock Companies in the North-East Area of Moldova, „USV Annals of Economics & Public Administration”, vol. 18, no. 1.
46. Watts R. L., Zimmerman J. L. [1990], Positive Accounting Theory: A Ten Year Perspective, „The Accounting Review”, vol. 65, no. 1
1. Dyrektywa Parlamentu Europejskiego i Rady 2013/34/UE z dnia 26 czerwca 2013 r. w sprawie rocznych sprawozdań finansowych, skonsolidowanych sprawozdań finansowych i powiąza¬nych sprawozdań niektórych rodzajów jednostek, Dz.U. UE z 2013 r., poz. L182/19.
Wydawnictwa zwarte
1. Davies T., Boczko T., Chen J. [2008], Strategic Corporate Finance, McGraw-Hill, New York.
2. Grabiński K., Kędzior M., Krasodomska J. [2014], Współczesna rachunkowość na rynkach kapitałowych, Difin, Warszawa.
3. Gurgul H. [2012], Analiza zdarzeń na rynkach akcji. Wpływ informacji na ceny papierów war-tościowych, Oficyna Wolters Kluwer Business, Warszawa.
4. Haugen R. A. [1996], Teoria współczesnego inwestowania, WIG-Press, Warszawa.
5. Krivin D., Patton R., Rose E., Tabak D. [2003], Determination of the Apropriate Event Window Length in Individual Stock Event Studies, NERA Working Paper, New York.
6. Messner Z. [2010], Rachunkowość finansowa w systemie informacji ekonomicznej, w: Rachun-kowość finansowa, red. Z. Messner, Wydawnictwo Akademii Ekonomicznej w Katowicach, Katowice.
7. Sudarsanam S. [2003], Creating Value from Mergers and Acquisitions. The challenges, FTPren- ticeHall, New Jersey.
8. Wiśniakowska L. [2016], Słownik wyrazów bliskoznacznych, Wydawnictwo Naukowe PWN, Warszawa.
Artykuły prasowe i okolicznościowe
1. Abayedeera N. [2010], Value Relevance of Information in Hi-Tech Industries in Australia: Accounting Information and Intangible AssetsDisclosures, „Global Review of Accounting and Finance”, vol. 1, no. 1.
2. Andrzejewski A., Mazur-Maślanka I. [2017], Memoriałowe a kasowe stopy zwrotu na podsta¬wie przedsiębiorstw przemysłu spożywczego notowanych na GPW w Warszawie, „Studia Eko-nomiczne”, nr 345.
3. Apergis N., Artikis G., Eleftheriou S., Sorros J. [2012], Accounting Information and Excess Stock Returns: The Role of the Cost of Capital - New Evidence from US Firm-level Data, „Applied Financial Economics”, vol. 22, no. 4.
4. Ball R., Brown P. [1968], An Empirical Evaluation of Accounting Income Numbers, „Journal of Accounting Research”, vol. 6, no. 2.
5. Bamber L. S. [1986], The Information Content of Annual Earnings Releases: Trading Volume Approach, „Journal of Accunting Research”, vol. 24, iss. 1.
6. Barth M. E., Beaver W. H., Landsman W. R. [1998], Relative Valuation Roles of Equity Book Value and Net Income as a Function of Financial Health, „Journal of Accounting & Econom- ics”, vol. 25, iss. 1.
7. Baruch L., Zarowin P. [1999], The Boundaries of Financial Reporting and How to Extend Them, „Journal of Accounting Research”, vol. 37, no. 2.
8. Beaver W., Clarke R., Wright F. [1979], The Association between Unsystematic Security Returns and the Magnitude of Earnings Forecast Errors, „Journal of Accounting Research”, vol. 17, no. 2.
9. Buła, R. [2014], Efektywność informacyjna a zachowanie cen akcji tworzących indeks WIG20, „Studia Ekonomiczne”, nr 177.
10. Campbell J. Y., Grossman S.J., Wang J. [1997], Trading Volume and Serial Corelation in Stock Returns, „Quaterly Journal of Economics”, vol. 108.
11. Cheng C. [1994], A Simple Framework for Modeling the Explicit Earnings-returns Relation, „The Chinese Accounting Review”, vol. 28.
12. Collins D.W., Maydew E.L., Weiss I. [1997], Changes in the Value-relevance of Earnings and Book Values over the Past Forty Years, „Journal of Accounting and Economics”, vol. 24, iss. 1.
13. De Andrade L.L., dos Santos N.S. [2017], Accounting Information and Stock Returns: Evidences from Brazil, „International Journal of Management, Accounting & Economics”, vol. 4, no. 5.
14. Dorantes Dosamantes A. [2013], The Relevance of Using Accounting Fundamentals in the Mexican Stock Market, „Journal of Economics, Finance & Administrative Science”, vol. 18.
15. Fama E. F. [1970], Efficient Capital Markets: A Review of Theory and Empirical Work, „The Journal of Finance”, vol. 25, iss. 2.
16. Fama E. F., Fisher L., Jensen M.C., Roll R. [1969], The Adjustment of Stock Prices to New Information, „International Review”, vol. 10.
17. Francis J., Schipper K. [1999], Have Financial Statements Lost their Relevance?, „Journal of Accounting Research”, vol. 37, no. 2.
18. Gajewski J. F., Quere B. [2001], The Information Content of Earnings and Turnover Announcements in France, „European Accounting Review”, vol. 19.
19. Goodwin J., Ahmad K. [2006], Longitudinal Value Relevance of Earnings and Intangible Assets: Evidence from Australian Firms, „Journal of International Accounting, Auditing & Taxation”, vol. 15.
20. Graham C. M., Cannice M. V., Sayre T. L. [2002], The Value-relevance of Financial and Non- financial Information for Internet Companies, „Thunderbird International Business Review”, vol. 44, iss. 1.
21. Hellstrom K. [2006], The Value Relevance of Financial Accounting Information in a Transi- tion Economy: The Case of the Czech Republic, „European Accounting Review”, vol. 15, iss. 3.
22. Holthausen R. W., Watts R. L. [2001], The Relevance of the Value-relevance Literature for Financial Accounting Standards Setting, „Journal of Accounting & Economics”, vol. 31, s 1-3.
23. Hulian M. [2015], The Usefulness of Accounting Information on Financial Instruments to Inves- tors Assessing Non-financial Companies. An Empirical Analysis on the Bucharest Stock Exchange, „Accounting & Management Information Systems”, vol. 14, no. 4.
24. Khanagha J. B., Mohamad S., Hassan T., Sori Z. [2011], The Impact of Reforms on the Value Relevance of Accounting Information: Evidence from Iran, „African Journal of Business Man- agement”, vol. 5, no. 1.
25. Kimbrough M. D. [2005], The Effect of Conference Calls on Analyst and Market Underreaction to Earnings Announcements, „The Accounting Review”, no. 1, vol. 80.
26. Kormendi R., Lipe R. [1987], Earnings Innovations, Earnings Persistence, and Stock Returns, „Journal of Business”, vol. 60, no. 3.
27. Kothari S. P. [2001], Capital Market Research in Accounting, „Journal of Accounting and Economics”, vol. 31, iss. 1-3.
28. Lisicki B. [2018], Wpływ uwolnienia kursu franka szwajcarskiego na krótkoterminowe stopy zwrotu z notowań akcji banków na GPW w Warszawie, „Przedsiębiorstwo & Finanse”, nr 1.
29. Marshall A. [1890], Principles of Economics, Willey Online Library.
30. Martinez I. [2003], The Impact of Firm-specific Attributes on the Relevance in Earnings and Cash-flows: A Nonlinear Relationship between Stock Returns and Accounting Numbers, „Review of Accounting and Finance”, vol. 2, no. 1.
31. Mazurczak-Mąka A. [2013], Raporty okresowe spółek notowanych na rynku regulowanym w Polsce jako podstawowe źródło informacji dla inwestorów, „Studia Ekonomiczne”, nr 174.
32. Michaely R., Thaler R., Womack K. [1995], Price Reaction to Dividend Initiations and Omis- sions, „Journal of Finance”, vol. 50, no. 2.
33. Mitchell M. L., Stafford E. [1999], Managerial Decisions and Long-term Stock Price Perfor¬mance, CRSP Working Paper, no. 453.
34. Mouselli S., Jaafar A., Goddard J. [2013], Accruals Quality, Stock Returns and Asset Pricing: Evidence from the U', „International Review of Financial Analysis”, vol. 30.
35. Negakis C. J. [2005], Accounting and Capital Markets Research: A Review, „Managerial Finance”, vol. 31, iss. 2.
36. Ohlson J. [1990], A Synthesis of Security Valuation Theory and the Role of Dividends, Cash Flows, and Earnings, „Contemporary Accounting Research”, vol. 6, no. 2.
37. Osundina J., Olajumoke O., Ifayemi M. [2016], Impact of Accounting Information on Stock Price Volatility (A Study of Selected Quoted Manufacturing Companies in Nigeria), „The International Journal of Business and Management Research”, vol. 5, iss. 11.
38. Poniatowska L. [2013], Wpływ wyceny bilansowej na definiowanie i pomiar wyniku finanso¬wego, „Studia i Prace Kolegium Zarządzania i Finansów”, nr 130.
39. Riley R. A., Pearson T.A., Trompeter G. [2003], The Value Relevance of Non-financial Perfor¬mance Variables and Accounting Information: The Case of the Airline Industry, „Journal of Accounting & Public Policy”, vol. 22, no. 3.
40. Salisteanu S. [2014], Economic and Accounting Information and Stock Market Efficiency, „Chal- lenges of the Knowledge Society”, vol. 4, no. 1.
41. Sharpe W. [1992], Asset Allocation: Management Style and Performance Measurement, „Jour- nal of Portfolio Management”, vol. 18 no. 2.
42. Sok-Hyon K., Yuping Z. [2010], Information Content and Value Relevance of Depreciation: A Cross-Industry Analysis, „The Accounting Review”, vol. 85, no. 1.
43. Tan P. M., Lim C. Y. [2007], The Value Relevance of Accounting Variable and Analysts' Forecasts: The Case of Biotechnology Firm, „Review of Accounting & Finance”, vol. 6, no. 3.
44. Utama S., Cready W. M. [1997], Institutional Ownership, Differential Predisclosure Precision and Trading Volume at Announcement Dates, „Journal of Accounting and Economics”, vol. 24, iss. 2.
45. Vultur P. [2018], Study Based on the Importance of the Information Provided by Management Accounting on the Managerial Process in the Joint Stock Companies in the North-East Area of Moldova, „USV Annals of Economics & Public Administration”, vol. 18, no. 1.
46. Watts R. L., Zimmerman J. L. [1990], Positive Accounting Theory: A Ten Year Perspective, „The Accounting Review”, vol. 65, no. 1
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Published
2020-01-09
How to Cite
Lisicki, B. . (2020). Information Impact of Financial Result Deviation from the Market Consensus. Studies and Work of the Collegium of Management and Finance , (176), 137–153. https://doi.org/10.33119/SIP.2019.176.7
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