Zur Verwendung von Regressionsmodellen im Rahmen von finanzwirtschaftlichen Ereignisstudien

• Autorzy: Gurgul H. , Majdosz P. , Mestel R.

Warianty tytułu

EN

[Regressions models application in event study at financial markets]

• Języki publikacji: DE

Abstrakty

PL

W artykule jest analizowana za pomocą modelu rynkowego i modelu rynkowego ze zmienną zero-jedynkową reakcja cenowa na zapowiedź dywidendy na austriackim rynku akcji. Obok testów parametrycznych zastosowano do badania istotności przeciętnej reakcji cen także testy nieparametryczne (zmodyfikowany test znaków oraz technikę bootstrap). Zapowiedzi wzrostu (spadku) dywidendy są interpretowane przez inwestorów jako pozytywne (negatywne) sygnały na austriackim rynku akcji.

EN

In this paper an event study is conducted to detect price reactions on dividend announcements using data from the Austrian stock market. We use the Market Model and the Market Model with Dummies to describe the return generating process. To identify the significance of abnormal returns we apply parametric as well as non-parametric tests (modified rang test and bootstrap). Announced dividend increases induce stock prices to rise, whereas dividend decreases lead to shrinking prices.

Słowa kluczowe

PL

analiza zdarzeń; zmienna zero-jedynkowa; regresje

EN

event study; dummy variable; regressions

• Wydawca: Wydawnictwa AGH
• Czasopismo: Ekonomia Menedżerska
• Rocznik: 2007
• Tom: nr 1
• Strony: 121--142
• Opis fizyczny: Bibliogr. 34 poz., tab.

Twórcy

autor

Gurgul H.

• Wydział Zarządzania, Akademia Górniczo-Hutnicza w Krakowie

autor

Majdosz P.

• Wydział Zarządzania, Akademia Górniczo-Hutnicza w Krakowie

autor

Mestel R.

• Institut für Banken und Finanzierung, University of Graz

Bibliografia

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