IMPACT OF PUBLIC INFORMATION SIGNALS ON SHARE PRICES: EVIDENCE FROM LITHUANIA

Abstract

Publicly delivered information is probably the most important mean for company to communicate its performance to the parties concerned. However, after each information signal, the change of stock market price can take contradictory and not always favorable direction. Theoretical and empirical studies of different researchers suggest that the disclosure of new information is one of the most important factors influencing the stock market prices, but there is not any unanimous answer about the direction and strength of the impact. Our research was performed on a sample of companies included in the OMX Vilnius index, over the period of 2005 to 2009 and evidenced that in some cases (information signals about the performance results, planned development, transactions carried out by executives, emissions of bank bonds, etc.), investors could take the advantage of market inefficiency and earn statistically significant abnormal return.

DOI: http://dx.doi.org/10.5755/j01.em.17.3.2098