Stock Exchanges Indices and Abnormal Returns in the Crisis Condition

Abstract

Abstract. In the event study methodology it is recommended to use buy-and-hold abnormal return approach, based on reference portfolio or a stock exchange index, to estimate abnormal returns in the long-run. Th ere is growing literature on the biased BHAR estimates problem, that can result from the common estimation procedures. However, in the crisis condition, application of appropriate reference portfolio seems to be crucial. Th e aim of this research is to identify the impact of application of diff erent stock exchange indices, as reference portfolios, on results obtained in the BHAR methodology in the crisis condition. Th e common practice is to use indices based on a sector in which the analysed company is operating or indices based on the size classifi cation. Th e main thesis is that the application of one of these reference indices, especially in the crisis condition leads to rates of return, which can be considerably diff erent in the case of another reference index. For analysis purposes two representative sectors of the Warsaw Stock Exchange were chosen. Th e research covers real BHAR calculations and comparative analyses of obtained results from diff erent points of view: states of economy, market sectors and sizes of companies.

Application of The Leading Sector Identification Method in The Portfolio Analysis

“…The concept of fundamental strength developed in the literature, often without being called so. Many practical applications of using fundamental analysis this way can be found in the following works: Hagstrom, 2007;Tarczyński, Łuniewska, 2004;Arnold, 2010;Navellier, 2007;Mauldin, 2007;Blajer-Gołębiewska, 2012;2014;Mrzygłód, Nowak, 2013;Bodie, Kane, Marcus, 2014;Arnott, Hsu, West, 2008;Edirisinghe, Zhang, 2008;Ou, Penman, 1989;Piotroski, 2000;Holthausen, Larckrer, 1992;Abad, Thore, Laffarga, 2004. Please note that the fundamental force is composed of two kinds of factors: 1) external -macroeconomic data coming from the economy; 2) internal -microeconomic information from the companies.…”

The Scoring Method of Determining the Sectoral Fundamental Power Index on the Example of Companies Listed on Warsaw Stock Exchange

“…Koncepcja siły fundamentalnej ewoluowała w literaturze przedmiotu, często nie będąc tak nazywaną. Wiele praktycznych aplikacji zastosowań analizy fundamentalnej w tym nurcie można znaleźć w pracach: Hagstrom (2007), Tarczyński i Łuniewska (2004), Arnold (2010), Navellier (2007), Mauldin (2007), Blajer-Gołębiewska (2012, 2014, Mrzygłód i Nowak (2013), Bodie, Kane i Marcus (2014).…”