Market Valuation Inefficiency of WIG 20 Companies in View of Research Conducted from 1st January 2007 till 15th August 2012
Journal Title: Journal of Management and Financial Sciences - Year 2014, Vol 15, Issue 1
Abstract
The authors attempt to identify the reasons for abnormal daily share price changes of companies listed in the WIG 20 blue‑chip index from January 2007 to August 2012. Average market fluctuations anomalies were recorded more often during the epicentre of financial crisis in 2008 and 2009, and alleviated afterwards. The period cannot serve as negation of effective market hypothesis derived from normal distribution of stock price changes. Global trends were behind more than 14 percent of abnormal identified changes, proving that Warsaw is not a strongly endogenous market. Financial results publications and signals about strategy changes were responsible for 11 percent of deviations each. Such large numbers, higher compared to Western markets, may indicate information inefficiencies and over‑reaction among investors, explained partly by the state Treasury inconsistent policies. Under these conditions, investor relations based on economic value added long‑term creation may be a useful tool for companies which want to differentiate from global trends and investor herding.
Authors and Affiliations
Waldemar Rogowski, Magdalena Wojtuch‑Krasuska
Keywords
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