News and Stock Markets: Abnormal Returns on the US Market
|Author:||Bc. Ondřej Rosický|
|Year:||2020 - summer|
|Leaders:|| prof. PhDr. Petr Teplý Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This thesis examines how the U.S. stock market responses to the results of 2016
Presidential elections in the United States. The sample of 11 companies is
selected as a representative of each sector of economy. The abnormal returns are
measured for the primary and general elections. The companies’ value is
calculated and its relationship with the abnormal returns results is tested.
Firstly, the impact of results of Super Tuesday is computed with the methodology
of abnormal returns. The results do not show any significant abnormal returns. On
the other hand, the results of general elections in November show significant
impact on stock market. Average abnormal returns are negative, but some sectors
(financial, energy, industrial) show positive abnormal returns. Significantly
negative abnormal returns appear for cumulative average effect of first three days
after elections as well. The results are mostly similar to ones obtained in initial
measurement. This similarity indicates that there is no correction of the market of
initial behavior of investors in stock market and that the first day does not evoke
any excessive reaction.
Secondly, the relationship between price, value and abnormal returns is
examined. The results show that there is no significant relationship between the
correctness of the stock price and abnormal returns occurring after November
general elections in 2016.