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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 14: Financial Markets and Risk Management I

SOE 14.1: Vortrag

Mittwoch, 9. März 2016, 11:15–11:30, H36

Leads versus lags in the relationship between company performance and stock price in the automotive sector: An event coincidence analysis — Philipp Koltermann¹ and •Reik V. Donner² — ¹Dresden University of Technology, Dresden, Germany — ²Potsdam Institute for Climate Impact Research, Potsdam, Germany

Enterprises traded at stock exchanges are obliged to regularly publish information on their economic performance, which is of great value for potential investors and shareholders in order to decide whether to buy, hold or sell stocks. Here, we aim to identify the associated time scales at which such decisions are made: Is there robust evidence for instantaneous and/or delayed responses of the stock price to particularly good/bad performance indicators, indicating that reported numbers act as external shocks to the market? Or vice versa: To what extent are economic figures already included in the stock price evolution prior to the reporting date, pointing to the relevance of investors' expectations based on the sectoral development? In order to test for the statistical significance of corresponding relationships, we apply the recently developed method of event coincidence analysis to an ensemble of nine German companies from the automotive sector (car manufacturers as well as suppliers) spanning the time interval from 2000 to 2015. After correcting for the sectoral evolution and the impact of the world economic crisis in 2008/09, our analysis reveals clear evidence for instantaneous and/or delayed responses, but no robust indication for anticipatory effects.