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Journal articles on the topic 'Abnormal returns'

Author: Grafiati

Published: 4 June 2021

Last updated: 26 July 2025

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1

Salar, Hussain, Khoso Imam-ud-Din, and Qureshi Fiza. "Impact of mergers and acquisitions on shareholders' wealth: a study of Telecom sector of Pakistan." Indian Journal of Science and Technology 13, no. 21 (2020): 2104–10. https://doi.org/10.17485/IJST/v13i21.615.

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Abstract <strong>Objectives:</strong> This study aims to investigate the impact of mergers and acquisitions related events on the shareholders' wealth in Telecom sector of Pakistan. Statistical analysis: Event study methodology has been used to achieve this objective, in which, the short term and long term performance of firms are measured. For short term performance, Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) are measured while to determine long term performance, Buy-and-Hold Abnormal Returns (BHAR) are measured. <strong>Findings:</strong> The results revealed

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Medeiros, Otavio Ribeiro de, and Alberto Shigueru Matsumoto. "Brazilian market reaction to equity issue announcements." Revista de Administração Contemporânea 9, spe2 (2005): 36–46. http://dx.doi.org/10.1590/s1415-65552005000600004.

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We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. Our results are remarkably consistent with most of the international empirical literature. Some previous empirical findings have turned up abnormal returns before the announcement date, interpreted as signs of insider information. This evidence also appears in o

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3

Violetta, Vinny, and Jenjang Sri Lestari. "PENGARUH KONSERVATISME AKUNTANSI TERHADAP ABNORMAL RETURN SAHAM PADA SAAT PENGUMUMAN SEASONED EQUITY OFFERINGS." MODUS 27, no. 1 (2016): 77. http://dx.doi.org/10.24002/modus.v27i1.570.

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This study aims to determine the efect of conservatism against abnormal stock returns during the announcement of Seasoned Equity Oferings (SEO) companies listed on the Stock Exchange. Tis study was conducted to see the efect of accounting conservatism towards abnormal return during the announcement of SEO. Tis study also uses the control variables of size and leverage. The sample in this company using the 39 companies listed on the Stock Exchange and ofering additional shares during 2011-2013. Results from the study showed that conservatism has a signifcant positive efect on abnormal stock ret

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Miftahur, Rahman, Roqib Moh., Khotimah Khusnul, Misbah M., and Chasanah Uswatun. "Analysis of the Impact of the Merger on Trading Volume, Return and Abnormal Return of BSI Shares." International Journal of Social Science and Human Research 07, no. 10 (2024): 7924–29. https://doi.org/10.5281/zenodo.13999996.

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This study discusses in trading volume, return and abnormal return of Bank Syariah Indonesia (BSI) stocks before and after merger. The purpose of this study was to determine the results of the analysis of differences in trading volume, stock return and abnormal returns before and after the merger of Bank Syariah Indonesia (BSI). The variables used are trading volume activity (TVA), stock returns and abnormal returns. The sample in this study was 10 days before and 10 days after the merger of PT Bank Syariah Indonesia Tbk. As for the sampling technique using Purposive Sampling. The results of t

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Permana, Sidiq Jati. "ANALISIS FAKTOR-FAKTOR YANG MEMENGARUHI ABNORMAL RETURN SAHAM PADA PERUSAHAAN PERBANKAN DAN ASURANSI YANG TERDAFTAR DI BURSA EFEK INDONESIA." BISMA 11, no. 1 (2017): 12. http://dx.doi.org/10.19184/bisma.v11i1.6205.

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Abstract: This research aims to analyzes the effect of profitability (NPM and ROE) and leverage (DER and DR) partially to stock abnormal returns at the Banking and Insurance Companies Listed Indonesia Stock Exchange, also to analyze the different effect of profitability (NPM and ROE) and leverage (DER and DR) on stock abnormal returns at the Banking and Insurance Companies Listed Indonesia Stock Exchange. Data used in this research are secondary data collected from ICMD and Annual Report of Companies in Indonesia Stock Exchange at 2010 – 2014, and www.yahoofinance.com. The populations in this

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Högholm, Kenneth, and Johan Knif. "Short Term Announcement Returns to the Bidder**." Journal of Corporate Governance, Insurance, and Risk Management 3, no. 2 (2016): 17–45. http://dx.doi.org/10.56578/jcgirm030202.

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In this paper we investigate the short term abnormal return to the bidding firm’s shareholders in takeover transactions in Finland during the time period from January 2000 to December 2013. Specific features of the market for corporate acquisitions in Finland are that almost all of the transactions are friendly acquisitions and usually aim for 100 % of the target company. We estimate the abnormal return around 314 individual takeover announcements and investigate determinants of the abnormal returns. Our results show that the takeover announcement on average yields a positive abnormal return t

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Suryani, Ani Wilujeng, and Karina Dian Pertiwi. "Lombok’s Tsunami and Stock Abnormal Returns." Accounting Analysis Journal 10, no. 1 (2021): 1–8. http://dx.doi.org/10.15294/aaj.v10i1.42584.

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Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the a

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8

Bowers, Helen M., and Donald Fehrs. "Dividend Buying: Linking Dividend Announcements and Ex-Dividend Day Effects." Journal of Accounting, Auditing & Finance 10, no. 3 (1995): 421–35. http://dx.doi.org/10.1177/0148558x9501000301.

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We provide a plausible explanation for earlier findings that positive abnormal stock returns associated with dividend announcements persist for several days and that abnormal volume and stock returns commence several days before a stock's ex-dividend day. This study links these two sets of findings to the short-term investment strategy of dividend buying by relating the abnormal returns and trading volume to individual stock characteristics favored by dividend buyers, namely the stock's return variance and dividend yield. We conclude that dividend buying is at least partially responsible for t

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9

Damayanti, Alvina, Rosida Dwi Ayuningtyas, and Sri Retnoningsih. "ANALISIS PERBANDINGAN ABNORMAL RETURN SAHAM SEBELUM DAN SESUDAH STOCK SPLIT." JAKA (Jurnal Akuntansi, Keuangan, dan Auditing) 4, no. 1 (2023): 316–22. http://dx.doi.org/10.56696/jaka.v4i1.8379.

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Thisstudy aims to analyze whether there is a significant abnormal return before and after the stock split and the difference in abnormal returns before and after the stock split. The analysis method used in this study is the Wilcoxon Signed Ranked Test test method. The population in this study is all companies listed on the Indonesia Stock Exchange for the 2018-2020 period. The samples used in this study were 17 companies. The Wilcoxon Signed Ranked Test on the significance of abnormal returns found that there was no abnormal significance of returns before and after stock split with significan

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Sanematsu, Flávio C., and Ricardo P. C. Leal. "Agency conflicts in Brazilian stock funds: Categorizing funds in clientele and fee types." Corporate Ownership and Control 13, no. 4 (2016): 458–69. http://dx.doi.org/10.22495/cocv13i4c3p5.

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This article investigates the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results suggest that the sampled funds present positive abnormal returns on the last trading day of calendar semesters, followed by negative abnormal returns on the subsequent day. Funds oriented to retail investors and those that charge incentive fees are more likely to display this abnormal return behavior. Exclusive funds present the smallest incidence of abnormal returns. There seems to be evidence of portfolio pumping

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Kurniawan, Moh Zaki. "Analisis Kinerja Saham LQ-45 Pada PILKADA DKI Jakarta Putaran II 2017." AKUNTABILITAS: Jurnal Ilmiah Ilmu-Ilmu Ekonomi 12, no. 2 (2019): 87–96. http://dx.doi.org/10.35457/akuntabilitas.v12i2.932.

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The purpose of this study is to see the differences in the performance of LQ-45 shares before and after the Jakarta Election in the second round of 2017 through returns, abnormal returns, and cumulative abnormal returns on the Indonesia Stock Exchange.This study uses purposive sampling in the LQ 45 index. This type of research is an event study. The research period for 20 days: 10 days before and 10 days after event. Hypothesis testing uses paired sample t-test. Paired sample t-test test results showed the stock return did not differ before and after the period. The results of paired sample t-

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Kurniawan, Moh Zaki. "Analisis Kinerja Saham LQ-45 Pada PILKADA DKI Jakarta Putaran II 2017." AKUNTABILITAS: Jurnal Ilmiah Ilmu-Ilmu Ekonomi 11, no. 2 (2019): 87–96. https://doi.org/10.35457/akuntabilitas.v11i2.932.

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The purpose of this study is to see the differences in the performance of LQ-45 shares before and after the Jakarta Election in the second round of 2017 through returns, abnormal returns, and cumulative abnormal returns on the Indonesia Stock Exchange.This study uses purposive sampling in the LQ 45 index. This type of research is an event study. The research period for 20 days: 10 days before and 10 days after event. Hypothesis testing uses paired sample t-test. Paired sample t-test test results showed the stock return did not differ before and after the period. The results of paired sample t-

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Abraham, Rebecca, Judith Harris, and Joel Auerbach. "IPO performance at announcement and in the aftermarket." Journal of Economic Studies 43, no. 4 (2016): 574–86. http://dx.doi.org/10.1108/jes-04-2015-0062.

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Purpose The purpose of this paper is to investigate IPO performance. At announcement, the impact of purchases by informed traders on stock returns and uninformed traders on volatility were assessed. In the post-IPO period, returns were expected to be driven by firms with high returns on equity and the implementation of growth strategies. Return on equity was evaluated further in terms of whether it had a direct effect or was instrumented by volatility, cash flow, profit margin or revenue growth. Design/methodology/approach All IPOs announced in 2009-2014 were used. Measures were created to dem

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14

Wang, Alan, Yu-Hong Liu, and Yu-Chen Chang. "An Analysis of Gains to US Acquiring REIT Shareholders in Domestic and Cross-Border Mergers before and after the Subprime Mortgage Crisis." Sustainability 10, no. 12 (2018): 4586. http://dx.doi.org/10.3390/su10124586.

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This paper examines the abnormal returns of acquiring real estate investment trusts (REITs) around the announcement of acquisitions before and after the subprime mortgage crisis. Based on 182 domestic and cross-border US REIT acquisition announcements from 2005 to 2010, the acquiring trusts experienced a 0.73% abnormal return, on average. When the sample was divided into pre-crisis, crisis, and after-crisis subsamples, the acquiring trusts enjoyed the largest abnormal returns (1.86%) for domestic acquisitions during the crisis period. Before the crisis, when the acquisition was cross-border, t

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Plastun, Alex, Ahniia Havrylina, Liudmyla Sliusareva, Nataliya Strochenko, and Olga Zhmaylova. "Daily abnormal returns and price effects in the “passion investments” market." Investment Management and Financial Innovations 18, no. 4 (2021): 141–49. http://dx.doi.org/10.21511/imfi.18(4).2021.13.

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This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher t

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Gavrilova, Daria. "The Price Impact of S&P 500 Affiliation." Studia Universitatis Babes-Bolyai Oeconomica 68, no. 1 (2023): 42–61. http://dx.doi.org/10.2478/subboec-2023-0003.

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Abstract We examine how abnormal returns and abnormal return determinants change when a company is added to S&P 500. Newly added companies experience a significant increase in abnormal returns around the announcement and addition dates. This increase is accompanied by an improvement in liquidity and a decrease in associated shadow cost. While before their addition, firm-specific abnormal returns can be explained by price impact, they are explained by changes in trading activity during the addition event. Additionally, companies with higher leverage ratios benefit more from index affiliatio

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17

Chen, Jieting, and Yuichiro Kawaguchi. "A Revisit of the Cross-Section of Overnight and Intraday Abnormal Returns: Evidence from the Japanese REIT Market." International Journal of Economics and Finance 10, no. 1 (2017): 46. http://dx.doi.org/10.5539/ijef.v10n1p46.

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This study revisits an overnight-intraday reversal strategy that generates an abnormal excess return for a stock market. The study is the first to examine whether abnormal returns related to size effect and investment effect occur overnight or intraday in the Japanese Real Estate Investment Trust (J-REIT) market. Empirical results show that in the J-REIT market, significant positive abnormal returns on investment effect as well as size effect occur intraday, followed by reversals that negative abnormal returns occur overnight. Further empirical results reveal that foreign institutional investo

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18

Nguyen, Thi Hoa Hong, and Dinh Kien Cao. "Insider trading and its effects on stock price in Vietnam." Tạp chí Kinh tế - Luật và Ngân hàng 26, no. 6 (2024): 92–102. http://dx.doi.org/10.59276/jelb.2024.06.2538.

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The paper examines the effect of insider trading on stock prices of non-financial companies listed on the Vietnam stock market in the period of 2010-2019. Using event study methodology, the empirical results show that there are abnormal returns surrounding announcements of trading activities of insiders in Vietnam. More specifically, there are positive abnormal returns when buying announcements of insiders and there are negative abnormal returns when selling announcements of insiders. In addition, the study also shows factors affecting positively the abnormal returns around announcements of in

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Da, Zhi, and Pengjie Gao. "Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks." Journal of Financial and Quantitative Analysis 45, no. 1 (2010): 27–48. http://dx.doi.org/10.1017/s0022109010000013.

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AbstractWe show that the abnormal returns on high default risk stocks documented by Vassalou and Xing (2004) are driven by short-term return reversals rather than systematic default risk. These abnormal returns occur only during the month after portfolio formation and are concentrated in a small subset of stocks that had recently experienced large negative returns. Empirical evidence supports the view that the short-term return reversal arises from a liquidity shock triggered by a clientele change.

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Kryzanowski, Lawrence, and Charles Jenkins. "The Market's Reaction to the Release of Drill-Core Assay Results by Junior Mining Firms." Journal of Accounting, Auditing & Finance 8, no. 3 (1993): 289–308. http://dx.doi.org/10.1177/0148558x9300800309.

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The abnormal returns and volumes of a sample of junior resource companies who publicly released drill-core assay results are studied. Firms with favorable assay result announcements exhibited a liquid market for both event window panes, whereas firms with unfavorable assay result announcements exhibited a liquid market for the pre-and near-center part of the postannouncement panes of their event windows. Firms with favorable announcements exhibited statistically significant positive abnormal returns prior to (and during) the week of such announcements, and statistically significant negative ab

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Bello, Mohammed Aminu, Aminu Kado Kurfi, and Bashir Tijjani. "CORPORATE GOVERNANCE AND STOCK MARKET REACTION TO SEASONED EQUITY OFFERING ANNOUNCEMENT BY FIRMS IN NIGERIA." Malaysian Management Journal 25 (July 9, 2021): 73–98. http://dx.doi.org/10.32890/mmj2021.25.4.

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This study examined the effect of corporate governance variables of board independence, institutional ownership, managerial ownership, board size, and director expertise on the market reaction to seasoned equity offering (SEO) announcements by firms in the Nigerian stock market. The event study methodology was employed, and abnormal returns were computed using the market model. A total of 62 announcements by 38 firms listed on the Nigerian stock exchange from 1st January 2006 to 31st December 2016 were included in the analysis. The study recorded significant positive cumulative abnormal return

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Dara, Reinanda Putri Rea, and Dwi Indah Lestari. "Abnormal Return Sebelum dan Sesudah Stock Split." Portofolio: Jurnal Ekonomi, Bisnis, Manajemen, dan Akuntansi 20, no. 2 (2023): 110–24. http://dx.doi.org/10.26874/portofolio.v20i2.366.

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Abstract An abnormal return refers to the variation between the actual return, the return that actually transpires, and the anticipated return. Abnormal returns can manifest when a company announces an event. In this investigation, the specific event under scrutiny is a stock split. The computation of abnormal returns is accomplished through the application of an event study. The objective of this study is to ascertain whether there exists a disparity in abnormal returns preceding and following the stock split. The research employed a sample of 45 companies, selected through purposive sa

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Levy, Haim, and Deborah Gunthorpe. "Abnormal expected utility and event study abnormal returns." Economics Letters 44, no. 1-2 (1994): 175–80. http://dx.doi.org/10.1016/0165-1765(93)00282-s.

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Altin, Hakan. "The Existence of an Anomaly in the City Indices in Borsa Istanbul." International Journal of Corporate Finance and Accounting 8, no. 2 (2021): 12–27. http://dx.doi.org/10.4018/ijcfa.2021070102.

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The aim of the study is to reveal the existence of an abnormal return in the city indices in Borsa Istanbul. Three important calculations were made for the detection of an abnormal return. The first was the calculation of adjusted returns. The second was the calculation of beta coefficients for city indices. The third was the determination of the relationship of each city index to the market. According to the findings obtained, there was an abnormal return in the city indices. In other words, each of the city indices made a profit on market returns. However, these returns were almost equal to

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Cornejo-Saavedra, Edinson Edgardo, Jorge Andrés Muñoz Mendoza, Carlos Leandro Delgado Fuentealba, Sandra María Sepúlveda Yelpo, and Carmen Lissette Veloso Ramos. "Announcements Effect of Corporate Bond Issuance on Stock Returns: Evidence from Chile." Cuadernos de Administración 37, no. 71 (2021): e2411242. http://dx.doi.org/10.25100/cdea.v37i71.11242.

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This study measures the announcement effect of corporate bond issuance on stock returns for companies listed on the Santiago de Chile Stock Exchange (BCS). The sample is made up of 29 firms and 87 corporate bond issuance announcements during the 2010-2017 period. The announcement effect of corporate bond issuance on stock return is measured by an event study. This methodology allows to calculate abnormal returns for the days of the event period. The results show that the average abnormal return on the day of the announcement is negative (between -0.09% and -0.03%), but it is not statistically

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Prof., Samrat Banerjee, and Agarwalla Vidisha. "Did Lockdown Affect Stock Returns of Airline Sector in India ?" Indian Journal of Economics and Finance (IJEF) 2, no. 2 (2022): 1–8. https://doi.org/10.54105/ijef.D2516.111422.

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<strong>Abstract:</strong> In this study, we will analyze the impact of lockdown on stock returns of airline industry in India. For this purpose, market model of event study methodology is used. The event window of 21 days have been taken to show the impact on stock returns due to announcement of lockdown. We will also understand how investors react at the time of fall in the stock market in terms of one industry and the impacts of lockdown in the economy of India. We will investigate into the impact of the first lockdown on returns, abnormal returns and cumulative abnormal returns for all thr

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Truong, Loc Dong, H. Swint Friday, and Tran My Ngo. "Market Reaction to Delisting Announcements in Frontier Markets: Evidence from the Vietnam Stock Market." Risks 11, no. 11 (2023): 201. http://dx.doi.org/10.3390/risks11110201.

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This paper aims to measure the effects of delisting on stock returns for the Vietnam stock market. This study employs a sample of 118 stocks that were compulsorily delisted from the market between January 2011 and December 2021. Using an event study methodology, the empirical findings confirm that the delisting has negative effects on stock returns in the Vietnam stock market. Specifically, results derived from tests show that the average abnormal return of delisted stocks continuously declines during three trading days following the announcement of delisting. Moreover, it is found that the di

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Yaghoubi, Reza, Stuart Locke, and Jenny Gibb. "Acquisition returns: does industry matter?" Studies in Economics and Finance 31, no. 3 (2014): 309–24. http://dx.doi.org/10.1108/sef-01-2013-0005.

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Purpose – This paper aims to illuminate the issue of whether there is a significant difference between long-term abnormal return of acquirers across industries, and which industries achieve better returns. Design/methodology/approach – This paper investigates whether there is a significant difference between abnormal return of acquirers across industries. The impact of timing of the deal on the acquirer returns is also studied in this paper. In the regression analysis, we control for acquirer’s size along with a number of deal characteristics, such as method of payment, the mode of the acquisi

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Chen, Dylan Siong-Yain, and Venus Khim-Sen Liew. "Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia." Asian Journal of Finance & Accounting 11, no. 2 (2019): 169. http://dx.doi.org/10.5296/ajfa.v11i2.15234.

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This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fe

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Fornell, Claes, Forrest V. Morgeson, and G. Tomas M. Hult. "An Abnormally Abnormal Intangible: Stock Returns on Customer Satisfaction." Journal of Marketing 80, no. 5 (2016): 122–25. http://dx.doi.org/10.1509/jm.16.0248.

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Naftalia, Ananda. "The Abnormal Stock Return Before And After Stock Split." American Journal of Economics and Business Management 7, no. 8 (2024): 305–17. https://doi.org/10.5281/zenodo.13733785.

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The purpose of this study was to analyze whether there is a significant abnormal return before and after the stock split event and whether there is a difference in abnormal return before and after the stock split event. The analysis method used in this research is the paired sample t-test method. The population in this study were all companies listed on the Indonesia Stock Exchange during the 2017-2022 period. The samples used in this study were 32 companies. The results of the paired sample t-test test obtained a significant value of 0.958 which means above 0.05. So the results of the paired

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Krishnan, Prema, and M. N. Periasamy. "Testing of Semi–Strong Form of Efficiency: an Empirical Study on Stock Market Reaction Around Dividend Announcement." International Journal of Professional Business Review 7, no. 2 (2022): e0483. http://dx.doi.org/10.26668/businessreview/2022.v7i2.483.

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Purpose: The purpose of this study is to examine the efficiency of the Indian stock market of the Nifty IT index over the dividend announcement for five years from 2016 to 2020. Theoretical framework: A reward procured by the shareholders on their equities is, of course, the dividend. A leading area of concern is the dividend announcement. According to the theory of efficient markets, stock prices accurately reflect all available information. This demonstrates that the prices are correct and fair. The market should therefore respond immediately to an event in this instance the dividend announc

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Högholm, Kenneth. "Bidder’s Gain in Public M&A Transactions: Does Size Matter?" International Journal of Economics and Finance 8, no. 5 (2016): 1. http://dx.doi.org/10.5539/ijef.v8n5p1.

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<em></em>In this paper we investigate the short term abnormal return to the bidding firm’s shareholders in takeovers made by a Finnish company during the time period from January 2000 to December 2013. Specifically, we study takeover transactions involving publicly traded target companies, and are particularly interested in the relationship between the abnormal return to bidder’s shareholders and the size of the transaction. Specific features of the market for corporate acquisitions in Finland are that almost all transactions are friendly acquisitions and usually aim for 100% of th

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Shih, Kuang-Hsun, Fu-Ju Yang, Jhih-Ta Shih, and Yi-Hsien Wang. "Patent Litigation, Competitive Dynamics, and Stock Market Volatility." Mathematics 8, no. 5 (2020): 795. http://dx.doi.org/10.3390/math8050795.

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Recently, the number of patents of enterprises has been increasing year by year, obviously improving the degree of attention paid to the added value of patents by said enterprises, but also creating patent infringement lawsuits. First, through analysis of the position of competitors, it can be seen that the disclosure of patent infringement litigation information influences the abnormal returns of shareholder wealth. Second, through projecting to competitive dynamics, it could be determined whether expected or actual action are consistent or inconsistent, and whether the stock returns and vola

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Wang, Hongxia, and Zongzheng Yu. "Chinese Stock Market’s Reaction to COVID-19 in the Short and Long Run." Complexity 2022 (February 1, 2022): 1–18. http://dx.doi.org/10.1155/2022/6917527.

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We study the impact of COVID-19 on Chinese stock market which can be seen as a complex system. We use the event study method to evaluate its performance change in terms of the return rate, turnover rate, etc. We show that the abnormal return of stock market was significantly negative after the outbreak of COVID-19 and did not turn positive until May 2020. Moreover, the five-factor model is used to estimate the ordinary returns of different industries and show that abnormal returns for medical and food industries were significantly positive, while energy and public utility industries had signif

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Yoga, I. G. W., N. W. K. Dewi, and I. Made Sumartana. "Analysis of Abnormal Return of Issuer’s Stock after IPO during the Covid-19 Pandemic." Journal of Applied Sciences in Accounting, Finance, and Tax 5, no. 2 (2022): 127–32. http://dx.doi.org/10.31940/jasafint.v5i2.127-132.

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The Covid-19 pandemic based on Presidential Decree Number 12 of 2020 was declaredon April 13, 2020. During this Pandemic, many companies offer their shares to the public or known as Initial Public Offering (IPO). This study aims to find out the highest abnormal returns of the issuers' stock after the IPO during the Covid-19 Pandemic. The sample used in this study was 70 companies that IPO on the IDXafter pandemic status was declared in Indonesia, namely from April 15, 2020-November 25, 2021. This research is a descriptive quantitative research anddescriptive statistical analysis techniques was

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Mufida, Eva Layla, and Tumirin Tumirin. "Pengaruh Profitabilitas, Likuiditas dan Ukuran Perusahaan Terhadap Abnormal Return." Journal of Culture Accounting and Auditing 4, no. 1 (2025): 86–96. https://doi.org/10.30587/jcaa.v4i1.9664.

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The aim of this research is to determine the effect of return on equity, liquidity and company size on abnormal returns. This type of research is quantitative research using secondary data. This research data collection method uses the documentation method. The sample for this research is basic industrial and chemical companies listed on the IDX from 2020 to 2022. The sample was selected using a purposive sampling method and 36 companies were collected. Testing was carried out using the multiple linear regression method using SPSS. The findings of the market adjustment model show that return o

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Cho, Joonhyuk, Manish Singh, and Andrew W. Lo. "How does news affect biopharma stock prices?: An event study." PLOS ONE 19, no. 1 (2024): e0296927. http://dx.doi.org/10.1371/journal.pone.0296927.

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We investigate the impact of information on biopharmaceutical stock prices via an event study encompassing 503,107 news releases from 1,012 companies. We distinguish between pharmaceutical and biotechnology companies, and apply three asset pricing models to estimate their abnormal returns. Acquisition-related news yields the highest positive return, while drug-development setbacks trigger significant negative returns. We also find that biotechnology companies have larger means and standard deviations of abnormal returns, while the abnormal returns of pharmaceutical companies are influenced by

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Brown, Lawrence D. "Can ESP Yield Abnormal Returns?" Journal of Portfolio Management 23, no. 4 (1997): 36–43. http://dx.doi.org/10.3905/jpm.1997.36.

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Lawrey, Chris M., and Brandon C. L. Morris. "Corporate diversification and abnormal returns." Journal of Asset Management 20, no. 1 (2018): 31–37. http://dx.doi.org/10.1057/s41260-018-0100-0.

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Castellani, Massimiliano, Pierpaolo Pattitoni, and Roberto Patuelli. "Abnormal Returns of Soccer Teams." Journal of Sports Economics 16, no. 7 (2013): 735–59. http://dx.doi.org/10.1177/1527002513505285.

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Muradoğlu, Yaz Gülnur, and Sheeja Sivaprasad. "Capital structure and abnormal returns." International Business Review 21, no. 3 (2012): 328–41. http://dx.doi.org/10.1016/j.ibusrev.2011.03.007.

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Jacobsen, Robert. "The persistence of abnormal returns." Strategic Management Journal 9, no. 5 (1988): 415–30. http://dx.doi.org/10.1002/smj.4250090503.

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Rahman, Akhmad Hendra, Bambang Widagdo, and Titiek Ambarwati. "Impact of Before and After Stock Split on Trading Volume Activity, Stock Returns, and Abnormal Returns." Jamanika (Jurnal Manajemen Bisnis dan Kewirausahaan) 1, no. 3 (2021): 173–79. http://dx.doi.org/10.22219/jamanika.v1i3.18237.

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Capital market are venues where are channeled between the suppliers who have funds and those who are in need of capital. One of the corporate actions to influence the number of shares and share's value to attract the investor is stock split. To looking of the effect stock split of the company can be seen from trading volume activity, return, and abnormal return. In this research discusses the effect of the stock split events can affect trading volume activity, return of shares, and abnormal return by looking at the difference in trading volume activity, return of share, and abnormal return bot

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Veloso, Vinícius, Rafael Confetti Gatsios, Vinícius Medeiros Magnani, and Fabiano Guasti Lima. "Is Bitcoin’s Market Maturing? Cumulative Abnormal Returns and Volatility in the 2024 Halving and Past Cycles." Journal of Risk and Financial Management 18, no. 5 (2025): 242. https://doi.org/10.3390/jrfm18050242.

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This study examines how cumulative abnormal returns (CARs, the sum of abnormal returns over a period) and volatility behave around Bitcoin halving events, focusing on whether these patterns have evolved as the cryptocurrency market matures. Halvings are periodic events defined by Bitcoin’s algorithm, during which the reward—in the form of newly issued bitcoins—paid to miners for validating network transactions is reduced, impacting miners’ profitability and potentially influencing the asset’s price due to a decreased supply. To carry out the analysis, we collected data on returns and risk for

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Boubaker, Sabri, and Taher Hamza. "Short- And Long-Term Wealth Gains From UK Takeovers: The Case Of The Financial Industry." Journal of Applied Business Research (JABR) 30, no. 4 (2014): 1253. http://dx.doi.org/10.19030/jabr.v30i4.8673.

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The present study analyzes the short- and long-term performance of UK financial acquiring firms by examining a sample of 40 takeovers over the period 19962007. In particular, it investigates i) the short- and long-term stock return performance of these acquiring firms and ii) the relation between their short-term abnormal return around the announcement date of takeovers and their long-term performance. The event study methodology shows that bidders experience significant short-term wealth destruction. In contrast, both the buy-and-hold abnormal returns and bidders portfolio return approaches i

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Fadlitama, Luthfie, and Wardatul Adawiyah. "THE EFFECT OF MERGERS AND ACQUISITIONS ON ABNORMAL RETURN: CASE STUDY OF 46 LISTED COMPANIES IN INDONESIA STOCK EX- CHANGE (IDX) FROM 2010-2016." Emerging Markets : Business and Management Studies Journal 5, no. 1 (2018): 36–48. http://dx.doi.org/10.33555/ijembm.v5i1.54.

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This research aims to analyze whether there is a significant difference of abnormal returns due to the occurrence of mergers and acquisitions activity in which affect the wealth value of the shareholders and to determine the return of the shareholders after mergers and acquisition proportion is announced. In order to calculate the abnormal returns, this research uses two different approach; market model and market adjusted modelEvent study methodology is used to determine the abnormal return using market model and market adjusted model over period 10 days before and 10 days after consummation

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Gökpınar, Fevziye Gözde, and Guven Sayılgan. "AN ANALYSIS OF UNDERPRICING FACTS AND THE FACTORS AFFECTING THE SHORT TERM PERFORMANCE OF INITIAL PUBLIC OFFERINGS IN BORSA ISTANBUL." Journal of Research in Business 10, no. 1 (2025): 224–61. https://doi.org/10.54452/jrb.1497061.

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In this study, the phenomenon of underpricing in the initial public offerings (IPOs) of 183 stocks listed on the Borsa Istanbul (BIST) for the first time between 2010 and 2022/5 is investigated using multiple linear regression analysis and ANOVA analyses to identify the factors affecting short-term performance. In the study it is concluded that there is a positive return on the first trading day and underpricing is made. It is concluded that leverage ratio, asset size, and net proceeds from IPO have a negative effect on underpricing. These findings suggest that the changing risk composition do

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Matos, Ruben Mendes, and Romualdo Douglas Colauto. "Turnover de CEOS e retorno anormal: efeitos da intensidade da divulgação de notícias em jornais econômicos." Revista de Administração da UFSM 13, no. 5 (2020): 918–40. http://dx.doi.org/10.5902/1983465935083.

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abnormal returns and CEO turnover motivations disclosures intensity based on the Efficient-Market Hypothesis (EMH) in its semi-strong form.Design/methodology/approach: A panel data of 65 events publicly traded Brazilian companies that have a Pension Fund among their shareholders, between 2010 and 2014 were used. Applying the Event Study methodology, the ordinary least-squares (OLS) multiple regression analysis was used to calculate the abnormal returns. The CEO turnover data were manually collected and systematically crosschecked, and content analysis were employed to identify its motivations.

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Yusbardini. "Abnormal Returns around the Announcement of Covid-19 Cases on Stock Prices in Indonesia." International Journal of Current Science Research and Review 06, no. 12 (2023): 7675–82. https://doi.org/10.47191/ijcsrr/V6-i12-24.

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Abstract :The purpose of this study is to find out whether there is a difference in abnormal returns on the day around the first announcement of the COVID-19 case and to find out whether there is a difference in abnormal returns after and before the first announcement of the COVID-19 case in Indonesia in pharmaceutical industry stocks listed on the Indonesia Stock Exchange. The population in this study are pharmaceutical companies listed on the Indonesian Stock Exchange. While the sampling technique was purposive sampling. The data analysis technique used in this study was a one-sample t-test

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