Academic literature on the topic 'Accumulated average abnormal returns'
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Journal articles on the topic "Accumulated average abnormal returns"
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Albuquerque Junior, Marcos, José António Filipe, Paulo de Melo Neto, and Cristiano da Silva. "The Study of Events Approach Applied to the Impact of Mergers and Acquisitions on the Performance of Consulting Engineering Companies." Mathematics 9, no. 2 (January 9, 2021): 130. http://dx.doi.org/10.3390/math9020130.
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Recent research suggests that one of the main motivations for mergers and acquisitions is the attempt to acquire companies to incorporate intangible assets. Such assets provide important sources of sustainable competitive advantages and opportunities for growth. This article analyzes the strategies of engineering companies, as well as value creation in acquisition events of multinational companies, by using the study of the events method, providing an innovative way to be applied to this phenomenon. This method is used in our research to study the influence of the announcement of acquisitions on the abnormal accumulated returns of the acquiring companies, and is allowed to confirm that influence. In general, the average accumulated returns were positive and statistically significant in the three windows of the method, according to the significance tests used. The results validate the hypothesis that the events generate synergy gains for market players, emphasizing the importance of growth via acquisitions for the sector under analysis.
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Albuquerque Junior, Marcos, José António Filipe, Paulo de Melo Jorge Neto, and Cristiano da Silva. "The Study of Events Approach Applied to the Impact of Mergers and Acquisitions on the Performance of Consulting Engineering Companies." Mathematics 9, no. 2 (January 9, 2021): 130. http://dx.doi.org/10.3390/math9020130.
Full textAbstract:
Recent research suggests that one of the main motivations for mergers and acquisitions is the attempt to acquire companies to incorporate intangible assets. Such assets provide important sources of sustainable competitive advantages and opportunities for growth. This article analyzes the strategies of engineering companies, as well as value creation in acquisition events of multinational companies, by using the study of the events method, providing an innovative way to be applied to this phenomenon. This method is used in our research to study the influence of the announcement of acquisitions on the abnormal accumulated returns of the acquiring companies, and is allowed to confirm that influence. In general, the average accumulated returns were positive and statistically significant in the three windows of the method, according to the significance tests used. The results validate the hypothesis that the events generate synergy gains for market players, emphasizing the importance of growth via acquisitions for the sector under analysis.
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Marisetty, Nagendra, and M. Suresh Babu. "Stocks Abnormal Returns and Rate of Dividend Announcements." International Journal of Business and Management 16, no. 11 (September 21, 2021): 33. http://dx.doi.org/10.5539/ijbm.v16n11p33.
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The present research study examined the impact of different dividend rate announcements on stocks prices in the Indian stock market. Stocks selected from S&P BSE 500 index and study period from 2008 – 2017. The sample used for this study is 1755 pure cash dividend announcements (492 large-caps, 425 mid-caps, and 838 small-caps). Dividend rates are classified into six classifications to test the stocks' abnormal returns to different dividend classifications. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR). The results were observed twenty-one times based on market capitalization and dividend rate wise for a final dividend announcement. The results of the study are not the same for different dividend rate classifications and different market capitalizations. The study found positive abnormal returns on event day in most of the classifications, and it is similar to Litzenberger and Ramaswamy (1982), Asquith and Mullins Jr (1983), Grinblatt, Masulis and Titman (1984), Chen, Nieh, Da Chen, and Tang (2009) and many previous research results studied in major developed stock markets and emerging stock markets. Full sample and small-cap final dividend rate 100 percent to 199 percent average abnormal returns are positively significant, and other final dividend rate classification abnormal returns are positive in most of the observations, but returns are not significant. Large-cap average abnormal returns are more sensitive to different dividend rates, and small-cap reacts positively in all classifications. So, different market capitalization final dividend actions impact on stocks in India varies in different dividend rate classifications.
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Akbar, Muhammad, and Humayun Habib Baig. "Reaction of Stock Prices to Dividend Announcements and Market Efficiency in Pakistan." LAHORE JOURNAL OF ECONOMICS 15, no. 1 (January 1, 2010): 103–25. http://dx.doi.org/10.35536/lje.2010.v15.i1.a5.
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This study tests the semi-strong form of market efficiency by investigating the reaction of stock prices to dividend announcements. It analyzes cash, stock, and simultaneous cash and stock dividend announcements of 79 companies listed on the Karachi Stock Exchange from July 2004 to June 2007. Abnormal returns from the market model are evaluated for statistical significance using the t-test and Wilcoxon Signed Rank Test. The findings suggest negligible abnormal returns for cash dividend announcements. However, the average abnormal and cumulative average abnormal returns for stock and simultaneous cash and stock dividend announcements are mostly positive and statistically significant.
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Chipeta, Chimwemwe, and Olga Gladysek. "The impact of socially responsible investment index constituent announcements on firm price: evidence from the JSE." South African Journal of Economic and Management Sciences 15, no. 4 (November 20, 2012): 429–39. http://dx.doi.org/10.4102/sajems.v15i4.236.
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This paper examines whether Socially Responsible Investment (SRI) Index constituent announcements have any impact on the returns of firms listing on the JSE SRI Index. The event study methodology is utilised to estimate abnormal returns for the firms included in the Index. The results indicate insignificant average abnormal returns (AARs) for the years 2004, 2006, 2007, 2008 and 2009, suggesting no significant shareholder gains over the entire event window. However, the year 2005 is associated with positive and significant abnormal returns. Post announcement cumulative average abnormal returns (CAARs) are positive for the years 2005 and 2007. However, the year 2008 exhibited extreme swings in CAARs with a general declining trend in the latter part of the event window. These swings are attributed to the global financial crisis of 2008. Furthermore, the cumulative returns for the total sample show no clear outperformance of the SRI over the JSE All Share Index.
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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 our study as we found an average cumulative abnormal return of -0.01 three weeks before the announcement. With respect to the announcement date, the evidence reported in the literature is virtually unanimous in showing negative abnormal returns, meaning that stock issues convey pessimistic information to the market. Our study confirms these findings with an average -0.03 cumulative abnormal return on the first three days following the announcement. Finally, the empirical literature has also collected evidence of long-term negative abnormal returns after the issues, which we also confirm, with an abnormal return of -0.28 after one year following the announcement. The results also show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation.
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Awan, Adil, and Syed M. Amir Shah. "The Price and Volume Effect of Single-Stock Futures Trading on the Pakistani stock market." Lahore Journal of Business 2, no. 2 (March 1, 2014): 1–32. http://dx.doi.org/10.35536/ljb.2014.v2.i2.a1.
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The advent of single-stock futures (SSFs) provides an opportunity to investigate the company-wide impact of futures trading rather than the market-wide response captured through index futures contracts. This study analyzes the price and volume effect of SSFs on the underlying spot market based on a sample of 26 Pakistani firms. The dataset used includes one-year pre- and post-event data on closing prices and trading volumes. We conduct an event study in which the abnormal returns of individual companies and average abnormal returns reveal that futures trading has very little impact on the underlying spot returns. The cumulative abnormal returns show that statistically significant positive abnormal returns are experienced after SSF trading but with negative returns in the pre-event period. We compare pre- and post-event average normalized volumes using the t-test and dummy variable regression; the trend coefficients show a general decrease in trading volume. Consequently, there is an increase in returns and decrease in trading volume post-SSF trading in the Pakistani market.
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Dahlquist, Magnus, and Frank de Jong. "Pseudo Market Timing: A Reappraisal." Journal of Financial and Quantitative Analysis 43, no. 3 (September 2008): 547–79. http://dx.doi.org/10.1017/s002210900000421x.
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AbstractThe average firm going public or issuing new equity underperforms the market in the long run. This underperformance could be related to the endogeneity of the number of new issues if new issues cluster after periods of high abnormal returns on new issues. In such a case, ex post measures of new issue abnormal returns may be negative on average, despite the absence of ex ante abnormal returns. We evaluate this endogeneity problem in event studies of long-run performance. We argue that it is unlikely that the endogeneity of the number of new issues explains the long-run underperformance of equity issues.
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Suryani, Ani Wilujeng, and Karina Dian Pertiwi. "Lombok’s Tsunami and Stock Abnormal Returns." Accounting Analysis Journal 10, no. 1 (February 24, 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 average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss.
Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory
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Shapiro, Daniel M., Lorne N. Switzer, and Dino P. N. Mastroianni. "War And Peace: The Reaction Of Defense Stocks." Journal of Applied Business Research (JABR) 15, no. 3 (August 30, 2011): 21. http://dx.doi.org/10.19030/jabr.v15i3.5668.
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In this paper we examine the response of a portfolio of defense contractors to war- and peace-related events. An event-study methodology is employed, and GARCH estimates of abnormal returns suggest that on balance the defense portfolio responds positively to war-related announcements and negatively to peace-related announcements. A cross-sectional analysis of the abnormal returns to firms in the Gulf War indicates that larger abnormal returns are associated with R&D intensive firms in concentrated industries, while lower abnormal returns are associated with firms that commit to above-average levels of capital expenditures.
Dissertations / Theses on the topic "Accumulated average abnormal returns"
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Punwasi, Kiran. "An event study : the market reactions to share repurchase announcements on the JSE." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22819.
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This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from 2003 to 2012. We use an event study methodology and the Capital Asset Pricing Model to determine if there is an announcement effect when a share repurchase announcement is made. Our analysis show that consistent with signalling theory and the announcement effect, share repurchase announcements are associated with positive abnormal returns. The average abnormal return and cumulative average abnormal return noted was 0.46% and 3.81% respectively for the event period (t -20, t +20). There was an observable trend of declining share prices before the share repurchase announcement however the decline in the shares prices was not significant. We found some evidence of market timing ability in 2005 and 2010 however as a collective, we found no significant difference in timing a share repurchase announcement.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Schoeman, Cornelius Etienne. "Enhancing a value portfolio with price acceleration momentum." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22827.
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Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book-tomarket ratio, dividend yield and EBITDA/EV. Cumulative average abnormal returns (CAAR) were used to compare portfolio results statistically.A substantial contribution is made to the literature by proving that a value-only portfolio can be significantly enhanced by the combination of price acceleration momentum. Results indicated an increase in CAAR from 199.83% to 321.29%. Risk-adjusted returns (Sharpe ratio) were also improved without the detriment of increased share price volatility (standard deviation). This research study further contributes to the literature by proving that a price acceleration momentum indicator adds no additional value over a value portfolio combined with ordinary price momentum.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Axman, Lundbom Fredric, and Edward Nguyen. "En eventstudie om abnormal avkastning på spelsläpp hos svenska spelutvecklarbolag." Thesis, Södertörns högskola, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-45586.
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This essay examines the impact of game releases on the Swedish stock market. As previous research has examined product launches and news releases, this thesis intends to investigate game releases by game developer companies such as developers of computer, console or mobile games. Previous research has been based on a business perspective and business valuation, the authors of this thesis intend to examine the individual investor's perspective. The theoretical framework consists of information asymmetry, the signaling model, the effective market hypothesis, random walk hypothesis and market reaction to new products. The study has chosen a deductive quantitative research approach with the event study method. The sample consists of 14 game developer companies in computer, console and mobile games during theperiod 2017–2021 that are listed on the Swedish market, which were observed during a period of 180 days before the event day and 40 days after. The results showed that there is a statistically significant relationship before, after and during the event day for game releases.The period during and after the event day can also be generalized where 9/14 respective 10/14 game developer companies showed statistically significant within the accumulated abnormal return.Denna uppsats undersöker påverkan av spelsläpp på den svenska aktiemarknaden. Då tidigare forskning har undersökt produktlanseringar och nyhetssläpp ämnar denna uppsats att undersöka spelsläpp av spelutvecklarebolag som utvecklar PC-, konsol eller mobilspel. Tidigare forskning har utgått från ett företagsperspektiv och företagsvärdering, författarna för denna uppsats ämnar undersöka den individuella investerarens perspektiv. Det teoretiska ramverket består av informationsasymmetri, signaleringsmodellen, den effektiva marknadshypotesen, random walk hypothesis och marknadsreaktion till nya produkter. Studien har en deduktiv kvantitativa forskningsansats med eventstudie metoden. Urvalet består av 14 spelutvecklarebolag inom dator-, konsol- och mobilspel under tidsperioden 2017–2021 som är börsnoterade på den svenska marknaden. Dessa bolag observerades under en tidsperiod 180 dagar innan eventdagen och 40 dagar efter. Resultatet visade på att det finns ett statistiskt signifikant samband innan, efter och under eventdagen för spelsläpp. Perioden under och efter eventdagen kan även generaliseras där 9/14 respektive 10/14 spelutvecklarbolag visade på statistisk signifikant inom den ackumulerade abnormala avkastning.
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Pelykh, Halyna. "Wealth creation of mergers and acquisitions : the crisis period of 2008-2009 among U.S. firms." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20860.
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Mestrado em FinançasAs fusões e aquisições são estratégias populares usadas por diversas empresas com variados objectivos. Desta forma, traduzem-se, todos os anos, em transações de biliões de dollars. Ainda assim, estudos mostram que as fusões e aquisições tendem a não criar valor para os acionistas. Recentemente, o Mundo encarou uma crise financeira global que mudou a realidade e as regras em muitas empresas. Através de um estudo de evento, a seguinte dissertação analisa e compara fusões e aquisições americanas considerando três períodos distintos: antes da crise, durante a crise e o pós-crise. Para cada período foi calculado o CAAR e os resultados mostram que há criação de valor para as fusões e aquisições públicas antes da crise. Para além disso, conclui-se que há criação de valor no dia de anúncio da transação para os 3 períodos estudados.
Mergers and acquisitions were always a popular strategy used by numerous companies for diverse reasons. They account for transactions of billions of dollars every year. Nevertheless, researchers proved that M&As often end up not creating value for its shareholders. Recently, the world faced a Global Financial Crisis that changed reality and rules for many businesses. By using an event study, this dissertation studies and compares U.S. M&A deals from three different periods: pre-crisis, crisis, and post-crisis. CAAR values were computed for each period, and the findings state that there is value creation for the public M&A deals that took place before the crisis period. Another result claim there is a creation of wealth on the announcement day for the three periods.
info:eu-repo/semantics/publishedVersion
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Huan-Chu, Huang. "Global Mergers & Acquisitions and Standardized Cumulative Average Abnormal Returns: Empirical Evidence from Taiwan." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2706200615181500.
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Huang, Huan-Chu, and 黃奐衢. "Global Mergers & Acquisitions and Standardized Cumulative Average Abnormal Returns: Empirical Evidence from Taiwan." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/19358136377631036630.
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碩士國立臺灣大學
商學研究所
94
The study originates from the intention to investigate the standardized cumulative average abnormal returns (SCAR) in the stock market and the possible determinants in of the M&A activities, especially the global ones, with Taiwanese enterprises as acquirers due to the topics’ increasing significance and urgent necessity for the enterprises, academia, government, and investors as well under the more prosperous economic environment and more rapid globalization tide. The M&A data were collected from the SDC database with the sampling period from 1/1/1990 to 12/31/2005. The samples are the Taiwanese listed or OTC companies which act as the acquirers in the M&A cases with the transaction scale higher than USD 1 million, amounting to 109 qualified cases. Additionally, the stock market related information was collected from the TEJ databases. Two methodologies are employed in this research. For the investigation on the SCAR, the event study serves; for the analysis of the determinants, the OLS regression functions. Findings of the 109 M&A cases show that the SCAR reaches the peak on the next effective transaction date to the date announced instead of the date announced, complying with the regulations and the spirit of “Guidelines for Mergers or Splits by Listed, OCT, and Emerging Stock Companies” and “Taiwan Stock Exchange Corporation Procedures for Press Conferences Concerning Material Information of Listed Companies”. However, the peak appears to be positive instead of negative. As to the analyses of the determining factors, six variables are examined: acquirer’s industry, diversification, region match, year announced, percentage owned after the transaction, and the transaction scale. The statistical results show that, only diversification surfaces the significant impact on SCAR but with a low R2. That is, the six factors couldn’t be directly verified to contribute to SCAR. The reasons why may be attributed to the different economic stage that Taiwan locates in and U.S.A. belong to. In other words, the emerging economic behavior would diverge from the developed one. In addition, the distinct structures of stock markets in Taiwan and in U.S.A also serve the potential cause.
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Mao, Yu-Fen, and 毛郁芬. "A study on the relationships between the acquiring companies announcement effect and cumulative average abnormal returns." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/62315419258967848918.
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碩士國立臺北大學
企業管理學系
98
In recent years, many corporations in Taiwan are applying the strategies of mergers and acquisitions to reach their purpose of rapid growth. Merger strategies can be classified into vertical mergers、horizontal mergers and conglomerate mergers. The study is aimed at general industries (excluding financial industries, because they are affected by financial tsunami; besides, the sample numbers are very limited), and to examine the impacts of merger announcements from 2004 to 2008. The study examines the effects of acquiring firms’ the cumulative average abnormal returns and average abnormal returns in both electronics firms and non-electronics firms by GARCH model of event study. In addition, we analyze the factors of the cumulative average abnormal returns by building a cross-section regression model; in the model, we enter into corporate governance variables and control variables. The result indicated that there are significant positive average abnormal returns and cumulative average abnormal returns to acquiring companies in all-firms group for merger announcements. Regarding to corporate governance variables, the result indicated that the large number of independent outside directors and the large weight of managers’ ownership are negative to cumulative average abnormal return. It may come from the lack of systematic corporate governance in Taiwan. Regarding to control variables, we enter into industry category (electronics industry or non-electronics industry), form of payment (a subsidiary company, cash, stock or mixed)、the relatedness of the acquiring company and the target company and the acquiring company’s size, and analyze them to cumulative average abnormal returns. The result indicated that industry category of the acquiring company and the relatedness of the acquiring company and the target company are positive to cumulative average abnormal return. The study analyzes the cumulative average abnormal returns of acquiring company. Wishing to help investors and managers make more effective decisions and corporate strategies by considering the factor.
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Mendes, Cátia Marlene da Rocha. "O impacto do anúncio de resultados, das 100 maiores empresas americanas, no preço das suas acções." Master's thesis, 2011. http://hdl.handle.net/1822/17031.
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Dissertação de mestrado em FinançasEste estudo tem como objectivo examinar o impacto do anúncio de resultados no movimento do preço das acções, das 100 maiores empresas americanas de 2009 (ranking publicado pela revista Fortune 500). A metodologia utilizada foi a de estudos de eventos sobre uma amostra constituída por 1416 anúncios de resultados trimestrais, analisados durante o período de 1 de Janeiro de 2005 e 31 de Dezembro de 2009. Na classificação dos eventos foi usado o mesmo método que MacKinlay (1997), constituindo-se desta forma 3 carteiras, a de “Impacto Positivo”, “Impacto Negativo” e “Impacto Nulo”. O problema do clustering de eventos foi resolvido com recurso ao método usado por Das, Pattanayak e Pathak (2008), que permite a obtenção de resultados robustos na presença deste fenómeno. De acordo com os resultados obtidos, foram encontrados valores das rendibilidades anormais médias e acumuladas significativos em torno do dia do anúncio dos resultados, o que permite concluir que o evento em causa transmite informações relevantes para o mercado. Contudo, existem diferenças significativas entre as carteiras constituídas. Na carteira de “Impacto Positivo”, só se verifica valores da rendibilidade anormal média significativos no dia 0, havendo um rápido ajuste do mercado face aos anúncios de resultados. Quanto à carteira de “Impacto Nulo” o ajuste também é relativamente rápido, no entanto, além do dia 0 também se verificou valor estatisticamente significativo no dia 1. A carteira cujo ajuste é mais lento, demorando entre 3 a 4 dias (entre o dia 0 e o dia 3) é de “Impacto Negativo”. Relativamente aos resultados da rendibilidade anormal média acumulada são consistentes entre as carteiras, verificando-se valores significativos até ao dia 5. Desta forma, pode-se concluir que quando os anúncios de resultados superam as expectativas dos analistas, o mercado é rápido no procedimento de ajuste às novas informações. No caso de os anúncios serem inferiores às expectativas, o ajuste é mais lento.
This study aims to examine the impact of earnings announcements in the movement of stock prices of the 100 America‟s largest corporations in 2009 (Fortune 500 magazine ranking). An event study is applied to a sample of 1416 quarterly earnings announcements, analyzed between 1st January 2005 and 31st December 2009. The events were classified according to the methodology followed by MacKinlay (1997). Three portfolios were created, “Positive Impact” portfolio, “Negative Impact” portfolio and “Null Impact” portfolio. The problem of clustering of events was solved using the method used by Das, Pattanayak and Pathak (2008), so that no biased results could be achieved. According to the results, statistically significant values of average abnormal returns and cumulative were found close to the earnings announcements day. This enhances the fact that the event under study disseminates relevant information to the market. However, there are significant differences between the portfolios. For the “Positive Impact” portfolio, significant values of average abnormal returns are identified only for the day 0. With respect to the “Null Impact” portfolio, the adjustment is also fast. In this case evidence of statistically significant average abnormal return is found for the event day as well as for the day 1. In the case of a “Negative Impact” the adjustment is slower, taking 3 to 4 days (between day 0 and day 3). The performance results of cumulative average abnormal return are consistent among the portfolios, and there are significant values up to 5 days. Therefore, one can conclude that when the earnings announcement is higher than analysts‟ expectations, the market quickly adjusts to the new information. In the case of negative impact announcements the adjustment is slower.
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Datta, Arya. "Exploring the effects of ECBs unconventional monetary policy announcements on European stock markets." Master's thesis, 2020. http://hdl.handle.net/10400.14/29823.
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This paper conducts an event-study analysis to investigate the relationship between unconventional
monetary policy announcements by the ECB and corresponding stock returns in
the EMU, furthermore, it also postulates a second hypothesis to ascertain whether this
relationship differs for firms listed amongst exchanges in Northern region of the EU name
Germany, France and The Netherlands with their Southern Counterparts in the EMU, namely
Italy, Portugal and Spain between 2006 and 2015. 10-year Government bond yields for Italy
and Germany are used to calculate the surprise coefficient, while the returns are calculated from
the return’s indices of the firms on the CAC, PSI, IBEX, DAX, AEX, and MIB30. The
significance of the variations of the Returns are tested with Wilcoxon and GRANK tests (Non-
Parametric) for AARs and CAARs respectively. The results suggest that there is a relationship
between an unconventional monetary policy announcement and stock returns. The results also
indicate that this relationship differs for Northern and Southern European firms. The Average
Abnormal Returns (AARs) and Cumulative Average Abnormal Returns (CAARs) indicate
opposite movement of stock returns in most cases. Finally, an event study analysis is also
conducted on 6 portfolios of Europe wide firms segregated through an intersection of firm size
and market capitalisation, the results of which do not show enough evidence to claim
substantive inference.Este artigo conduz uma análise de estudo de evento para investigar a relação entre anúncios de política monetária não convencionais do BCE e retornos de ações correspondentes na UEM. Além disso, postula uma segunda hipótese para verificar se essa relação difere para as empresas listadas nas bolsas de valores. Região norte do nome da UE Alemanha, França e Países Baixos, com suas contrapartes do sul na UEM, nomeadamente Itália, Portugal e Espanha entre 2006 e 2015. Os rendimentos dos títulos do governo a 10 anos para Itália e Alemanha são usados para calcular o coeficiente de surpresa, enquanto os retornos são calculados a partir dos índices de retorno das empresas no CAC, PSI, IBEX, DAX, AEX e MIB30. A significância das variações dos retornos é testada com os testes Wilcoxon e GRANK (não paramétricos) para AARs e CAARs, respectivamente. Os resultados sugerem que existe uma relação entre um anúncio de política monetária não convencional e o retorno das ações. Os resultados também indicam que esse relacionamento difere para as empresas do Norte e do sul da Europa. Os retornos anormais médios (AARs) e os retornos anormais médios cumulativos (CAARs) indicam um movimento oposto dos retornos das ações na maioria dos casos. Por fim, também é realizada uma análise de estudo de eventos em 6 carteiras de empresas na Europa, segregadas por uma interseção entre tamanho da empresa e capitalização de mercado, cujos resultados não mostram evidências suficientes para reivindicar inferência substantiva.
Book chapters on the topic "Accumulated average abnormal returns"
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns." In Location Strategies and Value Creation of International Mergers and Acquisitions, 319–20. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app2.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Domestic Mergers and Acquisitions." In Location Strategies and Value Creation of International Mergers and Acquisitions, 321–22. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app3.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for International Mergers and Acquisitions." In Location Strategies and Value Creation of International Mergers and Acquisitions, 323–24. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app4.
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"Daily Average Cumulative Abnormal Returns (CAR) and the Location of the Target (Mature Countries Versus Emerging Countries)." In Location Strategies and Value Creation of International Mergers and Acquisitions, 325–26. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app5.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Mergers and Acquisitions in Mature Countries." In Location Strategies and Value Creation of International Mergers and Acquisitions, 327–28. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app6.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Mergers and Acquisitions in Emerging Countries." In Location Strategies and Value Creation of International Mergers and Acquisitions, 329–30. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app7.
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Sornette, Didier. "Financial Crashes are “Outliers”." In Why Stock Markets Crash. Princeton University Press, 2017. http://dx.doi.org/10.23943/princeton/9780691175959.003.0003.
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This chapter provides evidence that large financial crashes are “outliers.” It first considers the limitation of standard analyses for characterizing how crashes are special before explaining what abnormal returns are. It then discusses the results of a study of the frequency distribution of drawdowns, or runs of successive losses, and shows that large financial crashes form a class of their own that can be seen from their statistical signatures. It also examines the expected distribution of “normal” drawdowns, along with the drawdown distributions of stock market indices such as the Dow Jones Industrial Average and the Nasdaq index. The chapter argues that the presence of outliers is a general phenomenon and concludes by describing how large drawdowns and crashes that result from a run of losses over several successive days affect the regulation of stock markets.
Conference papers on the topic "Accumulated average abnormal returns"
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"DEVELOPING MULTIVARIATE MODELS TO PREDICT ABNORMAL STOCK RETURNS - Using Cross-sectional Differences to Identify Stocks with Above Average Return Expectations." In International Conference on Neural Computation. SciTePress - Science and and Technology Publications, 2010. http://dx.doi.org/10.5220/0003075704110419.
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