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1
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.
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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.
3
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.
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Sukadarma, I. Komang Agus Tresna, N. W. K. Dewi, and I. K. Parnata. "The Analysis of Abnormal Stock Returns in LQ-45 Index during Covid-19 Pandemic." Journal of Applied Sciences in Accounting, Finance, and Tax 4, no. 1 (April 15, 2021): 28–33. http://dx.doi.org/10.31940/jasafint.v4i1.2413.
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This research aimed: (1) to identify the average distinction of abnormal stock-return in LQ-45 during Covid-19 Pandemic around January-May 2020 in Indonesia, and (2) to identify the highest average abnormal stock-return during Covid-19 Pandemic around January-May 2020. The research sample used LQ-45 Share through purposive sampling method. Abnormal return denotes to the indicator used to measure the market reaction due to the particular event. Kolmogorov Smirnov and Kruskal Wallis test are used to assess the normality data and examine whether there was average distinction of abnormal stock-return in LQ-45 during Covid-19 Pandemic around January-May 2020 in Indonesia. The research finding represents that there is an average distinction of abnormal stock-return in LQ-45 during Covid-19 Pandemic in Indonesia. The most significant distinction shown on March 2020 which the average abnormal return value is 71.93, decreasing from February 2020 in average value of 102.43. Based on the data analysis, it is identified 17 companies with positive abnormal return whose highest average abnormal return during the pandemic around January-May 2020 is Barito Pacific Tbk (BRPT) company in value of 0.11399140.
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Matsumoto, Guilherme Seigo, Guilherme Prandi Baraldi, and Michele Nascimento Jucá. "Estudo de Eventos Sobre o Anúncio da Emissão de Debêntures." Brazilian Review of Finance 16, no. 3 (November 16, 2018): 493. http://dx.doi.org/10.12660/rbfin.v16n3.2018.65363.
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This paper aims to analyze the hypothesis that debenture issues generate positive abnormal returns in the shares of the issuing companies. For this purpose, a study of events is carried out between January 2014 and June 2015, based on the date of the announcement of the beginning of the distribution of the debentures. The study analyzes 40 pre-and post-conference sessions. The final sample is made up of 11 Brazilian non-financial companies. As a result, it can be verified that the majority of accumulated abnormal returns are positive and statistically different from zero, confirming the hypothesis of this study. This fact points to signals of semistrong market efficiency.
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Wiranda, Sindi. "The Return Difference between Before and After Issuance of Sharia Bonds (Sukuk)." International Journal of Business, Management & Economics Research 1, no. 1 (October 4, 2020): 1–7. http://dx.doi.org/10.47747/ijbmer.v1i1.41.
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This study aims to analyze sharia downloading which returns shares on the Indonesian Stock Exchange. This study uses a study program to see the average abnormal returns around the sharia promulgation date (sukuk) and the average difference in abnormal returns before and after sharia withdrawal (sukuk). The population in this study were all sharia negotiations published in the 2014-2019 period. and still published in February 2020. The window period is 60 days (t - 30 and t + 30) with a sample of 15 publication events. The method used in this study was the t test and Wilcoxon signed rank test. The results showed that there was an average significant abnormal return around the date of promulgation of sharia (sukuk), namely on the 29th and 1st days before the promulgation of sharia (sukuk). And the results of the Wilcoxon sign rank test show that the significance level is 0.003, which means that H0 is accepted so that there is a significant difference in average returns between before and after the announcement of the sharia withdrawal (sukuk) announcement.
14
Liu, Min (Shirley). "Does Selected Portfolio Investment Earn Abnormal Returns?" International Journal of Accounting and Financial Reporting 9, no. 2 (April 15, 2019): 416. http://dx.doi.org/10.5296/ijafr.v9i2.14851.
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Finance literature suggests that average returns on common stocks are associated with firm characteristics such as size, book-to-market ratio, and growth. In this paper, I evaluate the performance of the selected portfolio when comparing with the benchmark portfolio (e.g., a market index), and document the anomalies earned by the selected portfolio. However, after matching the selected and benchmark portfolios by size and book-to-market ratio, the selected portfolio underperforms the benchmark portfolio. The results for testing anomalies are mixed, which is consistent with the previous literature that “apparent anomalies can be due to research methodology, most long-term return anomalies tend to disappear with reasonable changes in technique” (Fama 1998). The results are robust to the usage of Fama and MacBeth regression method and nonparametric signed-rank test, indicating that the results are not likely due to random chance.
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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 (December 4, 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, the target was private, or the transaction was cash-financed, the acquiring trust experienced larger abnormal returns. During the crisis period, the acquiring trust gained larger abnormal returns when the transaction value was larger. After the crisis period, the acquiring trust achieved less abnormal returns in cross-border mergers. For both pre- and after-crisis periods, the shareholders of the acquirer enjoyed larger abnormal returns when the mergers were cash-financed, regardless of whether the target was public or privately held. Neither the blockholder monitoring nor the signaling hypothesis can explain such value gains. The structural changes in the acquirer’s abnormal returns are possibly due to the increased risk aversion of the market participants following the crisis.
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Thomas, Steven L., and Morris M. Kleiner. "The Effect of Two-Tier Collective Bargaining Agreements on Shareholder Equity." ILR Review 45, no. 2 (January 1992): 339–51. http://dx.doi.org/10.1177/001979399204500210.
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This study uses an event-time methodology to examine the impact of two-tier agreements on shareholder equity from 1981 through 1986. Following announcements of two-tier agreements, about half of the firms in the sample had negative abnormal returns (returns with values below the expected market returns) and half had positive abnormal returns. Because the positive returns exceeded the negative returns in absolute value, however, there was a statistically significant increase in mean firm value. The abnormal returns averaged between + 2% and + 4% over a 10- to 12-week period following the announcement, a figure that approximately equals the transactions cost of a stock purchase. The authors speculate that this rather low average gain may help explain the marked decline of new two-tier agreements during the latter half of the 1980s.
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Faccio, Mara, John J. McConnell, and David Stolin. "Returns to Acquirers of Listed and Unlisted Targets." Journal of Financial and Quantitative Analysis 41, no. 1 (March 2006): 197–220. http://dx.doi.org/10.1017/s0022109000002477.
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AbstractWe examine announcement period abnormal returns to acquirers of listed and unlisted targets in 17 Western European countries over the interval 1996–2001. Acquirers of listed targets earn an insignificant average abnormal return of –0.38%, while acquirers of unlisted targets earn a significant average abnormal return of 1.48%. This listing effect in acquirers' returns persists through time and across countries and remains after controlling for the method of payment for the target, the acquirer's size and Tobin's Q, pre-announcement leakage of information about the transaction, whether the acquisition created a blockholder in the acquirer's ownership structure, whether the acquisition was a cross-border deal, and other variables. The fundamental factors that give rise to this listing effect, which has also been documented in U.S. acquisitions, remain elusive.
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Iqbal, Dr. "Seasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements." International Journal of Accounting and Financial Reporting 1, no. 1 (November 16, 2014): 501. http://dx.doi.org/10.5296/ijafr.v4i2.6622.
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This study examines whether the Indian stock market is efficient in semi-strong form and seasonality exists. For this purpose, we take the first and fourth quarters’ results of companies for the years 2008 to 2011. We divide companies into good news and bad news portfolios on the basis of percentage changes in net profits and net sales. We use event study methodology. The results reveal that average abnormal returns occur randomly and cumulative average abnormal returns are significant for both portfolios. Fourth quarter results give better positive signals to the market than first quarter results. We conclude that seasonality exists in the Indian stock market and it is also semi-strong form inefficient and investors can use this opportunity to buy and earn abnormal profit.
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Parmar, Kanaiyalal Shantilal, and Chakrapani Chaturvedula. "The Effectiveness of Trade for Trade Segment as a Surveillance Effort to Prevent Price Manipulation: Evidence from India." Accounting and Finance Research 6, no. 1 (December 6, 2016): 9. http://dx.doi.org/10.5430/afr.v6n1p9.
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Indian Stock Exchanges use trade for trade segment as part of surveillance activity to restrict the unwanted growth in prices to safeguard the interest of the investors. This paper studies the impact of the announcement to shift securities to trade for trade segment on stock returns and volatility of the stock returns using event study methodology. It was found that the securities have generated exorbitant positive average abnormal returns during 30 days in the pre event period, which led the exchanges to shift these stocks to trade for trade segment. The event is found to be significantly impacting average abnormal returns during 30 days in the post event period showing the negative price reaction. Also volatility of the stocks returns is found to be increasing post the announcement.
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Bhattacharjee, Arnab, and Sudipto Roy. "Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns." Journal of Risk and Financial Management 12, no. 2 (March 29, 2019): 50. http://dx.doi.org/10.3390/jrfm12020050.
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Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor model, typically the Fama-French model. By drawing upon recent panel data literature with cross-section dependence, we argue that the Fame-French factor model can be enriched by allowing explicitly for network effects between stock returns. We show that recent empirical work is consistent with the above interpretation, and we advance some hypotheses along which new structural models for stock returns may be developed. Applied to data on stock returns for the 30 Dow Jones Industrial Average (DJIA) stocks, our framework provides exciting new insights.
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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 (December 19, 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 fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.
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Rathinasamy, R. S. "Stock repurchases by real estate investment trusts (REITS), stockholder returns and underperformance, free cash flow and capital restructuring motives." Corporate Ownership and Control 5, no. 1 (2007): 214–18. http://dx.doi.org/10.22495/cocv5i1c1p5.
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Returns accruing to the stockholders of 149 Real Estate Investment Trusts (REITs) following the announcement of stock repurchases covering a five-year period from 1998 to 2002 are analyzed. Standard market model (Brown and Warner, 1985) was used to compute the excess returns. Results show that stockholders earn significant average abnormal returns (AARs) and cumulative average returns (CARs) following stock buy-backs. Further, evidence is uncovered providing support for various motives for REITs buyback, namely excess free cash flow, under-performance and capital restructuring motives.
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Silva, Alan Willame de Souza, Tabajara Pimenta Junior, Mara Alves Soares, Luiz Eduardo Gaio, and Marcelo Augusto Ambrozini. "Mergers and Acquisitions in Brazilian Higher Education Companies." Finance & Economics Review 3, no. 1 (April 24, 2021): 23–37. http://dx.doi.org/10.38157/finance-economics-review.v3i1.286.
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Purpose: The objective of this study is to detect and measure the occurrence of extraordinary returns to the shareholders of private higher education companies, listed on the Brazilian stock market, B3, when mergers and acquisitions occur.
Methods: This study uses the Event Study technique on process data from 46 merger and acquisition events, that occurred in the period of 2007- 2015, involving the three main Brazilian private higher education companies, and applies the Z-statistic to test the accumulated standard abnormal returns.
Results: Based on the results, it is possible to affirm that the presence of abnormal returns was not detected after merger and acquisition events. Events of this nature do not promote changes in the short-term value of the company, in the cases of large and publicly traded Brazilian private higher education companies.
Implications: The announcement of a merger or acquisition process has wide repercussions in the media and attracts the attention of investors that aims to gain abnormal earnings from anticipated post-merger value creation. This study showed that the potential gain in value does not always occur or is reflected in the stock prices of the companies involved, in the short term.
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Affleck-Graves, J. F., T. P. Flach, and A. S. Jacobson. "The effect of merger announcements on the share prices of the acquired and acquiring companies." South African Journal of Business Management 19, no. 4 (December 31, 1988): 147–54. http://dx.doi.org/10.4102/sajbm.v19i4.985.
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In this paper the cumulative average residual (CAR) methodology is used to examine the effect merger announcements have on the returns earned by both the shareholders of the acquiring companies and the acquired companies. The results indicate that shareholders of the acquired companies earn significant positive abnormal returns in the ten weeks prior to the merger announcement. On the other hand no evidence is found of positive abnormal returns accruing to the shareholders of the acquiring companies. Indeed, if anything, the abnormal returns are negative for this group of shareholders. Finally empirical results are presented which indicate the effect on the CAR plots of different research methods. These results indicate that different CAR plots can be obtained from the different methods. However, these differences are not sufficient to alter the overall conclusions of the study.
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Bae, Sung C., and Jae R. Park. "Acquisition of Failing Firms and Stockholder Returns." Journal of Accounting, Auditing & Finance 9, no. 3 (July 1994): 511–29. http://dx.doi.org/10.1177/0148558x9400900310.
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The effects of stock-exchanged acquisitions of failing firms on shareholder returns of acquiring firms are examined. This study finds that stocks of acquiring firms, on average, do not experience any significant positive abnormal returns during the announcement period. A further analysis, however, shows that there is a striking difference in the announcement effects between nonbank and bank acquisitions of failing target firms. Although nonbank acquisitions are associated with significant positive abnormal returns, bank acquisitions are associated with negative, although insignificant, abnormal returns during the announcement period. These findings are robust to the choice of a particular event-study technique. The overall results of this study suggest that investors do not perceive the acquisition of failing firms, particularly that of failing target banks, as favorable, and that the market for failing firms is overall competitive and efficient.
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Schultz, Paul. "Rational Cross-Sectional Differences in Market Efficiency: Evidence from Mutual Fund Returns." Journal of Financial and Quantitative Analysis 45, no. 4 (July 2, 2010): 847–81. http://dx.doi.org/10.1017/s0022109010000359.
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AbstractMarkets should be inefficient enough to allow returns to security analysis to adequately compensate the marginal analyst for his efforts. Cross-sectional differences in the costs of analysis therefore imply cross-sectional differences in market efficiency and in before-cost returns to smart investors. Small growth stocks are difficult to analyze and costly to trade. I find that the abnormal returns of mutual fund investments in small growth stocks from 1980 to 2006 averaged 0.76% per month. Large value stocks are easier to analyze and cheaper to trade. Mutual funds earned average monthly abnormal returns of only 0.05% in large value stocks during the same period.
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Fauzi, Fitriya, Dani Foo, and Abdul Basyith. "Islamic Bond Announcement: Is There Any Effect on Returns?" Global Business Review 18, no. 2 (March 16, 2017): 327–47. http://dx.doi.org/10.1177/0972150916668602.
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This article investigates the effect of Islamic debt announcement on stock returns. Using data from 80 Malaysian firms and 20 Indonesian firms, which span from 2000 to 2009, an event study analysis is employed in this study; hence, the data of the daily closing stock prices for 2 years prior and 1 year after the announcement date are required in order to calculate the abnormal return using the abnormal return benchmark (mean adjusted return, market adjusted return and market model return). The findings for the event study analysis, using three benchmarks, reveal that there is a negative and significant impact for both average abnormal returns (AAR) and cumulative average abnormal returns (CAAR) for Malaysia. In contrast to the findings for Malaysia, the impact of Islamic debt announcement, using three benchmarks, is positive and significant for both AAR and CAAR for Indonesia. The unit root test result for Malaysia indicates that the market is efficient in the context of weak form efficiency, which suggests that the price movements are unpredictable. In contrast to Malaysia, the unit root test result for Indonesia indicates that the market is inefficient in the context of weak form efficiency, which suggests that the price movements are predictable.
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Marisetty, Nagendra, and M. Suresh Babu. "Dividend Announcements and Market Trends." International Journal of Economics and Finance 13, no. 10 (September 15, 2021): 139. http://dx.doi.org/10.5539/ijef.v13n10p139.
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This research primarily aims to study the impact of dividend announcements on the stock price of companies listed in the Indian stock market. Incidental to the study, it is necessary to understand whether the market trends have any role in affecting the changes in share prices due to dividend announcements. The companies listed on the stock market are diverse in terms of the industry, market capitalization, and performance. We analyze the S&P BSE 500 index stocks, which declare cash dividend every year without fail for ten years from 2008 – 17. Total 1755 sample was tested for dividend announcement and sample divided into large, medium, and small sample sizes based on the market capitalization of the stocks to test the market trend effect. Event methodology market model used to calculate the abnormal returns on the dividend announcement day.
The present research study examined the impact of dividend announcements on stocks in the Indian stock market. The results observe in twenty-four times based on market capitalization wise and market trend-wise dividend announcements. The results of the study are not the same for all dividend announcement observations. The study found positive abnormal returns on event day in most of the dividend announcement observations 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, large-cap, and small-cap final dividend average abnormal returns are positively significant only in bull market trend (period 2) similar to Below and Johnson (1996) and other market trends final dividend announcement abnormal returns are positive in most of the observations, but returns are not significant. Average abnormal returns are sensitive to market trends, especially abnormal small-cap returns more vulnerable to market trends.
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Lo, Chen-Chang, Yaling Lin, Jiann-Lin Kuo, and Yi Ting Wen. "The Relation Between Trading Volume Concentration and Stock Returns." International Journal of Economics and Financial Research, no. 73 (July 11, 2021): 82–89. http://dx.doi.org/10.32861/ijefr.73.82.89.
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The Taiwan Stock Exchange discloses data on daily trading volume across brokerage firms for each listed stock. Market practitioners suggest that the concentration of trading volume contains information on the trading behaviors of big players. We use the Gini Coefficient to measure the degree of concentration, upon which a trading strategy is proposed. We conduct an event study to examine whether such a strategy will yield abnormal returns. Our sample contains 375 listed companies with events identified during the sample period from February 2020 to August 2020. The empirical results show that the trading signal based on the Gini coefficient is informative and that most of the average abnormal returns after the event date are significantly positive with the cumulative average abnormal returns increasing almost monotonically up to the end day of the event window. Consistent with prior studies in which different measures of concentration are utilized, our findings provide additional evidence that the Gini Coefficient could help investors to develop profitable stock selection and market timing strategies.
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Lee, BokHyun. "The Relationship between Technology Life Cycle and Korean Stock Market Performance." International Journal of Financial Studies 6, no. 4 (October 29, 2018): 88. http://dx.doi.org/10.3390/ijfs6040088.
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Through the three industrial revolutions, technology has enabled rapid changes in society. In a capitalist society, capital is invested where there is utility, for example, economic benefit. We intend to determine that the stock price of a company that uses a particular technology will change with the life cycle of the technology in question. Specifically, we filtered companies that mainly deal with augmented reality and are listed in Korea’s KOSDAQ market. We grouped these companies based on detailed technologies that constitute augmented reality. We used the event study method to calculate the stock returns against a benchmark. As a result, in the “Peak of Inflated Expectations” stage, the portfolios of all companies using augmented reality generally show higher returns than the benchmark. However, it is difficult to ascertain whether a return generated based on one of the detailed technologies that make up augmented reality is higher or lower than that of the benchmark. During the “Trough of Disillusionment” phase, there was neither a consistent trend of cumulative abnormal returns (CAR) nor buy-and-hold abnormal returns (BHAR). However, during this stage, there was a positive correlation of average BHAR and average abnormal returns between the entire sample’s portfolio and each detailed technology firm’s portfolio.
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M’ng, Jacinta Chan Phooi, Mahfuzur Rahman, and Goh Kok Kit. "Announcements effect of corporate bond issuance on share price returns." International Journal of Emerging Markets 15, no. 3 (October 2, 2019): 534–58. http://dx.doi.org/10.1108/ijoem-11-2018-0601.
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Purpose The purpose of this paper is to investigate the effect of bond issuance announcements on share price returns in three emerging markets and examine the characteristics of bond issues that affect the abnormal share price returns of the company. Design/methodology/approach This study employs event study, correlation and multiple regression techniques to attain the research objectives. The authors test hypotheses on 105 public listed companies from Malaysia, Singapore and Thailand, during the period of 2008–2014. Findings The findings show positive cumulative average abnormal returns resulting from the announcement of corporate bond issuance for Malaysia, Singapore and Thailand. The results reveal that there is a significant effect of bond issuance announcements on share price returns. The results also disclose that the market is not efficient at its semi-strong form as proposed by the market efficiency hypothesis. Originality/value The results provide better references for fund managers and investors in capital markets to take advantage of the abnormal returns resulting from bond issuance announcements.
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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 (July 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 market returns. When the beta coefficients were analyzed, it was seen that the coefficients were equal to the theoretically-expressed average market beta coefficient. Thus, the city indices and the market are moving in the same direction, and the results are statistically significant.
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Deniz, E. Asena, and Fatih Kılıç. "The Covid-19’s Impact on Stock Prices among Different Sectors - An Event Study Based on the Istanbul Stock Exchange Market." Economics Literature 3, no. 1 (August 1, 2021): 22–31. http://dx.doi.org/10.22440/elit.3.1.3.
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The Covid-19 pandemic has deeply affected our health and social life as well as the financial markets. Although the global economic effects of the coronavirus are not yet clear, it is observed that there is a reaction in the financial markets to the developments related to the pandemic. Studies show that the pandemic has strong impact on stock markets and increases uncertainty. The purpose of this study is to examine whether the stock prices of companies traded on the Istanbul Stock Exchange Market between 02.14.2019 and 04.01.2020 are affected by the Covid-19 pandemic. In this context, the stock prices of the six major sectors traded and thought to be affected in Istanbul Stock Exchange Market during the period examined were analyzed using the "event study" method of the effects of Corona virus. In the analysis, the event window was taken as (- 15, + 15) trading days. The effects of the Corona virus in the relevant period were examined separately for each company in the selected sectors, and after calculating the abnormal returns, the effect on the average abnormal returns and cumulative abnormal returns were analyzed. According to the research results; when the general picture of selected sectors in Covid-19 is examined, statistically significant negative average cumulative abnormal returns are obtained. According to these results, Istanbul Stock Exchange has affected by Covid-19 pandemic during the period under examination.
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Pratama, Versiandika Yudha, and Happy Sista Devy. "THE PHENOMENON OF RATIFYING REVISION OF THE KPK LAW: HOW INVESTOR REACTED?" JURISMA : Jurnal Riset Bisnis & Manajemen 11, no. 1 (April 30, 2021): 51–63. http://dx.doi.org/10.34010/jurisma.v11i1.2871.
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This research aimed to determine there are difference in average abnormal returns of companies in the Jakarta Islamic Index (JII) before and after phenomenon the revised Corruption Eradication Commission Act, which is on September 17th, 2019. This research use event study for method and the data in this study are secondary data in the form of stock price. Sampling technique uses purposive sampling method. Determined sampling technique, 27 companies were obtained as research samples. Tests conducted are one sample t-test and paired sample t-test. The result of the one sample t-test showed that the phenomenon of ratifying the revision of the KPK law becomes meaningful information to investors and investors show that reactions to these event. It showed by the result of significant and negative abnormal returns in the few day before and several days after phenomenon. The result of the second hypothesis testing indicate that there is no significant difference the average abnormal return before and after the ratification of revised Corruption Eradication Commission Act
Keywords: Revision of KPK Law, Average Abnormal Return, Event Study
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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 (April 25, 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 the target company. We estimate the abnormal return around 51 individual takeover announcements and investigate determinants of the abnormal returns. Our results show that the takeover announcement on average yields a positive, but insignificant abnormal return to the bidding firm’s shareholders. The announcement effect on the announcement day is 0.63%, while the cumulative average abnormal return for an eleven day event window is 1.39%. Both pre-event and post-event abnormal returns are statistically insignificant, although there is sign of a price run-up during the last week prior to the announcement. We document a significant negative relationship between the bidder’s abnormal return on the announcement day and the size of the deal, but a positive relationship between the announcement effect and the relative size of the deal. We also document a weak negative relationship between the abnormal returns and the relative size of the target to the bidder. Among the other takeover characteristics we do not find any statistically significant relationship to the announcement effect.
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Rexon, Nainggolan, and Ei Yet Chu. "EARNINGS ANNOUNCEMENT, ABNORMAL RETURNS, AND MARKET EFFICIENCY IN INDONESIA EQUITY MARKET: AN ANALYSIS FROM INDUSTRIAL FACTOR PERSPECTIVE." International Journal of Industrial Management 7 (September 1, 2020): 30–41. http://dx.doi.org/10.15282/ijim.7.0.2020.5752.
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The paper examines the market efficiency of nine industry sectors of the IDX market. Using an event window of 30 days post-earnings announcement stock returns after the public announcement of the financial statements as of 31 December 2018, the study tests the significance of cumulative average abnormal returns surrounding the earnings announcement. The study concludes that there are significant variances in the market efficiency towards earnings announcement across nine industry sectors in IDX. The finding indicates that the industry-specific factors influence the level of abnormal returns surrounding the earnings announcement. However, the findings reject the market efficiency in agriculture (AGRI) and property, real estate, and building (PROP) industries. The results illustrate that the miscellaneous industry (MISC) reacts immediately to the earnings announcement, but its significance is only for a short period. The infrastructure, utilities, and transportation (INFRA) industry show delays in its response to the announcement but continuously significant for a relatively long period. Other industries of mining (MINING), basic industry and chemicals (BASIC), construction, real estate, and building (CONS), financial (FIN), as well as trading, services, and investments (TSI), report significant negative CAARs in all investigated windows. The One Way ANOVA testing concludes that the nine industries' cumulative average abnormal returns on IDX are significantly different from each other sectors.
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Castro, F. Henrique, and Claudia Yoshinaga. "Underreaction to open market share repurchases,." Revista Contabilidade & Finanças 30, no. 80 (August 2019): 172–85. http://dx.doi.org/10.1590/1808-057x201806230.
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ABSTRACT This article aims to investigate the long-term performance of a portfolio of firms that announced the repurchase of their own stocks in the Brazilian market from 2003 to 2014. Open market stock repurchase is a means to distribute cashflow to shareholders. Some of the reasons for a firm to buy back its own stocks are: to adjust its capital structure; to reduce excessive cash levels; as an alternative to dividends; and signaling to the market in order to reduce information asymmetry between the firm and its investors. If the signaling hypothesis is true, then forming a portfolio with shares that announce repurchases generates abnormal returns in the long run. Our results show that repurchase announcements in the open market signal stock underpricing, and abnormal returns can be earned using this strategy. Results are inconsistent with the semi-strong form of the efficient markets hypothesis, which states that one cannot earn abnormal returns with publicly available information. We obtained abnormal returns using the capital asset pricing model (CAPM) and Fama and French three-factor model. Additionally, we divided the sample in growth and value firms. We found that the average abnormal return for firms that announce repurchase programs ranges from 5.4% to 7.9% for up to a 3-year period after the announcement. For value companies (more likely to repurchase stocks due to undervaluation), abnormal returns can reach up to 11.5% per year.
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Rubanov, Dmitrij, and Matthias Nnadi. "The impact of international financial reporting standards on fund performance." Accounting Research Journal 31, no. 1 (May 8, 2018): 102–20. http://dx.doi.org/10.1108/arj-01-2017-0020.
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Purpose The purpose of this paper is to examine the effect of international financial reporting standards (IFRS) on the performance of UK investment closed-end trust funds with domestic equity focus using Carhart’s Four-Factor model. Design/methodology/approach The paper is based on the Efficient Market Hypothesis, which argues that all available information is already included in the price of assets, and therefore, investors cannot beat the market or generate abnormal returns. Findings The results show that on average, UK investment trusts neither do generate abnormal returns, nor is their performance persistent. This paper provides empirical evidence to support the efficient market hypotheses and provides proof that the adoption of IFRS has, on average, a decreasing impact on the excess returns generated by UK investment trusts. Originality/value The findings of this paper have business policy implications for investment trust in the UK.
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Yousef, Ibrahim. "When Good Things Turn Bad: Evidence from G-7 Serial Acquirer Bidding." Asian Academy of Management Journal of Accounting and Finance 16, no. 2 (December 23, 2020): 145–77. http://dx.doi.org/10.21315/aamjaf2020.16.2.7.
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This study investigates the impact of acquirer bidding experience on acquiring abnormal returns based on empirical evidence from a large sample of 10,880 bidders making 23,852 deals from G-7 countries. Both event study and regressions analysis have been used to examine the impact of acquirer bidding experience on acquirer returns. The findings show that “single acquirers” achieve higher returns, with a cumulative average abnormal return (CAAR) of 3.354%, but this number tends to decrease with increasing numbers of previous bids. In addition, the results of the bivariate analysis demonstrate that a single acquisition alone generates greater abnormal returns than those which are part of a series of acquisitions, with very robust results even after accounting for additional heterogeneity in payment method, target status and country/industry diversification. The findings of the multivariate analysis also confirm that serial acquirers are associated with significantly lower abnormal returns. This evidence conflicts with the notion that more experience with mergers and acquisitions (M&As) will correspond to improve target valuation and thus lead to more profitable agreements. In contrast, my findings imply that shareholder wealth is destroyed by serial acquirers, which suggests that the goal of maximising firm value is not always the sole motivation for engaging in M&A activities.
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Amaroh, Siti. "COVID-19 OUTBREAK AND CAPITAL MARKET REACTION: AN EVIDENCE FROM THE JAKARTA ISLAMIC INDEX 70." Share: Jurnal Ekonomi dan Keuangan Islam 9, no. 2 (December 23, 2020): 227. http://dx.doi.org/10.22373/share.v9i2.7887.
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The COVID-19 outbreak has become a global problem affecting human life entirely. This paper provides evidence of the market reaction to Jokowi’s announcement regarding the first patient of COVID-19 in Indonesia on March 2, 2020. This research is an event study that looks at whether or not there is a difference in average abnormal returns of 'go public' companies registered on The Jakarta Islamic Index (JII) 70 both before and after the announcement. The observations were made 9 days before the announcement and 9 days after the announcement. Based on descriptive data, the average stock returns of JII 70 fluctuated which increased on the first day after the announcement but decreased sharply after the fifth day of the announcement. The test showed that the average abnormal returns are negative both before and after the announcement. The paired sample t-test provided evidence that there is a difference in the average abnormal return during the testing period between before and after the announcement. The market reacted negatively to the announcement indicated by negative average abnormal return and support a semi-strong market hypothesis.========================================================================================================Wabah Covid-19 dan Reaksi Pasar Modal: Bukti dari Jakarta Islamic Index 70. Wabah COVID-19 telah menjadi masalah global yang mempengaruhi kehidupan manusia sepenuhnya. Paper ini memberikan bukti reaksi pasar terhadap pengumuman Presiden Jokowi mengenai pasien perta COVID-19 di Indonesia pada 2 Maret 2020. Penelitian ini merupakan studi peristiwa yang melihat apakah terdapat perbedaan rata-rata abnormal return perusahaan go public yang terdaftar di Jakarta Islamic Index (JII) 70 baik sebelum maupun sesudah pengumuman. Pengamatan dilakukan 9 hari sebelum pengumuman dan 9 hari sesudah pengumuman. Berdasarkan data deskriptif, rata-rata return saham JII 70 mengalami fluktuasi yang meningkat pada hari pertama setelah pengumuman namun menurun tajam pada hari kelima setelah pengumuman. Hasil pengujian menunjukkan bahwa rata-rata abnormal return bernilai negatif baik sebelum maupun sesudah pengumuman. Uji-t sampel berpasangan memberikan bukti bahwa terdapat perbedaan rata-rata abnormal return selama periode pengujian antara sebelum dan sesudah pengumuman. Pasar bereaksi negatif terhadap pengumuman yang ditunjukkan oleh rata-rata abnormal return negatif dan mendukung hipotesis pasar semi-kuat.
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Lee, Jung-Gyo, and Kyung-A. Ko. "The Market Responses to Super Bowl Advertising: The Role of Product Type and Multiple Executions." Sustainability 13, no. 13 (June 25, 2021): 7127. http://dx.doi.org/10.3390/su13137127.
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This study uses event study analysis to examine the impact of Super Bowl commercials on the stock prices of sponsoring firms by product type and the frequency of ad executions. By examining 272 Super Bowl advertisements from 142 firms that aired from 2010 to 2019, the results show that the execution of Super Bowl advertising was positively associated with excess returns. In particular, the abnormal return for the day after the event represents the largest gain in excess returns over a period of ±10 days around the event day. Further, cumulative average abnormal returns (CAARs) are consistently positive right after the event day. The findings demonstrate that Super Bowl commercials yielded higher returns for low-involvement and hedonic products. The number of ad executions is found to substantially enhance the effectiveness of Super Bowl advertising.
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Chu, Eric Liluan. "The Investment Strategy of Free Cash Flow Multiple." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (September 1998): 355–67. http://dx.doi.org/10.1142/s0219091598000223.
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This study applies the investment strategy recommended by Hackel and Livnat (1993), the free cash flow (FCF) multiple, in Taiwan after the promulgation of Taiwan's FASB No. 95 in 1989. The results indicate that the portfolio with the higher FCF/Price ratio significantly rewards returns in excess of the market. Instead of using earnings/price ratio in the forming portfolio, the study shows that the decile portfolio with the highest FCF/Price ratio significantly outperforms the market during the period from 1990 to 1994. If daily returns are adjusted by the market model, the decile portfolio presents an average 20.5268% cumulative abnormal returns in the testing period, which is statistically higher than zero. The results also indicate that the annual cumulative abnormal returns of the FCF/Price ratio based portfolio are all positive. The annual results also show that the decile portfolio performs much better when the market declines significantly. The outperformance still exists if returns are adjusted by the market without considering risk. The decile portfolio presents an average 8.198% abnormal with a significant t value returns. The superiority of free cash flow in forming portfolio exists but with a decreasing trend when the portfolio is enlarged. The result implies that either the firms with extremely high FCF/Price ratios are undervalued by the market or the market responses slowly to their superior performance in cash flows. The finding supports Hackel and Livnat's (1993) arguments. It suggests that free cash flow is useful information especially for the forming portfolio. The results also enhance the usefulness of the statement of cash flow.
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Akyol, Ali C., Wei Fen Lim, and Patrick Verwijmeren. "Shareholders in the Boardroom: Wealth Effects of the SEC’s Proposal to Facilitate Director Nominations." Journal of Financial and Quantitative Analysis 47, no. 5 (June 14, 2012): 1029–57. http://dx.doi.org/10.1017/s0022109012000373.
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AbstractCurrent attempts to reform financial markets presume that shareholder empowerment benefits shareholders. We investigate the wealth effects associated with the Securities and Exchange Commission’s rule to facilitate director nominations by shareholders. Our results are not in line with shareholder empowerment creating value: The average daily abnormal returns surrounding events that increase (decrease) the probability of the proposal’s passage are significantly negative (positive). Furthermore, given an increase in the probability of the proposal’s passage, firms whose shareholders are more likely to use the rule to nominate directors experience more negative abnormal returns.
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Gupta, Anjali, and Purushottam Kumar Arya. "Impact of splits on stock splits ratios around announcement day: empirical evidence from India." Investment Management and Financial Innovations 17, no. 3 (October 6, 2020): 345–59. http://dx.doi.org/10.21511/imfi.17(3).2020.26.
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Stock split should not have any impact on share prices, and there should be no value creation. The purpose of this study is to find any impact of stock splits announced in India between 1999 and 2019 on stock returns. The study aims to find differences in the impact of stock splits on stock returns with differences in stock split ratios. To examine the impact, the study includes 224 splits and adopts the standard event study methodology to find results. The presence of an abnormal return around split announcement day is the main factor, which determines the impact of stock split on the stocks. Average Abnormal Returns and Cumulative Average Abnormal Returns on percentage basis, z-test and p-value are used to statistically analyze the impact on stock prices around the announcement day of splits. These tests are used across different window periods (e.g., 20 days, 10 days and 5 days) around the event day (announcement day) to check if the impact of the event continues or decreases over time. The results point to a significant positive impact of stock splits on the returns of stock around the day the split was announced. The results also show that the impact is stronger for stock splits with ratios 10:1 (2.72 percent) and 10:2 (2.14 percent). It can be suggested that 10:1 and 10:2 are the most popular split ratios that receive maximum ongoing response to splits in the announcement window.
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Herlambang, Salsabiilaa Nadiah Putri, and Puji Sucia Sukmaningrum. "REAKSI PASAR SAHAM TERHADAP PENGUMUMAN STOCK SPLIT PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2013-2018." Jurnal Ekonomi Syariah Teori dan Terapan 7, no. 4 (June 29, 2020): 704. http://dx.doi.org/10.20473/vol7iss20204pp704-713.
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Stock split is a breakdown of the nominal value of stocks into smaller ones carried out by the issuer. This study aims to determine and explain the reaction of the stock market to the announcement of a stock split made by issuers of all sectors in the 2013-2018 Indonesian Sharia Stock Index (ISSI). This study uses a quantitative approach using event studies to analyze market reactions to events. Sampling using purposive sampling and obtained 50 companies and two companies do two stock splits. The sample analysis technique uses the One-Sample Test t-test and Paired Sample t-test with an observation period of 31 days which is 15 days before the announcement of the stock split and 16 days after the announcement of the stock split. The results obtained from this study are that there is no significant abnormal return before the announcement of the stock split, but there is a significant abnormal return after the stock split, although a little. However, there is no significant cumulative average abnormal return as a reaction before or after the stock split. This study also found no significant differences in abnormal returns before and after stock split and changes in cumulative average abnormal returns before and after stock split that was not significant.Keywords: Market Reaction, Stock Split, Average Abnormal Return, Indonesian Sharia Stock Index (ISSI)
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Kemuning, Ni Luh Dea, Ida Bagus Teddy Prianthara, and I. Made Andika Pradnyana Wistawan. "Reaksi Pasar terhadap Peristiwa Politik 2019 di Indonesia." E-Jurnal Akuntansi 31, no. 7 (July 25, 2021): 1746. http://dx.doi.org/10.24843/eja.2021.v31.i07.p11.
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This study examines the information content in political events in 2019, namely the appointment of the president and vice president and the announcement of the Kabinet Indonesia Maju. Market reaction is measured by abnormal returns, security return variability, and trading volume activity. The observation period in this study was five days before and after the event, with a sample of 20 companies affiliated with the winner of the election and 25 companies at the announcement of the Indonesian Maju Cabinet. The results of hypothesis testing indicate that there is a difference in the average abnormal return in the event of the appointment of the elected president and vice president, but there is no difference in security return variability and trading volume activity. Furthermore, hypothesis testing shows that there is a significant difference in average trading volume activity before and after the announcement of the Kabinet Indonesia Maju, but there is no difference in abnormal return and security return variability.
Keywords: Market Efficiency; Event Studies; Abnormal Returns; Security Return Variability; Trading Volume Activity.
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Rafik, Abdur, and Embun Arafah. "THE INTRA-INDUSTRY SPILLOVERS OF INDONESIAN RIGHT OFFERINGS." MIX: JURNAL ILMIAH MANAJEMEN 9, no. 1 (February 18, 2019): 190. http://dx.doi.org/10.22441/mix.2019.v9i1.012.
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This study aims to examine the spillover effect of right offerings to the industry on the Indonesian Stock Exchange in the period 2009-2016. This study is designed using event study methodology. In total, there are 96 issuing companies (issuers) and 1205 non-issuing companies (non-issuers) used as the sample which was obtained using a purposive sampling technique. The test for information content on the right issues was conducted using standard t-test on the average cumulative abnormal return of issuers and non-issuers in the period t-10 to t+10 around the issuance. The research found positive abnormal returns for issuers in t0 to t+4 but did not confirm the spillover effect to non-issuers over the observed (window) periods. The average cumulative abnormal returns are randomly distributed during the window period. These results confirm the absence of intraindustry effect of right issues on the non-issuers’ performance
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Syed Arshad Ali Shah, Naimat Ullah Khan, and Muhammad Daud Ali. "Testing Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data." Journal of Accounting and Finance in Emerging Economies 6, no. 1 (March 31, 2020): 1–10. http://dx.doi.org/10.26710/jafee.v6i1.1054.
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This study examines market efficiency in the light of the simple moving average technical trading rules on daily closing share prices of 100 companies listed on Pakistan Stock Exchange over ten years from 2006 to 2015. The results show strong support for simple moving average rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of these simple moving average rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.
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Wang, Kuei-Yuan, Su-Chun Peng, and Yen-Sheng Huang. "The Intraday Performance of Contrarian Strategies: Evidence from the Taiwan Stock Exchange." Review of Pacific Basin Financial Markets and Policies 12, no. 04 (December 2009): 655–74. http://dx.doi.org/10.1142/s0219091509001794.
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This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.
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Yu, Jing Long, Tse Mao Lin, and Xin Hui Wu. "Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?" International Journal of Economics and Financial Research, no. 73 (July 11, 2021): 90–101. http://dx.doi.org/10.32861/ijefr.73.90.101.
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Using the event study method to analyze one year of daily trading data of formal and Over-The-Counter (OTC) stocks in Taiwan, this study investigates whether the Brexit referendum led to abnormal returns, as well as the financial characteristics of the stocks, and the influential financial variables. The Taiwan stock market had negative abnormal returns on the day of the Brexit referendum. The high-abnormal return group was more significantly affected than the low-abnormal return group. The book-to-market ratio, price-to-earnings ratio, yield rate, average foreign shareholding ratio, and stocks overbought and oversold had a more significant impact on the low-abnormal return group. Abnormal returns were generated mostly in the OTC (Over-The-Counter) market. This event affected financial stocks more significantly than electronics and information technology stocks. The effects on formal stocks, OTC (Over-The-Counter) stocks, and the overall market were the most significant for the turnover rate and stocks overbought and oversold, yield rate, and turnover rate and book-to-market ratio, respectively. The results confirm that the model of the impact of a special event on the behavioral response in the Taiwan stock market can be used to predict changes in stock market prices when a special event occurs in the future.