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Journal articles on the topic 'Buy-and-hold abnormal return (BHAR)'

Author: Grafiati

Published: 4 June 2021

Last updated: 15 February 2022

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1

Dutta, Anupam, and Probal Dutta. "Pricing of IPOs: further evidence from South Africa." Corporate Ownership and Control 12, no. 4 (2015): 281–85. http://dx.doi.org/10.22495/cocv12i4c2p4.

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We examine the long-term performance of 225 IPOs listed on the Johannesburg Securities Index (JSE) during the period from 1996 to 2006. The buy-and-hold abnormal return (BHAR) method and the calendar time portfolio (CTP) approach have been employed to measure the long-run performance of IPO stocks. The findings reveal that IPOs are highly underpriced when the abnormal returns are estimated by BHAR methodology. However, the use of control firm approach instead of market index for measuring abnormal performances significantly reduces the magnitude of this underpricing reported in previous studie

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2

Jena, Sarthak Kumar, Chandra Sekhar Mishra, and Prabina Rajib. "Do Indian Companies Manage Earnings Before Share Repurchase?" Global Business Review 21, no. 6 (2019): 1427–47. http://dx.doi.org/10.1177/0972150919856993.

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This article aims to detect the opportunistic EM before share buyback and its impact on the short-term and long-term abnormal return. The study also examines the relationship between EM and promoters’ holdings in the company. A sample of 117 companies over 1998–2013 is analyzed in the study. The quality of earnings is measured using discretionary accruals (DAs), and it is calculated by four different methods, that is, the Healy model (1985), DeAngelo model (1986), modified Jones model (1995) and performance-matched model (2005). Cumulative abnormal return (CAR) is calculated for a short-term a

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Jaskiewicz, Peter, Víctor M. González, Susana Menéndez, and Dirk Schiereck. "Long-Run IPO Performance Analysis of German and Spanish Family-Owned Businesses." Family Business Review 18, no. 3 (2005): 179–202. http://dx.doi.org/10.1111/j.1741-6248.2005.00041.x.

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This article examines the long-run stock market performance of German and Spanish initial public offerings (IPOs) between 1990 and 2000. We distinguish between family-and nonfamily-owned business IPOs by using the power subscale of the F-PEC. Buy-and-hold-abnormal returns (BHAR) are calculated in order to determine abnormal returns. Our results show that three years after going public, investors, on average, realized an abnormal return of − 32.8% for German and − 36.7% for Spanish IPOs. In both countries, nonfamily business IPOs perform insignificantly better. Regression analyses show that for

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Ledwani, Sanket, Suman Chakraborty, and Sandeep S. Shenoy. "Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study." Investment Management and Financial Innovations 18, no. 2 (2021): 20–36. http://dx.doi.org/10.21511/imfi.18(2).2021.03.

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The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of

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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 (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 t

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Komenkul, Kulabutr, and Santi Kiranand. "Aftermarket Performance of Health Care and Biopharmaceutical IPOs: Evidence From ASEAN Countries." INQUIRY: The Journal of Health Care Organization, Provision, and Financing 54 (January 1, 2017): 004695801772710. http://dx.doi.org/10.1177/0046958017727105.

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We examine the evidence from the long-run abnormal returns using data for 76 health care and biopharmaceutical initial public offerings (IPOs) listed in a 29-year period between 1986 and 2014 in the Association of Southeast Asian Nations (ASEAN) countries such as Indonesia, Malaysia, Singapore, Thailand, the Philippines, Vietnam, Myanmar, and Laos. Based on the event-time approach, the 3-year stock returns of the IPOs are investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). As a robustness check, the calendar-time approach, related to the market model as

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Dutta, Anupam. "Seasoned Equity Offerings: Further Evidence from Australia." Global Business Review 18, no. 4 (2017): 1010–18. http://dx.doi.org/10.1177/0972150917692403.

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While numerous empirical studies document significant long-run underperformance of seasoned equity offerings (SEOs) in different security markets, Allen and Soucik (2008, Mathematics and Computers in Simulation, 78(2–3), 146–154) argue that such an underperformance is dependent on the definition of ‘long-run’. They show that if ‘long-run’ is defined as 12 years instead of the usual 5 years, Australian SEOs seem to turn around their performance particularly during the sixth and seventh year, and the abnormal performance tends to disappear by the eighth year. This article reassesses whether the

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Komenkul, Kulabutr, Mohamed Sherif, and Bing Xu. "Prospectus disclosure and the stock market performance of initial public offerings (IPOs): the case of Thailand." Investment Management and Financial Innovations 13, no. 4 (2016): 160–79. http://dx.doi.org/10.21511/imfi.13(4-1).2016.02.

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This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the long-run performance of equity issuers using hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI), in the 12-year period between 2001 and 2012. The stock returns of the IPOs were investigated using cumulative abnormal return (CAR) and buy-and-hold abnormal return (BHAR). The authors find a significant impact for the level of use-of-proceeds disclosure on IPO underpricing, and further that the ex-ante uncer

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Singh, Amit Kumar, and Srishti Jain. "Foreign Direct Investment and Initial Public Offerings: Exploring the Roads Less Travelled." FIIB Business Review 9, no. 4 (2020): 309–18. http://dx.doi.org/10.1177/2319714520973849.

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This article examines the performance of initial public offerings (IPOs) issued by the economic sectors in India. It analyses the level of underpricing measured by market adjusted initial return (MAIR), short-run performance measured by market-adjusted abnormal return (MAAR) and long-run performance measured by 3-year buy and hold abnormal return (BHAR) methodology relative to Sensex and Nifty for 40 IPOs approaching the capital market during the period 2006–2016. The selection of IPOs is based on the foreign direct investment (FDI) limit of USD 3,000 million in each economic sector, that is,

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Khadim, Muhammad Irfan, and Samreen Fahim Babar. "IPO Intra Industry Effects on Peer Firm's Earnings, Composition and Stock Returns." Global Economics Review VI, no. II (2021): 41–48. http://dx.doi.org/10.31703/ger.2021(vi-ii).04.

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The present study is conducted to see how an IPO event affects the existing firm's performance within the same industry. For this purpose, 88 IPO firms were examined from Pakistan Stock Exchange (PSX) from 1998-2016. IPO is examined from three major perspectives IPO proceeds, initial returns and time Lag between IPO listing date and IPO subscription. The study uses Buy and Hold Abnormal Returns (BHAR) and Cumulative Abnormal Returns (CAR) to calculate competitor's abnormal returns. To calculate the operating performance of competitors, the Wilcoxon significance test was applied. IPO intra-indu

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Alqahtani, Faisal, and Zakaria Boulanouar. "Long-run market performance of initial public offerings in Saudi Arabia: Does sharia-compliant status matter?" Corporate Ownership and Control 14, no. 3 (2017): 293–98. http://dx.doi.org/10.22495/cocv14i3c2art3.

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This research presents a comprehensive analysis of initial public offerings (IPOs) in Saudi Arabia, using a sample of 72 IPOs examined during the period between 2004 and September 2010. To compute the market performance of the IPOs, we split the sample into two sub-samples: sharia-compliant and non-sharia-compliant and we use two methods of calculations which are buy and hold abnormal returns (BHAR) and cumulative abnormal returns (CAR). In contrast to the majority of reported outcomes worldwide, our results show that based on one-year after-market performance, on average, underperformance doe

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Tewari, Manish, Pradip Banerjee, and Soumen De. "Valuation effects of cultural disparity on cross border mergers: The evidence from India." International Journal of Finance & Banking Studies (2147-4486) 8, no. 4 (2019): 21–40. http://dx.doi.org/10.20525/ijfbs.v8i4.551.

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The object of this study is to explore the effect of cultural distance on both the long run and short run performance of cross border mergers and acquisitions undertaken by Indian acquiring firms. We utilize buy and hold returns (BHAR), cumulative abnormal returns (CAR) and cross-sectional regression analysis in our study. Adopting the traditional Hofstede measure of cultural distance and other pertinent variables, commonly used to measure cultural differences, we document a negative and statistically significant influence of cultural distance on Indian cross-border M&As and corroborate so

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Dhamija, Sanjay, and Ravinder Kumar Arora. "Determinants of Long-run Performance of Initial Public Offerings: Evidence from India." Vision: The Journal of Business Perspective 21, no. 1 (2017): 35–45. http://dx.doi.org/10.1177/0972262916681243.

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The article examines the long-run performance of 377 initial public offerings (IPOs) made by Indian companies during the period 2005–2015. The objectives of the article are to analyze whether Indian IPOs underperform or outperform the broad market in the long run and to identify the key determinants of their long-run performance. The results show that the Indian IPOs outperform the broad market initially followed by significant underperformance in the long run. The IPOs listed on the main board during 2005–2015 yielded average initial excess returns (IERs) of about 22 per cent. However, 37 per

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Hasan, Md Mahadi, Yusnidah Ibrahim, Raji Jimoh Olajide, Mohd Sobri Minai, and Md Mohan Uddin. "Malaysian Acquiring Firms' Shareholders' Wealth Effect Following Cross-Border Acquisition." Journal of Accounting and Finance in Emerging Economies 3, no. 2 (2017): 147–58. http://dx.doi.org/10.26710/jafee.v3i2.95.

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Purpose: The purpose of this study is to investigate long run shareholders' wealth effect (SWE) of Malaysian acquiring firms following cross-border acquisition (CBA). Methodology: Using buy-and-hold abnormal returns (BHAR) measure of SWE and Euclidean distance method for identifying matching firms, the study investigated 176 CBA deals of Malaysian acquiring firms for the years 2004-2015. Both parametric tests (such as conventional t-statistics, skewness adjusted t-statistics, bootstrapping skewness adjusted t-statistics and Multivariate of Analysis of Variance) and non-parametric statist

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Sahoo, Seshadev, and Prabina Rajib. "After Market Pricing Performance of Initial Public Offerings (IPOs): Indian IPO Market 2002–2006." Vikalpa: The Journal for Decision Makers 35, no. 4 (2010): 27–44. http://dx.doi.org/10.1177/0256090920100403.

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This paper is motivated by the apparent belief that IPOs are underpriced on the initial listing day and thereafter underperforms compared to the market benchmark. While evaluation of the listing day performance seems straightforward on surface, it actually invokes several complications for the subsequent performance measurement. This paper focuses on the evaluation of price performance of IPOs up to a period of 36 months including the listing day. It also examines the usefulness of IPO characteristics at the time of issue to seek an explanation for the post-issue price performance. The paper p

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Hassan, Mohamad, and Evangelos Giouvris. "Financial institutions mergers: a strategy choice of wealth maximisation and economic value." Journal of Financial Economic Policy 12, no. 4 (2020): 495–529. http://dx.doi.org/10.1108/jfep-06-2019-0113.

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Purpose This study Investigates Shareholders' value adjustment in response to financial institutions (FIs) merger announcements in the immediate event window and in the extended event window. This study also investigates accounting measures performance, comparison of post-merger to pre-merger, including several cash flow measures and not just profitability measures, as the empirical literature review suggests. Finally, the authors examine FIs mergers orientations of diversification and focus create more value for shareholders (in the immediate announcement window and several months afterward)

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Hull, Robert Martin, Sungkyu Kwak, and Rosemary Walker. "Hedge fund variables and short-run SEO returns." International Journal of Managerial Finance 14, no. 3 (2018): 322–41. http://dx.doi.org/10.1108/ijmf-09-2017-0194.

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Purpose The purpose of this paper is to determine if hedge fund variables (HFVs) are associated with short-run daily buy and hold abnormal returns (BHARs) for a 30-day window around announcement dates for seasoned equity offerings (SEOs). Design/methodology/approach This paper utilizes the event study metric that computes BHARs. These BHARs are used in a regression model as dependent variables with HFVs and nonhedge fund variables (NFVs) as independent variables. For regression tests, standard errors are clustered at the month level. Findings This paper offers three new findings. First, HFVs a

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Mumtaz, Muhammad Zubair, and Ather Maqsood Ahmed. "Long-Run Pricing Performance of Initial Public Offerings (IPOs) in Pakistan." NUST Journal of Social Sciences and Humanities 2, no. 2 (2021): 97–140. http://dx.doi.org/10.51732/njssh.v2i2.14.

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This study investigates the long-run pricing performance of 90 IPOs listed on the Karachi Stock Exchange from 1995 to 2010. This study finds evidence that IPOs show signs of underpricing and underperform over three years after listing; however, the observed pattern of underperformance is not always statistically significant. The equal-weighted buy-and-hold abnormal returns and calendar-time analysis confirm the significance of the IPO underperformance over the three year period after listing on the exchange. Extreme bounds analysis is used to test the sensitivity and robustness of twenty six e

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

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

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El Ansary, Osama, and Mona Atuea. "Testing the Effect of Technical Analysis Strategies on Achieving Abnormal Return: Evidence from Egyptian Stock Market." Accounting and Finance Research 6, no. 2 (2017): 26. http://dx.doi.org/10.5430/afr.v6n2p26.

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This study examined the effect of using inter and exit signals of three of the most common used technical analysis strategies on achieving abnormal return compared with the buy and hold strategy in the Egyptian security market. The tests were done using data for short term, relatively long term, during bull and bear market. Using bootstrap methodology and wilcoxon/mann-whitney test for daily closing prices during the period from 1-1-1998 to 14-1-2016, the results indicated that; First, market timing with technical analysis yields more return and reduces risk in general. Second, short term inve

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

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

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Rossi, Fabrizio. "Creation or Destruction of Value in Mergers? An Empirical Analysis on the Italian Stock Market." International Journal of Business & Technology 1, no. 1 (2012): 27–40. http://dx.doi.org/10.33107/ijbte.2012.1.1.04.

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The objective of this paper is to investigate whether mergers create value for shareholders in both the short and long term. For this purpose, 120 announcements of mergers that were registered in Italy during the period 1994-2006 among listed companies were examined. The short-term analysis was conducted using the event study methodology in order to estimate the cumulative abnormal returns (CARs) in the time window around the announcement date (-10, +10). In this work, the sample of 120 mergers was divided into two sub-samples: the first considers the mergers that were carried out in all secto

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Blajer-Gołębiewska, Anna, and Leszek Czerwonka. "Corporate governance and propensity to share information: The long-run effect." Corporate Ownership and Control 10, no. 1 (2012): 399–407. http://dx.doi.org/10.22495/cocv10i1c4art1.

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The optimal corporate governance system aims to give shareholders confidence that a company is managed efficiently, to create the highest possible profit and to preserve a firm’s reputation. The aim of the research is to find out if the lower level of information asymmetry in corporate governance systems in the Polish listed companies implies higher rates of return for shareholders in the future. We put forward a hypothesis that the impact of lower information asymmetry on company’s performance is overestimated and in reality no long-run effect on the higher abnormal returns occurs. Taking int

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Dutta, Anupam. "Investigating long-run stock returns after corporate events: the UK evidence." Corporate Ownership and Control 12, no. 1 (2014): 298–307. http://dx.doi.org/10.22495/cocv12i1c2p7.

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The objective of this paper is to assess the robustness of the existing long-run event study methodologies in the UK stock market. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar time portfolio method to identify the long-term abnormal performance following corporate events. Although many recent studies consider the application of these two widely used approaches, each of the methods is a subject to criticisms. This paper uses the standardized calendar time approach (SCTA) which presents a number of important improvements over the traditional calendar

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Sekhar, Bichith C., and A. Umamaheswari. "A Study On Technical Analysis With Reference To International Forex." Think India 22, no. 3 (2019): 1129–44. http://dx.doi.org/10.26643/think-india.v22i3.8470.

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The foreign exchange market (Forex, FX, or currency market) is a global decentralized market for the trading of currencies. The foreign exchange market assists international trade and investments by enabling currency conversion. Our study is to test the technical tools to analyze about the technical impact and its return in the market. For this purpose 13 cross currency pairs were taken as sample size and Jensen’s Alpha, Beta, Relative Strength Index, and Buy and Hold Abnormal Return were used as technical tool for analysis and the conclusion is that it’s not preferred to invest in JPY pairs a

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Badshah, Koerniadi, and Kolari. "Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases." Journal of Risk and Financial Management 12, no. 4 (2019): 179. http://dx.doi.org/10.3390/jrfm12040179.

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The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not significantly related to buy-and-hold abnormal stock returns. However, further evidence reveal a significant relationship between implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that option traders have private information on the volatility of stock returns and superior information

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Masry, Mohamed. "The Impact of Technical Analysis on Stock Returns in an Emerging Capital Markets (ECM’s) Country: Theoretical and Empirical Study." International Journal of Economics and Finance 9, no. 3 (2017): 91. http://dx.doi.org/10.5539/ijef.v9n3p91.

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Technical analysis, even if deliberated by some as purely conjecture, is still generally acknowledged as additional information to main brokerage companies. There are existent two reasons for the achievement of technical analysis and why its success is still debated: (1) stock return predictability stems from efficient markets that can be analysed by time-varying equilibrium returns, and (2) stock return predictability forms from prices wandering apart from their fundamental valuations. Fundamentally, both explanations show some kind of overall market inefficiency where investors are capable o

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Papachristou, George, Stephanos Papadamou, and Eleftherios Spyromitros. "Asymmetric price responses to stock addition to and deletion from the Athens Stock Exchange Index." Managerial Finance 44, no. 4 (2018): 406–23. http://dx.doi.org/10.1108/mf-12-2016-0350.

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Purpose The purpose of this paper is to investigate the response of investors to the announcements on the inclusion and exclusion of companies from the FTSE-ASE 20 index. Design/methodology/approach Data on the inclusion and exclusion of companies from the FTSE-ASE 20 index in the period 2000-2012 were used. The authors performed an event study analysis using a constant return model and a market model. Two different measures of aggregated abnormal returns, namely the cumulating abnormal returns and the buy-and-hold abnormal return, were used in this investigation. Findings The results suggest

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Fonseca, Nelson Ferreira, Wagner Moura Lamounier, and Aureliano Angel Bressan. "Retornos Anormais no Ibovespa Utilizando Modelos para Dados de Alta Frequência." Brazilian Review of Finance 10, no. 2 (2012): 243. http://dx.doi.org/10.12660/rbfin.v10n2.2012.3654.

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This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting models have been built: ARIMA, ARFIMA, VAR, and VECM. The trading strategies tested were: net trading strategy, buy and hold strategy, and filter strategy – better than average predicted return. The period of analysis of this paper extends from August 1, 2006 to October 16, 2009. In this work, it wa

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Sholichah, Mu’minatus, Basuki ., and Andry Irwanto. "Divergences of Opinion and Long Term Performance of Post Stocks Initial Public Offerings at Indonesia Stock Exchange." International Journal of Emerging Research in Management and Technology 6, no. 7 (2018): 7. http://dx.doi.org/10.23956/ijermt.v6i7.179.

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This study examines and analyzes the effect of divergence of opinion on long-term performance of stock post IPO with initial return control variable, firm size, offering size, reputation of underwriter and return on equity. The study was conducted using 2004-2013 data, with 157 IPO companies in Indonesia capital market. The test is done by using multiple linear regression. The results of this study found that the divergence of opinion has a positive effect on the long-term performance of post-IPO shares. This occurs in the long-term performance period of post-IPO shares with an abnormal cumula

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Lizińska, Joanna, and Leszek Czapiewski. "Long-Term Equity Performance in Poland – Searching for Answers with the Calendar-Time Portfolio Approach." Folia Oeconomica Stetinensia 19, no. 1 (2019): 43–55. http://dx.doi.org/10.2478/foli-2019-0004.

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Abstract Research background: The study examines the performance of companies that are going public with equity issuance (IPO) in Poland. Purpose: Some scholars argue that the buy-and-hold strategy that has been quite widely used suffers from cross correlation and the “bad model” problem. Hence, the calendar-time portfolio approach is used to extend the methodology. Research Methodology: The empirical procedure is two-step. At the beginning, we calculate an average abnormal return for the portfolio of IPOs firms. The portfolio is rebalanced each month. Next, the risk-adjusted performance is me

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Du, Min, Frank Kwabi, and Tianle Yang. "State ownership, prior experience and performance: a comparative analysis of Chinese domestic and cross-border acquisitions." International Journal of Accounting & Information Management 29, no. 3 (2021): 472–91. http://dx.doi.org/10.1108/ijaim-01-2021-0027.

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Purpose Drawing on three theoretical frameworks, this paper aims to examine the effects of state-owned enterprises (SOEs) and the interaction between SOEs and prior acquisition experience of Chinese domestic and cross-border acquirers. Design/methodology/approach Using a sample of 4,116 firms consisting of 3,939 domestic mergers and acquisitions (M&As) and 177 cross-border M&As over the period 2004–2017, this study adopts both accounting- and market-based performance measures, namely, return on assets, return on equity and buy-and-hold abnormal return to analyse the effects of SOEs and

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Dang, Huong Dieu, and Michael Jolly. "Red flags for IPO downfalls in New Zealand." Managerial Finance 43, no. 9 (2017): 1034–51. http://dx.doi.org/10.1108/mf-05-2017-0197.

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Purpose The strong performance of New Zealand’s equity market and the Government’s efforts to encourage small investors to invest in initial public offering (IPO) firms raises two questions: should retail investors invest in IPO offers and what types of IPOs are worth buying in the long term? The paper aims to discuss these issues. Design/methodology/approach The authors construct buy and hold equally weighted portfolios of IPOs and peers based on sales forecast, market capitalisation, and price-to-book ratio. The authors employ four benchmark-adjusted performance measures: cumulative average

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Bhabra, Harjeet Singh, and Ashrafee Tanvir Hossain. "The Sarbanes-Oxley Act and corporate acquisitions." Managerial Finance 43, no. 4 (2017): 452–70. http://dx.doi.org/10.1108/mf-10-2016-0291.

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Purpose The purpose of this paper is to analyze and compare the performance of corporate acquisitions between the pre- and post-SOX periods, using both short-term and long-term analyses. Design/methodology/approach The sample includes 9,463 mergers and tender offers undertaken by publicly traded US firms between 1996 and 2009. The authors used the standard event study methodology for short-term performance analysis; Berkovitch and Narayanan (1993) method to identify merger motives; and standard benchmark adjusted return on assets (sales) (Barber and Lyon, 1996) and buy-and-hold abnormal return

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Han, Lei, and Daniel F. Hsiao. "Examination of firm performance following the early adoption of SFAS 142." International Journal of Accounting & Information Management 25, no. 2 (2017): 138–76. http://dx.doi.org/10.1108/ijaim-09-2015-0062.

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Purpose The purpose of this study is to investigate the long-term performance of firms that early adopted Statement of Financial Accounting Standard 142 (SFAS 142). Design/methodology/approach In particular, the paper focuses on a relatively lengthy time frame after the standard became effective in 2002 and examines whether the firms which early adopted SFAS 142 exhibit different characteristics from their non-early adopting counterparts when comparing operating returns, stock returns and earnings quality over the same time period. Profit margin, return on assets and return on equity are used

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Farooqi, Javeria, Thanh Ngo, and Surendranath Jory. "Real activities manipulation by bidders prior to mergers and acquisitions." Review of Accounting and Finance 16, no. 3 (2017): 322–47. http://dx.doi.org/10.1108/raf-12-2014-0132.

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Purpose This study aims to examine the ability of investors to process signs of real activities manipulations at bidder firms in the quarters leading to the announcement of a merger. It further provides a supplementary explanation for the post-merger underperformance puzzle. Design/methodology/approach Examining a sample of cash-only, stock swap and mixed mergers completed between 1980 and 2011, it was found that bidder firms increase the use of real activities manipulation in the quarters leading up to the merger announcements. Using average abnormal stock return method, it is shown that the

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Grigorieva, Svetlana, and R. Morkovin. "The Effect Of Cross-Border And Domestic Acquisitions On Shareholder Wealth: Evidence From Brics Acquirers." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 8, no. 4 (2014): 34–45. http://dx.doi.org/10.17323/j.jcfr.2073-0438.8.4.2014.34-45.

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Svetlana A. Grigorieva National Research University The Higher School of Economics grigorievasa@mail.ru The topic devoted to cross-border M&A performance has received wide attention in academic literature.Most existing studies examine wealth effects of international M&As in developed countries. Wecontribute to existing research by examining the market reaction to the announcements of M&As initiatedby companies from BRICS countries over 2000–2012. We assess the long-term performance ofM&A deals along with the short-term one and provide a copmarative analysis of company wea

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Dogru, Tarik, Aysa Erdogan, and Murat Kizildag. "Marriott Starwood merger: what did we learn from a financial standpoint?" Journal of Hospitality and Tourism Insights 1, no. 2 (2018): 121–36. http://dx.doi.org/10.1108/jhti-10-2017-0009.

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Purpose The purpose of this paper is to measure and observe stock market and investor reactions (benchmark adjusted cumulative abnormal returns (CARs)) to the announcement of Marriott’s acquisition of Starwood and related merger and acquisition (M&A) news and related activities over a two-year period. Design/methodology/approach Empirical models and quantifications were developed and tested through event study analysis to test the Marriot-Starwood M&A news and related activities and to observe the abnormal stock return patterns. Several data sources were employed including Factiva by D

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Killins, Robert, and Peter V. Egly. "The long-run performance of US firms pursuing IPOs in foreign markets." Review of Accounting and Finance 17, no. 1 (2018): 58–77. http://dx.doi.org/10.1108/raf-04-2016-0059.

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Purpose The purpose of this paper is to investigate the long-run performance of a unique set of US domiciled firms that have bypassed the US capital markets in pursuit of their initial public offering (IPO) overseas. Additionally, this paper then tests the popular underwriter prestige impact and the window of opportunity hypothesis on this unique subset of IPOs. Design/methodology/approach Using a sample of foreign and purely domestic IPOs made by US firms from 2000 to 2011, this study investigates the long-term performance, one-, two- and three-year by using two measures (buy-and-hold return

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Sarma, S. N. "Stock Market Seasonality in an Emerging Market." Vikalpa: The Journal for Decision Makers 29, no. 3 (2004): 35–42. http://dx.doi.org/10.1177/0256090920040303.

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The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the efficient market postulate. One major anomaly brought forth was the calendar-related abnormal rates of return. Various studies in this domain empirically demonstrated, through parametric and non-parametric te

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Woo, Won-Seok, Suhyun Cho, Kyung-Hee Park, and Jinho Byun. "Excess offer premium and acquirers’ performance." Studies in Economics and Finance 35, no. 3 (2018): 407–25. http://dx.doi.org/10.1108/sef-06-2016-0135.

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PurposeThis paper aims to investigate the causes of mergers and acquisitions (M&A) deals that acquiring firms pay excess premium beyond the market-expected level and examine the relation between the announcement return and long-term performance of the acquiring firms.Design/methodology/approachBased on a sample of 1,767 US firms’ M&A deals from 2000 to 2014, the authors use the expectation model used by Ang and Ismail (2015) to measure normal offer premium in an M&A deal. They conduct the standard event study methodology to observe the market reaction for acquiring companies on the

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Arora, Nischay, and Balwinder Singh. "The long-run performance of SME IPOs in India: empirical evidence from Indian stock market." Journal of Asia Business Studies ahead-of-print, ahead-of-print (2020). http://dx.doi.org/10.1108/jabs-10-2019-0305.

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Purpose The purpose of this paper is to study the pattern of long-run performance of small and medium enterprises (SMEs) initial public offerings (IPOs) and examine the firm- and issue-related determinants of long-run performance of SME IPOs in India. Design/methodology/approach The 3 6, 9 and 12 months share returns of Indian SME IPOs is studied using event time methodologies, i.e. buy and hold returns, cumulative abnormal returns and wealth relatives on a sample of 375 SME IPOs issued during February 2012 to May 2018. Additionally, ordinary least square regression has been used to investigat

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Ma, Qingzhong, David A. Whidbee, and Wei Zhang. "Limits of arbitrage and mispricing: evidence from mergers and acquisitions." Review of Behavioral Finance ahead-of-print, ahead-of-print (2021). http://dx.doi.org/10.1108/rbf-01-2021-0005.

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PurposeThis paper examines the extent to which noise demand and limits of arbitrage affect the pricing of acquirer stocks both at the announcement period and over the longer horizon.Design/methodology/approachAn event study approach was adopted to measure announcement-period cumulative abnormal returns. Long-horizon returns are measured using buy-and-hold abnormal returns (BHARs), calendar time portfolios (CTPRs), and subsequent earnings announcement period abnormal returns. Main methodologies include ordinary least squared (OLS) regressions, Logit regressions, and portfolio analysis.Findings(

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T. Nguyen, Hung, Hang V. D. Pham, and Nguyen Hung. "The Profitability of the Moving Average Strategy in the French Stock Market." Journal of Economics and Development, August 15, 2014, 21–38. http://dx.doi.org/10.33301/2014.16.02.02.

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This paper studies the cross-sectional profitability of moving average timing portfolios in the French stock market over the period from January 1, 1995 to December 31, 2012. The results provide strong evidence that the moving average timing outperforms the buy-and-hold strategy with higher returns and less risk exposure. On average, moving average portfolios generate an abnormal return of 3.72% per annum and always perform better than buy-and-hold benchmark portfolios across different lag length and volatility portfolios. Moreover, our results prevail after we control for transaction costs. K

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Rabah Gana, Marjène, and Anis El Ammari. "Long-term performance and transfer of shares on the Tunisian Stock Exchange." Revue Gouvernance 6, no. 1 (2017). http://dx.doi.org/10.7202/1039096ar.

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In this study, we examine the long-run performance of a sample of 32 Tunisian crosslisted firms on the Tunisian stock exchange over the period 1992-2006. We use several approaches and conduct robust tests. We observed a strong underperformance of 32 percent over the 36-month period following the listing, when the buy-and-hold abnormal return measure is used. The underperformance is preceded by a positive and significant return of about 20 percent on the first 5 days of listing, which persists for 6 months. We also assess the role of governance variables. The agency theory explains the behaviou

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Parisi F., Antonino. Estudios de Administración 10, no. 2 (2020): 59. http://dx.doi.org/10.5354/0719-0816.2003.56795.

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This study analyzes the efficiency of some technical analyses's tools more used: moving average 2, 10, 50, 100 and 200 days, momentum of 7 days, %R of 10 days, %K of a day and RSI of 10 days. For it one worked with daily prices series of Dow Jones Industrial Average (DJI) and Nasdaq's stocks, corresponding to period January 02 of 1992 -- July 18 of 2002. The results aim at that the best techniques, for the stocks sample analyzed, are %K and %R. These surpass in yield to the other techniques and to the «buy and hold» strategy, have greater stability on the time, and produces the greater abnorma

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