Relevant bibliographies by topics / Cumulative Abnormal Returns

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Cumulative Abnormal Returns'

Author: Grafiati
Published: 4 June 2021
Last updated: 12 June 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Cumulative Abnormal Returns.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Cumulative Abnormal Returns"

1

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

Full text
Abstract:
The Covid-19 pandemic based on Presidential Decree Number 12 of 2020 was declaredon April 13, 2020. During this Pandemic, many companies offer their shares to the public or known as Initial Public Offering (IPO). This study aims to find out the highest abnormal returns of the issuers' stock after the IPO during the Covid-19 Pandemic. The sample used in this study was 70 companies that IPO on the IDXafter pandemic status was declared in Indonesia, namely from April 15, 2020-November 25, 2021. This research is a descriptive quantitative research anddescriptive statistical analysis techniques was used to calculate abnormal returns and cumulative abnormal returns of each stock. The results showed that cumulatively, the highest abnormal return of 70 stocks within 20 months was owned by TECH shares in the technology sector with a cumulative abnormal return value of 23,562. Meanwhile, the lowest value is owned by DEPO shares in the consumer cyclicals sector with a cumulative abnormal return of 0.624. The results of this study can be used as considerationby investors who want to invest in IPO stocks during prolonged outbreaks such as the Covid-19 Pandemic.
APA, Harvard, Vancouver, ISO, and other styles
2

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

Full text
Abstract:
This study examined the effect of corporate governance variables of board independence, institutional ownership, managerial ownership, board size, and director expertise on the market reaction to seasoned equity offering (SEO) announcements by firms in the Nigerian stock market. The event study methodology was employed, and abnormal returns were computed using the market model. A total of 62 announcements by 38 firms listed on the Nigerian stock exchange from 1st January 2006 to 31st December 2016 were included in the analysis. The study recorded significant positive cumulative abnormal returns before and after the announcement day, and a significant negative cumulative abnormal return upon the announcement day of SEOs. Similarly, significant positive cumulative abnormal returns were recorded six months before the SEO announcement day and negative significant cumulative abnormal returns six, twelve, and twenty-four months after the announcements. Furthermore, there were significant cumulative abnormal returns upon SEO announcements for all the proxies of corporate governance assessed by the study. The implication of the findings of negative significant cumulative abnormal returns on the day of the announcement and beyond was consistent with previous arguments that firms issuing SEOs earn negative abnormal returns on the day of the announcement was the result of the information asymmetry between managers and investors. By contrast, the significant cumulative abnormal returns based on corporate governance suggested that corporate governance significantly impacted on SEO announcement returns in Nigeria. These findings suggest that policy makers should pay more attention to directors’ expertise, institutional ownership, board independence, and board size, as our results showed that investors might view them as dependable pointers of positive corporate information for the market, thus guaranteeing the best use of SEO proceeds.
APA, Harvard, Vancouver, ISO, and other styles
3

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.

Full text
Abstract:
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
APA, Harvard, Vancouver, ISO, and other styles
4

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

Full text
Abstract:
The purpose of this study is to see the differences in the performance of LQ-45 shares before and after the Jakarta Election in the second round of 2017 through returns, abnormal returns, and cumulative abnormal returns on the Indonesia Stock Exchange.This study uses purposive sampling in the LQ 45 index. This type of research is an event study. The research period for 20 days: 10 days before and 10 days after event. Hypothesis testing uses paired sample t-test. Paired sample t-test test results showed the stock return did not differ before and after the period. The results of paired sample t-test abnormal return and cumulative abnormal return before and after the election were found to be no difference.
APA, Harvard, Vancouver, ISO, and other styles
5

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.

Full text
Abstract:
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.
APA, Harvard, Vancouver, ISO, and other styles
6

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

Full text
Abstract:
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.
APA, Harvard, Vancouver, ISO, and other styles
7

Yan, Kejia, Rakesh Gupta, and Sama Haddad. "Statistical Analysis Dow Jones Stock Index—Cumulative Return Gap and Finite Difference Method." Journal of Risk and Financial Management 15, no. 2 (2022): 89. http://dx.doi.org/10.3390/jrfm15020089.

Full text
Abstract:
This study was motivated by the poor performance of the current models used in stock return forecasting and aimed to improve the accuracy of the existing models in forecasting future stock returns. The current literature largely assumes that the residual term used in the existing model is white noise and, as such, has no valuable information. We exploit the valuable information contained in the residuals of the models in the context of cumulative return and construct a new cumulative return gap (CRG) model to overcome the weaknesses of the traditional cumulative abnormal returns (CAR) and buy-and-hold abnormal returns (BHAR) models. To deal with the residual items of the prediction model and improving the prediction accuracy, we also lead the finite difference (FD) method into the autoregressive (AR) model and autoregressive distributed lag (ARDL) model. The empirical results of the study show that the cumulative return (CR) model is better than the simple return model for stock return prediction. We found that the CRG model can improve prediction accuracy, the term of the residuals from the autoregressive analysis is very important in stock return prediction, and the FD model can improve prediction accuracy.
APA, Harvard, Vancouver, ISO, and other styles
8

Safitri, Heni, and Dedi Hariyanto. "Capital Market Reaction in Asean Member Countries Against Market Shock: Russia and Ukraine War." Journal of Asian Multicultural Research for Economy and Management Study 3, no. 4 (2023): 30–37. http://dx.doi.org/10.47616/jamrems.v3i4.353.

Full text
Abstract:
This study aims to find the reaction of capital markets in ASEAN member countries due to the emergence of war between Russia and Ukraine by comparing the values of abnormal returns, cumulative abnormal returns and trading volume activity before and after the Russian attack on Ukraine. This research is an event study research. Event study was developed to analyze market reaction to an event whose information is published. The event used in this study is the market shock condition from the war between Russia and Ukraine. The observation period uses the event window, which is 14 trading days before and after the Russian attack on Ukraine. The analytical tools used in this study were descriptive statistics, normality tests and different tests using the Paired Sample t-Test or the Wilcoxon Signed Rank Test. The results of the first stage of different tests show that overall there was no capital market reaction in ASEAN member countries as seen from the values of abnormal returns, cumulative abnormal returns and trading volume activity at the time of the war between Russia and Ukraine. The results of the second stage of the different test show that the reaction of the capital market seen from the abnormal return value can be seen that the capital market in Cambodia reacted at the time of the war between Russia and Ukraine, from the cumulative abnormal return value, the capital markets in all ASEAN member countries did not react to war incidents.
APA, Harvard, Vancouver, ISO, and other styles
9

Laili, Choirun Nisful. "Analisis Dampak Shut Down US Goverment Tahun 2018 Pada Bursa Efek Indonesia." AKUNTABILITAS: Jurnal Ilmiah Ilmu-Ilmu Ekonomi 13, no. 1 (2020): 1–11. http://dx.doi.org/10.35457/akuntabilitas.v13i1.1048.

Full text
Abstract:
The purpose of this study was to determine the differences in returns, abnormal returns, and cumulative abnormal returns of shares before and after the US govermet 2018 shut down event. The object of research is companies that belong to the LQ-45 stock group on the Indonesia Stock Exchange. Research uses the type of event study. The results of the study using paired sample t-tests showed no differences in stock returns and abnormal returns for periods before and after the 2018 US government shut down event. For cumulative abnormal returns before and after the 2018 US government shut down event, differences were found.
APA, Harvard, Vancouver, ISO, and other styles
10

Pynnonen, Seppo. "Non-Parametric Statistic for Testing Cumulative Abnormal Stock Returns." Journal of Risk and Financial Management 15, no. 4 (2022): 149. http://dx.doi.org/10.3390/jrfm15040149.

Full text
Abstract:
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes modifications to the existing approaches to improve robustness to cross-sectional correlation of returns arising from calendar time overlapping event windows. Simulations show that the proposed rank test is well specified in testing CARs and is robust towards both complete and partial overlapping event windows.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Cumulative Abnormal Returns"

1

Beslija, Hasan, and Carl Åkesson. "Kungörandet av företagsförvärv, vad händer sedan? : En undersökning på hur bolagens storlek och förvärvsform påverkar abnormal avkastning på kort sikt i samband med kungörandet av ett företagsförvärv för bolag noterade på Stockholmsbörsen." Thesis, Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-177628.

Full text
Abstract:
Abstract Title: Announcing an acquisition, what happens next? Authors: Carl Åkesson and Hasan Beslija Supervisor: Katarina Eriksson Background: Sweden is the Nordic region's largest market for M&A. Despite this, there is a limited research base for how acquisitions affect abnormal returns on the Swedish stock market. There is no consensus among previous studies on how the bidding firms are affected in the short run by acquisitions or how the abnormal return is affected by firm size and form of acquisition. Purpose: The purpose of the study is to investigate whether there is an abnormal return in the short run for bidding firms when announcing an acquisition and how it differs between different company sizes and different forms of acquisitions. Methodology: The study is of quantitative nature and has been conducted with a deductive approach. The research questions of this study have been chosen with previous studies in mind. Furthermore, the study has used two methods; event study and regression analysis. In addition to these methods, tests have been carried out with the aim of statistically ensuring the abnormal return that has arisen in the event study. Results: The results of the study show that an announcement of an acquisition leads to a negative average cumulative abnormal return in the short run. For the different company sizes, large cap has the most negative average cumulative abnormal return. For the various acquisition forms, horizontal acquisitions have the most negative average cumulative abnormal return. The study's regression analysis show that company size and acquisition form have a low degree of explanation for the emergence of abnormal returns. Keywords: Abnormal returns, acquisitions, event study, cumulative abnormal return
APA, Harvard, Vancouver, ISO, and other styles
2

Leepile, Katlego Joseph. "The determinants of divestitures and divestiture returns in South Africa." Master's thesis, Faculty of Commerce, 2019. https://hdl.handle.net/11427/31613.

Full text
Abstract:
This study investigates the determinants of divestitures, the impact of divestitures on shortterm firm value and the determinants of divestiture returns in South Africa. The study is based on a sample of 46 non-financial firms listed on the Johannesburg Stock Exchange (JSE) between 2000 and 2014. Logit regressions found CEO Turnover, a measure of corporate focus and Return on Assets (ROA), a measure of corporate efficiency, to be the only statistically significant determinants of divestitures in South Africa. However, Sales growth, Return on Equity (ROE), Debt to Total Assets (D-t-A), Debt to Equity (D-t-E), the current ratio, and the interest coverage ratio did not possess statistical significance as determinants of divestitures in South Africa. The study also investigated the impact of divestitures on short-term shareholder wealth and found that divestitures have a statistically significant positive impact on short-term firm value in South Africa. Finally, the study also investigated the determinants of divestiture returns. Cross-sectional regressions conducted on the full sample of divesting firms found that leverage has a statistically significant effect on divestiture returns in South Africa; however, firm size and efficiency do not have a statistically significant effect on divestiture returns. In order to further understand the determinants of divestiture returns in South Africa the study also separated the portfolio of divesting firms into subsamples. The study found that larger firms report superior abnormal returns than smaller firms, firms with lower levels of efficiency report superior abnormal returns than firms with higher levels of efficiency, and highly-levered firms report superior abnormal returns than lower-levered firms in South Africa.
APA, Harvard, Vancouver, ISO, and other styles
3

Punwasi, Kiran. "An event study : the market reactions to share repurchase announcements on the JSE." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22819.

Full text
Abstract:
This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from 2003 to 2012. We use an event study methodology and the Capital Asset Pricing Model to determine if there is an announcement effect when a share repurchase announcement is made. Our analysis show that consistent with signalling theory and the announcement effect, share repurchase announcements are associated with positive abnormal returns. The average abnormal return and cumulative average abnormal return noted was 0.46% and 3.81% respectively for the event period (t -20, t +20). There was an observable trend of declining share prices before the share repurchase announcement however the decline in the shares prices was not significant. We found some evidence of market timing ability in 2005 and 2010 however as a collective, we found no significant difference in timing a share repurchase announcement.
Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
APA, Harvard, Vancouver, ISO, and other styles
4

Low, Gareth, and Fredrik Karlsson. "The Financial Effects of Going Public on Football Clubs." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-27357.

Full text
Abstract:
In this thesis we analyze the financial performance of Football clubs following an initial public offering (IPO). We conduct several analyses using time series stock data with a focus on finding evidence of long-run underperformance and IPO over/underpricing. To this end, we estimate cumulative abnormal returns (CAR) and Jensen’s Alpha. We also analyze coefficients such as beta to describe the volatility and the link football clubs’ stocks have to the general market. We look at historical events that may have affected the movement of stock prices and confirm this by benchmarking an index (STOXX index) compiled of a number of European football teams. Our results show that football clubs do in fact follow the clear pattern of other entities and sectors and previous research with regard to underperformance in the long run. We find that football clubs’ stocks are less volatile than the general market and have a low beta. With regards to over/underpricing, we only obtain data for a few football clubs. We find small signs of underpricing but are not able to confirm that this is statistical significant due to the size of our sample.
APA, Harvard, Vancouver, ISO, and other styles
5

Griffith, Andrew Scott. "A Test of Human Capital Theory in the Education and Training Services Industry." NSUWorks, 2011. http://nsuworks.nova.edu/hsbe_etd/39.

Full text
Abstract:
The objective of this research is to test human capital theory via the earnings announcements through the returns within the for-profit education and training services industry. This theory posits that enrollment levels would rise during recessionary periods and this should be reflected in better earnings announcements of the education firms. Data was retrieved from the Compustat, CRSP, Thompson IBES, Google Finance, and Yahoo! Finance databases spanning the recessionary years of 2008 through 2010. The first hypothesis utilized a price index weighted by the education firms' market capitalization and the Russell 3000 Index as a proxy for the market to assess the daily returns of the education industry relative to the market. The second and third hypotheses involved assessing the quality of the earnings announcements within the education industry on a Friday vs. non-Friday report basis. The fourth hypothesis explored the actual EPS vs. forecasted EPS in consecutive quarters to test for differences in the earnings of that are better-than and those that are the same-or-worse than expected. The final hypothesis utilized the cumulative abnormal returns and cumulative excessive returns methodologies to compare the performance of the periods before and after the announcements. No support for the first four hypotheses was found. Consistent with expectations established by other research using CAR and CER methodologies, the fifth hypothesis was supported. Support for human capital theory was not found because four hypotheses were unsupported. This study was limited to U.S. education firms that were publicly traded on major U.S. exchanges. No private for-profit or non-profit firms were included in this study. Knowledge was gained by exploring the earnings announcements of the education industry for evidence of human capital theory. The absence of support for the theory within the industry during a recession could be an indicator of other issues affecting the industry that need to be researched further before any conclusions can be reached. This study extends the research in earnings announcements by examining the relationship the education industry has with the market. It also contributes to the work in human capital theory by testing the education industry's performance during recessionary years.
APA, Harvard, Vancouver, ISO, and other styles
6

Miron, Lionel, and Fabien Patel. "Empirical Study of post-takeover performance in banking industry: comparison between U.S. and European bank acquisitions." Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1704.

Full text
Abstract:

Takeover is a business activity which really started in the beginning of the eighties and which still takes a strong part in the business and financial area all over the world. According to our studies as the desire for further acknowledgements and the desire of building a career around financial activities, this study has been naturally conducted in the banking area.

Regarding the steady use of acquisition like a powerful process with some positive and negative sides, we decided to implement a comparison of different mergers and acquisitions in the banking industry in the United States and Europe. This comparison has been supported and based on the third main topic of our study: performance.

These large and complex subjects combined together lead to the following hypotheses:

Hypothesis 1: Performance is not improved after takeover in the banking industry.

Hypothesis 2: The level of post takeover performance is the same in the U.S. as in the European bank acquisitions.

Based on the historical data and knowledge, the United States was the pioneer in the development of such gathers in the banking sector. Considering the United States as a reference, a first purpose was to compare them with the bank mergers and acquisitions in Europe. Stating on some possible differences as increasing our own knowledge have been some others purposes which have supported our work.

A first large part of our work was focused, through a large literature review, on the enhancement of our knowledge as the statements of the basis and support for the analysis.

To illustrate and to try to answer our research question, we have conducted our study based on a sample of 20 acquisitions which were achieved in the banking industry between March 1998 and May 2004. 10 of these acquisitions had been achieved in the United States as the 10 remaining acquisitions had been executed in Europe.

The analysis has been achieved by collecting data in Thomson Datastream Advance.

Based on a quantitative method, we applied two financial models: The Market Model (MM) and the Market-Adjusted Returns Model (MAR) supported by the Cumulative Abnormal Returns Method (CARs).

The post-takeover study has been delimited on a period of 42 months after the public announcement.

The study and the comparison between the United States and Europe have shown some differences between the two areas. Nevertheless it seems that negative abnormal returns are usually the case after such takeovers on the whole period studied. Some positive abnormal returns have been recorded at different points in the time into the studying period.

According to the models we applied, the US banks results seem to be better than the ones of European banks: the differences range from 5,58 to 16,65 points under the MM, and from 1,66 to 18,08 points under the MAR model.

APA, Harvard, Vancouver, ISO, and other styles
7

Ramos, Nogales Juan Jose, and Kreshnik Elshani. "The Impact of Finance Mergers and Acquisitions on Short-Term Performance of Acquiring Companies : An Event Study Focused on the British Isles." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49684.

Full text
Abstract:
Background: Mergers and acquisitions (M&A’s) are common ways for businesses to expand, compete, and maintain in competitive business environments. A strongly debated question in literature is whether or not these M&A’s provide measurable benefits, as factors such as industry, geographic location, and regulations play key roles in the impacts of the M&A’s. In this paper, we investigate the short-term effects of M&A’s based on stock returns of acquiring companies, with a focus on finance industries in the British Isles. Purpose: The purpose is to study whether or not there are significant short-term abnormal returns for acquiring companies when M&As of financial services target enterprises take place. Further, the study examines factors which can affect the impact of M&A’s, such as size of transaction, whether it is domestic or cross-border, whether or not the acquiring company is in a finance industry, and whether there is evidence of merger waves related to finance M&A’s in the British Isles. Method: An event study methodology is applied and focused on calculating the cumulative abnormal returns, as well as verifying whether those are statistically significant. The study analyses 100 M&A’s conducted on target companies from the UK and Ireland between the years 2000 and 2019. The event study is performed using the STATA statistical software, which is used to analyse the stock return performance in comparison to the domestic market index for each acquiring company. Conclusion: The study finds statistically insignificant results, concluding that M&A events do not generate significant abnormal returns for acquiring companies. This is in line with majority of previous research done, showing that M&A deals are not deemed significantly value creating nor value destroying. M&A’s within finance industry where the acquiring companies were domestic, in a finance industry, where the deals were smaller, were all shown to have less negative, albeit still insignificant results. This study also presents evidence for merger waves. Moreover, this thesis adds a clear geographic and industry component which is often missing in previous research, showing that within finance industry in the British Isles the impacts of M&A deals are unlikely to be statistically significant in causing abnormal returns.
APA, Harvard, Vancouver, ISO, and other styles
8

Bartrop, Stephen Bruce. "Acquisitions may add value to resource companies." Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/619.

Full text
Abstract:
Resource acquisitions have added value to resource companies over the past two decades. This stems from the results of this research which has analysed 30 transactions and further reviewed 22 transactions with a total value A$240 billion. However, this figure is dominated by the 1997 BHP Billiton bid for Rio Tinto and if this attempted takeover is excluded from the list, the total value of the transactions analysed is A$60 billion.The consolidation has occurred in three waves since the early 1990s. These periods are: • First, a period starting in 1995 and ending in 2000; it included the end of the 1992-1996 bull run, the Asian Crisis and a period known as the 1998-2000 bull run and ending during the start of the Tech Boom drift, • Secondly, a period between 2002 and 2004 which combines the waning stages of the Tech Boom drift and the commencement of the 2002-2008 Resources Boom, and, • Thirdly, in a more recent period from 2006 to near the end of the 2002-2008 resources boom.Each of these periods has different characteristics but overall there is a broad trend of foreign bidders acquiring Australian companies during weaker markets except during the 2002-2008 Resources Boom.Cumulative abnormal returns (CAR) for both bidders and targets have been estimated using an adapted market model for event analysis. It draws on the strong correlation of absolute resource share with commodity prices.Friendly transactions offer target shareholders a lower final offer price premia to the 30-day average target share price prior to the announcement (dual listing – 17.8 per cent, mergers – 12.9 per cent) and compares to traditional takeovers which average 48.7 per cent. In traditional takeovers the initial offer to 30-day average premia was 37.2 per cent but increases to the final offer to 30-day average premia of 48.7 per cent mostly reflecting the impact of competitive bidding. Average increases in the final offer prices in non-competitive bidding were 16.6 per cent.While both scrip and cash bids offered similar premia to target shareholders, foreign scrip on average offer a 20 per cent higher premia. Elsewhere, there were no material differences between the premia offered in hostile compared to non-hostile takeovers.Bidders offering a 35 per cent premium (whether cash or scrip) to target shareholders are expected to create CAR for the target shareholders at around 24 per cent on the bid announcement. If the bid involves foreign scrip, the premium needs to be raised by 30 per cent but then the CAR for target shareholders will be slightly lower than non-foreign scrip bids at 22.9 per cent. If, however, the bidder can structure a merger the premium can reduce to zero in a ‘merger of equals’.Overall, the negative bidder CAR during the event window is more than offset by positive CAR during the post-event window, leading to a net positive CAR for acquirers of an average of 7.1 per cent. The positive net CAR for acquirers using scrip bids is 11.3 per cent; it falls to 3.5 per cent for bidders using cash offers.In the alternative investment of exploration there are attractive probability weighted exploration returns but these are dampened by the high levels of expenditure required to achieve satisfactory levels of certainty. This will continue to undermine the investment appeal of junior explorers while greenfield exploration will become solely the domain of the majors.
APA, Harvard, Vancouver, ISO, and other styles
9

Pelykh, Halyna. "Wealth creation of mergers and acquisitions : the crisis period of 2008-2009 among U.S. firms." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20860.

Full text
Abstract:
Mestrado em Finanças
As fusões e aquisições são estratégias populares usadas por diversas empresas com variados objectivos. Desta forma, traduzem-se, todos os anos, em transações de biliões de dollars. Ainda assim, estudos mostram que as fusões e aquisições tendem a não criar valor para os acionistas. Recentemente, o Mundo encarou uma crise financeira global que mudou a realidade e as regras em muitas empresas. Através de um estudo de evento, a seguinte dissertação analisa e compara fusões e aquisições americanas considerando três períodos distintos: antes da crise, durante a crise e o pós-crise. Para cada período foi calculado o CAAR e os resultados mostram que há criação de valor para as fusões e aquisições públicas antes da crise. Para além disso, conclui-se que há criação de valor no dia de anúncio da transação para os 3 períodos estudados.
Mergers and acquisitions were always a popular strategy used by numerous companies for diverse reasons. They account for transactions of billions of dollars every year. Nevertheless, researchers proved that M&As often end up not creating value for its shareholders. Recently, the world faced a Global Financial Crisis that changed reality and rules for many businesses. By using an event study, this dissertation studies and compares U.S. M&A deals from three different periods: pre-crisis, crisis, and post-crisis. CAAR values were computed for each period, and the findings state that there is value creation for the public M&A deals that took place before the crisis period. Another result claim there is a creation of wealth on the announcement day for the three periods.
info:eu-repo/semantics/publishedVersion
APA, Harvard, Vancouver, ISO, and other styles
10

Ishak, Shahad, and Veronica Zamparutti. "Naturkatastrofers inverkan på bankers aktiekurser : En eventstudie." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16741.

Full text
Abstract:
Objective: Our purpose with this study is to demonstrate the impact of natural disasters on banks' share prices. Method: Quantitative survey method, an event study. Conclusion: There is no association or a very weak correlation in this study between natural disasters and the Swedish banks' share prices.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Books on the topic "Cumulative Abnormal Returns"

1

Coutts, J. Andrew. Event study methodology: Cumulative abnormal returns and the summation of random causes. Sheffield University, School of Management, 1994.

APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "Cumulative Abnormal Returns"

1

Jeng, Jau-Lian. "Cumulative Abnormal Returns or Structural Change Tests?" In Analyzing Event Statistics in Corporate Finance. Palgrave Macmillan US, 2015. http://dx.doi.org/10.1057/9781137491602_3.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Andoh-Baidoo, Francis Kofi, Kwasi Amoako-Gyampah, and Kweku-Muata Osei-Bryson. "Application of a Hybrid Induction-Based Approach for Exploring Cumulative Abnormal Returns." In Advances in Research Methods for Information Systems Research. Springer US, 2013. http://dx.doi.org/10.1007/978-1-4614-9463-8_5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns." In Location Strategies and Value Creation of International Mergers and Acquisitions. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Domestic Mergers and Acquisitions." In Location Strategies and Value Creation of International Mergers and Acquisitions. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app3.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for International Mergers and Acquisitions." In Location Strategies and Value Creation of International Mergers and Acquisitions. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app4.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

"Daily Average Cumulative Abnormal Returns (CAR) and the Location of the Target (Mature Countries Versus Emerging Countries)." In Location Strategies and Value Creation of International Mergers and Acquisitions. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Mergers and Acquisitions in Mature Countries." In Location Strategies and Value Creation of International Mergers and Acquisitions. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Mergers and Acquisitions in Emerging Countries." In Location Strategies and Value Creation of International Mergers and Acquisitions. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app7.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Cumulative Abnormal Returns"

1

Sharkas, Adel A. "THE IMPACT OF THE CUMULATIVE ABNORMAL RETURN ON DIVIDEND ANNOUNCEMENT." In Annual International Conference on Accounting and Finance. Global Science & Technology Forum (GSTF), 2011. http://dx.doi.org/10.5176/978-981-08-8957-9_af-102.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Song Li, Yan Xiyan, and Chen Rencui. "The empirical analysis on influencing factors of securities investment cumulative abnormal return." In 2010 Chinese Control and Decision Conference (CCDC). IEEE, 2010. http://dx.doi.org/10.1109/ccdc.2010.5499034.

Full text
APA, Harvard, Vancouver, ISO, and other styles
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography