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Relevant bibliographies by topics / Cumulative abnormal returns (CAR)

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Academic literature on the topic 'Cumulative abnormal returns (CAR)'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 January 2023

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Journal articles on the topic "Cumulative abnormal returns (CAR)"

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

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

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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.

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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-

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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 (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

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Jubna, Kuchal. "Determinants of Cumulative Abnormal Return: A Dynamic Approach." GIS Business 12, no. 3 (2017): 33–41. http://dx.doi.org/10.26643/gis.v12i3.3357.

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There is a large body of finance literature that has tested and validated dividend policy decisions mainly focused on the effect of the dividend announcement and the impact it has on the post announcement drift. But very few studies have tested the determinants of the cumulative abnormal return (CAR) surrounding the dividend announcement and to find the role of economic adversity in explaining the change in CAR. The present study investigates the role of change in dividend under both adverse and favorable market conditions. Using the data of S&P CNX 500 companies the study examines the rol

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Petrakis, Nikolaos, Christos Lemonakis, Christos Floros, and Constantin Zopounidis. "Greek Banking Sector Stock Reaction to ECB’s Monetary Policy Interventions." Journal of Risk and Financial Management 15, no. 10 (2022): 448. http://dx.doi.org/10.3390/jrfm15100448.

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Reacting to extreme uncertainty conditions caused by the global financial crisis, the European Central Bank implemented countercyclical strategy, combining conventional and non-traditional monetary policy tools to stabilize financial markets and euro area economies. We study the impact of the euro area monetary authority policy interventions on equity returns of four systemic Greek banks for the period January 2007 to August 2018. In the first step, we collect and classify interventions to several categories. Then, an event study analysis is carried out to evaluate cumulative abnormal returns.

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Patria, Wiyan, and Rossje V. Suryaputri. "ANALYSIS OF THE INFLUENCE OF CORPORATE SOCIAL RESPONSIBILITY ON CORPORATE PERFORMANCE (Empirical Study on Manufacture Companies Listed on Stock Exchanges in Indonesia Periode 2010 - 2012 )." Jurnal Akuntansi Trisakti 1, no. 1 (2014): 78. http://dx.doi.org/10.25105/jat.v1i1.4803.

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<span class="fontstyle0">The purpose of this study is to determine the influence of corporate social responsibility on corporate performance. Samples were taken as much as 252 which consists of 84 companies listed on the Indonesia Stock Exchange in 2010- 2012. The variables used in this study are (ROE (return on equity), CSR (corporate social responsibility), CAR (Cumulative abnormal returns. DER (debt to equity ratio), SG (Sales growth), Beta, EU (Unexpected earnings ) as control variables.The results Showed that CSR does not have a significant influence on Return On Equity (ROE) as a m

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Variava, Delnaz, and Jimmy M. Kapadia. "Long-Term Abnormal Returns during Pre and Post Merger: Evidence from India." NMIMS Management Review 30, no. 01 (2022): 120–41. http://dx.doi.org/10.53908/nmmr.300107.

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Purpose: The present study measures the impact of merger on Indian acquiring entities’ long term stock price performance. The study covers 109 acquiring entities of merger deals undertaken during the period of 2000 to 2012, comprising of a study period of 1997 to 2015. Methodology: The same is measured through monthly CAR (Cumulative Abnormal Return) and BHAR (Buy and Hold Abnormal Return) of selected acquiring entities during the period of 12, 24 and 36 months post the merger and comparing it with 12, 24 and 36 months pre merger respectively. The Abnormal Return (AR) is computed as the excess

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Ayu, Restu Cinthya, and Istianingsih Sastrodiharjo. "Pengaruh Pengungkapan Corporate Social Responsibility (CSR) dan Kinerja Keuangan Perusahaan terhadap Cumulative Abnormal Return (CAR) (Studi Empiris pada Perusahaan Manufaktur yang Terdaftar di BEI Tahun 2010-2011)." Jurnal Keuangan dan Perbankan 11, no. 2 (2020): 150. http://dx.doi.org/10.35384/jkp.v11i2.181.

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This study aims to examine the influence of corporate social responsibility disclosure and financial performance of the company to the cumulative abnormal return (CAR). The disclosure of social responsibility will be measured by Corporate Social Disclosure Index (CSDI), the financial performance is proxied to the return on equity (ROE), and the cumulative abnormal return (CAR) is a Cumulative Stock Return from April 2011 until March 2013. The analyzed database is a secondary database, which in time series form of manufacturing company in period year from 2010 until 2011. The result of statisti

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Castillo R., Augusto. "The Announcement Effect of Junk Bond Issues: an Analysis of the 1976-1989 Period." Estudios de Administración 8, no. 2 (2020): 42. http://dx.doi.org/10.5354/0719-0816.2001.56761.

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This paper analyzes the impact of corporate junk bond offering announcements on stock prices for a sample of 680 issues of below investment grade bonds, during the 1976-1989 period. The sample shows a -1.0% cumulative abnormal return (CAR) for a two day event window period, and the zero CAR hypothesis is rejected with 99% confidence. The cumulative abnormal returns are negative and significant for combined announcements of bond and equity issues (CAR of -2.10%), and for announcements of convertible bond issues (CAR of -1.24%). Announcements of issues of straight bonds (CAR of -0.24%) are not s

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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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Dissertations / Theses on the topic "Cumulative abnormal returns (CAR)"

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

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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 o

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Mishra, Pulkesh. "Effect of M&A announcement on acquirer stock prices in the Pharmaceutical sector and the role of bid premium." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-347191.

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A majority of previous studies reveal evidences of negative or no abnormal returns for the bidder/acquirer firm upon the announcement of a merger or acquisition (M&A). Additionally, these studies stress on the importance of ‘bid premium’ announced as a key factor influencing acquirer returns post M&A announcement. This paper aims to find validity for the above-mentioned statements in case of a ‘Pharmaceutical sector setting’ because not many previous studies have analyzed the role of bid premium influencing abnormal stock returns for the acquirer/bidder firm in M&A’s taking place i

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Sabel, Jimmy, and Xinrong Wu. "The Role of Lockups in Venture Capital Backed IPOs : An empirical study on the London Stock Exchange from 2009 to 2012." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-91036.

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There are plenty of things said about the financial industry, an always ongoing debate, to say the least. We have identified a complex situation with three dimensions: Initial public offerings, Venture capital, and Lockup agreements. IPOs are generally difficult to put a price on because the market is not united yet, which creates uncertainties. Venture capital firms invest into startups, often with the incentive of bringing them to an IPO and then make a fast cash out exit. Lockup agreements are contracts that prevent insiders from dumping their shares during a set period in the beginning of

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Liepins, Emils, and Oubari Abdulrahman. "Green Bond Influence on Cumulative Abnormal Return in The Swedish Stock Market : A Study of Publicly Listed Swedish Construction and RealEstate Companies." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-48663.

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Addressing environmental issues has been a top priority in recent years all over the world. There are several options on how to address this problem also from a financial perspective. Therefore, the purpose of this study was to investigate how green bond issuance announcement impacts publicly traded stock prices through cumulative abnormal return (CAR) perspective. We focused our scope only to the Swedish market. Theory is based on three different models: the capital asset pricing model (CAPM), the market model, and the market return model, which all have been applied also in previous studies.

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Schoeman, Cornelius Etienne. "Enhancing a value portfolio with price acceleration momentum." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22827.

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Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book

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Maconi, Stephen, and Alexander Singer. "Insider timing on the Stockholm Stock Exchange : A study of short-term cumulative returns prior to mid-cap CEOs’ transactions in their own firm." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-379436.

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This paper investigates how CEOs in public Swedish mid-cap corporations time their transactions in their own company’s stock in a short-term perspective. To investigate this, an event study methodology is employed on cumulative returns surrounding these insiders’ transactions, both absolute and relative to the market. We find that these insiders, on average, purchase stock subsequent to a period of decline in both total and abnormal cumulative returns and sell stock following a period of positive total and abnormal returns. This is in line with our hypotheses. We also find that total and abnor

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Wange, Erik, and Tor Wikman. "Bära eller brista - byte av noteringslista? : Nya resultat från svenska aktiemarknaden." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-150457.

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Denna eventstudie syftar till att undersöka hur ett byte av noteringslista påverkar kumulativ onormal avkastning (CAR) 1 till och med 12 månader efter genomfört byte. I studien undersöks därför utförda byten av noteringsplats på den svenska aktiemarknaden under tidsperioden 1995-2009. I studien beräknas onormal avkastning delvis med marknadsmodellen (MM) som grund, men också med Fama & French tre-faktormodell (FF) för att öka reliabiliteten. Vidare undersöks om skillnader i CAR föreligger under olika tidsintervall samt om olikheter förekommer efter att berörda företag delats in i undergrup

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Eriksson, Oscar, and Olle Sahlman. "Short Selling: Domestic and Foreign Performance Differences : A study of the Swedish Short Selling Market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-355497.

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The purpose and intent of this study is to conduct comparative research between domestic and foreign investors in regard to short selling positions on the Swedish financial market. The performance differences are measured by compounding short selling positions by the investors between 2015-2018. Two comparative methods were utilized to conduct this research: The cumulative abnormal return (CAR) and the buy-and-hold abnormal return, with each calculation being utilized in accordance with Barber & Lyon (1997). The produced results have been scrutinized via univariate descriptive statistics (

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Magnusson, Alexandra, and Marcus Bojling. "När idolerna faller : En eventstudie av Nike Inc." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-19272.

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Inledning: Ett företag som sponsrar en känd person förknippas starkt med denna. Tidigare forskning har visat att det finns en positiv påverkan på aktiepriset och avkastningen hos företag som tecknar sponsringsavtal med kända personer. Syfte: Syftet med uppsatsen är att med hjälp av eventstudiemetoden undersöka huruvida tio oväntade händelser relaterade till tre idrottare påverkat aktievärdet för Nike Inc. Teori: Den effektiva marknadshypotesen bygger på antagandet att finansiella marknader är effektiva och att all information finns tillgänglig vilket i sin tur exakt återspeglas i priset på en

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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.

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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

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Books on the topic "Cumulative abnormal returns (CAR)"

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

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Book chapters on the topic "Cumulative abnormal returns (CAR)"

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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.

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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.

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

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

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

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

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

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

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