Academic literature on the topic 'Cumulative average return'
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Journal articles on the topic "Cumulative average return"
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Chen, Dylan Siong-Yain, and Venus Khim-Sen Liew. "Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia." Asian Journal of Finance & Accounting 11, no. 2 (December 19, 2019): 169. http://dx.doi.org/10.5296/ajfa.v11i2.15234.
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This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.
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Amin, Mohammad Arridho Nur, Dewi Indriasih, and Catur Wahyudi. "Perbandingan Buyback Stock Perusahaan Swasta dan Perusahaan Badan Usaha Milik Negara (BUMN) saat Pandemi Covid-19." Ekonomi, Keuangan, Investasi dan Syariah (EKUITAS) 3, no. 3 (February 25, 2022): 621–29. http://dx.doi.org/10.47065/ekuitas.v3i3.1329.
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This study aims to analyze the differences between the Abnormal Stock Returns Trading Volume Activity of private and state-owned companies before and after the announcement of stock buybacks in the midst of the Covid-19 pandemic. The samples used were private companies and BUMN that carried out Buyback Stock during the Covid-19 pandemic. This research uses secondary data in the form of daily company stock price data, daily company trading volume data, as well as outstanding share data from private companies and BUMN listed on the Indonesia Stock Exchange. The calculation of expected return uses the Market Adjusted Model method. Testing the hypothesis using the paired sample t-test difference test. The results of this study are sig. (tailed) on the abnormal return variable, the probability value is greater than 0.05 (0.080 and 0.893 > 0.05) or the average cumulative abnormal return of private companies is greater than the average. Abnor¬¬mal cumulative stock returns of BUMN companies. On the trading volume activity variable, the results show the TVA significance value is smaller than 0.05, namely 0.043 and 0.43. so that it is stated that the cumulative average trading volume activity of BUMN companies is greater than the average cumulative trading volume activity of private companies
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Sudarmaji, Eka, Sri Ambarwati, Aulia Keiko Hubbansyah, and Shinta Budi Astuti. "EVENT STUDY OF IPO IN INDONESIA: PUMP-AND-DUMP & FLIPPING STRATEGY ANALYSIS." Journal of Accounting and Finance Management 1, no. 1 (July 2, 2020): 81–94. http://dx.doi.org/10.38035/jafm.v1i1.14.
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There were three important IPO anomalies: the positive average initial return (improperly called short-term 'underpricing'), the long-term underperformance, and hot/cold IPO. The EVENT STUDY model explained the 'underpricing' based on the assumption that the underwriter sets the initial price equal to the market-perceived true value and investors were rational. IPO prices are affected by demand and supply. The idea of the model was to explore pump-and-dump and flipping patterns exhibited upon IPO anomalies event in Indonesia. Pump-and-dump is the strategy to manipulate stock prices, while flipping was stocks bought at the IPO and sold at early days ta listing date. This strategy oftentimes exhibits anomalous behavior. Some implications of this model for the IPO market were positive 1st-day initial return (IR) and a negative relation cumulative average abnormal 5-days abnormal return (CAAR-5days) for flipping strategy. The other was a relationship between underperformance cumulative average 30-days abnormal returns (CAAR-30days) and cumulative average 5-days (CAAR-5days) abnormal returns in terms of pump-and-dump strategy. Using the relation between the Characteristics (Size of issue, Board and Floating rate) and Macroeconomics Condition (Central Bank Rate, Inflation rate, USD/IDR exchange, and GDP growth), and the IR, a CAAR-5days and a CAAR-30days, this EVENT STUDY explained the existence of the pump-and-dump and flipping pattern in the Indonesian stock exchanges. The Authors implemented a multivariate analysis of variance (MANOVA) to test hypotheses regarding the effect of a three-variables dependent (the initial return, a 5-days abnormal return, and a 30-days abnormal return) into several dependent variables. Using the IPO data taken from 2015-2019, the paper found that this EVENT STUDY explained the existence of pump-and-dump and flipping patterns at the early trading of IPO stocks in the Indonesia Exchange Market.
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Medeiros, Otavio Ribeiro de, and Alberto Shigueru Matsumoto. "Brazilian market reaction to equity issue announcements." Revista de Administração Contemporânea 9, spe2 (2005): 36–46. http://dx.doi.org/10.1590/s1415-65552005000600004.
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We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. Our results are remarkably consistent with most of the international empirical literature. Some previous empirical findings have turned up abnormal returns before the announcement date, interpreted as signs of insider information. This evidence also appears in our study as we found an average cumulative abnormal return of -0.01 three weeks before the announcement. With respect to the announcement date, the evidence reported in the literature is virtually unanimous in showing negative abnormal returns, meaning that stock issues convey pessimistic information to the market. Our study confirms these findings with an average -0.03 cumulative abnormal return on the first three days following the announcement. Finally, the empirical literature has also collected evidence of long-term negative abnormal returns after the issues, which we also confirm, with an abnormal return of -0.28 after one year following the announcement. The results also show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation.
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Herlambang, Salsabiilaa Nadiah Putri, and Puji Sucia Sukmaningrum. "REAKSI PASAR SAHAM TERHADAP PENGUMUMAN STOCK SPLIT PADA INDEKS SAHAM SYARIAH INDONESIA (ISSI) PERIODE 2013-2018." Jurnal Ekonomi Syariah Teori dan Terapan 7, no. 4 (June 29, 2020): 704. http://dx.doi.org/10.20473/vol7iss20204pp704-713.
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Stock split is a breakdown of the nominal value of stocks into smaller ones carried out by the issuer. This study aims to determine and explain the reaction of the stock market to the announcement of a stock split made by issuers of all sectors in the 2013-2018 Indonesian Sharia Stock Index (ISSI). This study uses a quantitative approach using event studies to analyze market reactions to events. Sampling using purposive sampling and obtained 50 companies and two companies do two stock splits. The sample analysis technique uses the One-Sample Test t-test and Paired Sample t-test with an observation period of 31 days which is 15 days before the announcement of the stock split and 16 days after the announcement of the stock split. The results obtained from this study are that there is no significant abnormal return before the announcement of the stock split, but there is a significant abnormal return after the stock split, although a little. However, there is no significant cumulative average abnormal return as a reaction before or after the stock split. This study also found no significant differences in abnormal returns before and after stock split and changes in cumulative average abnormal returns before and after stock split that was not significant.Keywords: Market Reaction, Stock Split, Average Abnormal Return, Indonesian Sharia Stock Index (ISSI)
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Cohen, Gil, and Mahmoud Qadan. "The Information Conveyed in a SPAC′s Offering." Entropy 23, no. 9 (September 15, 2021): 1215. http://dx.doi.org/10.3390/e23091215.
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The popularity of SPACs (Special Purpose Acquisition Companies) has grown dramatically in recent years as a substitute for the traditional IPO (Initial Public Offer). We modeled the average annual return for SPAC investors and found that this financial tool produced an annual return of 17.3%. We then constructed an information model that examined a SPAC′s excess returns during the 60 days after a potential merger or acquisition had been announced. We found that the announcement had a major impact on the SPAC’s share price over the 60 days, delivering on average 0.69% daily excess returns over the IPO portfolio and 31.6% cumulative excess returns for the entire period. Relative to IPOs, the cumulative excess returns of SPACs rose dramatically in the next few days after the potential merger or acquisition announcement until the 26th day. They then declined but rose again until the 48th day after the announcement. Finally, the SPAC’s structure reduced the investors’ risk. Thus, if investors buy a SPAC stock immediately after a potential merger or acquisition has been announced and hold it for 48 days, they can reap substantial short-term returns.
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Doddy, Ignasius, Siti Masyithoh, and Ledy Setiawati. "Analisis overreaction pada harga saham perusahaan manufaktur di bursa efek indonesia." JURNAL MANAJEMEN 9, no. 1 (January 9, 2018): 31. http://dx.doi.org/10.29264/jmmn.v9i1.2473.
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Penelitian ini menguji hipotesis market overreaction (reaksi berlebihan pasar) perusahaan manufaktur di Bursa Efek Indonesia (BEI) dalam indeks LQ-45, tujuan utama penelitian ini adalah untuk menguji apakah pergerakan harga saham dapat diprediksi setelah terjadi peristiwa politik yaitu pemilihan Presiden pada tahun 2014 yang dapat memicu tumbuhnya overreaction dari investor terhadap suatu informasi dalam mengambil keputusan. Sampel yang digunakan dalam penelitian ini adalah data saham penutupan dalam perusahaan manufaktur yang tergabung dalam indeks LQ-45 yang terdaftar di Bursa Efek Indonesia (BEI) pada periode 2014-2015, Penelitian ini mengunakan sub-periode penelitian terdiri atas periode pembentukan portofolio (portofolio formation period) dan periode pengujian portofolio (portofolio subsequent-test period). Hasil penelitian menunjukan bahwa reaksi berlebihan (overreaction) tidak terjadi pada saham perusahaan manufaktur dalam indeks LQ-45 dapat dibuktikan dengan pola portofolio winner memiliki average cumulative actual return yang mengungguli average cumulative actual return portofolio loser. Terdapat perbedaan average cumulative actual return yang signifikan antara portofolio loser dan portofolio winner.
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Suryani, Ani Wilujeng, and Karina Dian Pertiwi. "Lombok’s Tsunami and Stock Abnormal Returns." Accounting Analysis Journal 10, no. 1 (February 24, 2021): 1–8. http://dx.doi.org/10.15294/aaj.v10i1.42584.
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Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss.
Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory
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Bimantara, Rizal Agus, Ely Siswanto, and Yuli Soesetio. "Pengumuman Perhitungan Baru Indeks LQ45 dan IDX30: Apakah Ada Reaksi pada Pasar Modal Indonesia?" Esensi: Jurnal Bisnis dan Manajemen 9, no. 1 (December 10, 2019): 27–40. http://dx.doi.org/10.15408/ess.v9i1.10642.
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This study discusses whether there an influence from the announcement of the newcalculation of LQ45 and IDX30 index. This study uses indicators of abnormal return, cumulative abnormal return, and trading volume activity as a measure of market reaction. The population of this study is the companies incorporated in the IDX30 index. The sampling method uses purposive sampling method and obtained sample of 20 companies.The window period in this study is 11 days. Statistical tests using paired sample t-test and Wilcoxon sign rank test. The results of this study indicate there are no differences in the average abnormal return and trading volume activity before and after the event. There are differences in cumulative abnormal returns before and after events. This shows that investors have anticipated the news and the market has adjusted to a new balance before the announcement of the new LQ45 and IDX30 index calculations officially applied.
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Krishnan, Prema, and M. N. Periasamy. "Testing of Semi–Strong Form of Efficiency: an Empirical Study on Stock Market Reaction Around Dividend Announcement." International Journal of Professional Business Review 7, no. 2 (August 9, 2022): e0483. http://dx.doi.org/10.26668/businessreview/2022.v7i2.483.
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Purpose: The purpose of this study is to examine the efficiency of the Indian stock market of the Nifty IT index over the dividend announcement for five years from 2016 to 2020. Theoretical framework: A reward procured by the shareholders on their equities is, of course, the dividend. A leading area of concern is the dividend announcement. According to the theory of efficient markets, stock prices accurately reflect all available information. This demonstrates that the prices are correct and fair. The market should therefore respond immediately to an event in this instance the dividend announcement. Therefore, depending on publicly available information will not provide investors with the possibility to consistently generate extraordinary returns. Design/ methodology/ approach: The study attempts to validate the event study approach while investigating the semi-strong form of efficiency. Daily share prices of five companies out of ten of the Nifty IT index were observed to test the Efficient Market Hypothesis. 31 days event window has been employed to calculate the abnormal returns of the selected sample around dividend issue announcements also t-test was applied to assess the level of significance. Findings: The study found that the stock market was efficient in its semi strong form and the investors could not make excess returns over the dividend announcement of the Nifty IT index. Research, Practical & social implications: This study eliminates the possibility for investors to beat the average market returns. It is significant since it affects stock market investment choices. Originality/ Values: The majority of studies are only able to analyse the overall average abnormal return and cumulative average abnormal return of chosen companies; it is difficult to locate studies that focus on the abnormal return for each individual company. The t test for each company-wise abnormal returns, overall average abnormal returns, and cumulative average abnormal returns were acquired and tested at the 5% level of significance in order to determine the significance.
Dissertations / Theses on the topic "Cumulative average return"
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Punwasi, Kiran. "An event study : the market reactions to share repurchase announcements on the JSE." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22819.
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This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from 2003 to 2012. We use an event study methodology and the Capital Asset Pricing Model to determine if there is an announcement effect when a share repurchase announcement is made. Our analysis show that consistent with signalling theory and the announcement effect, share repurchase announcements are associated with positive abnormal returns. The average abnormal return and cumulative average abnormal return noted was 0.46% and 3.81% respectively for the event period (t -20, t +20). There was an observable trend of declining share prices before the share repurchase announcement however the decline in the shares prices was not significant. We found some evidence of market timing ability in 2005 and 2010 however as a collective, we found no significant difference in timing a share repurchase announcement.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Pelykh, Halyna. "Wealth creation of mergers and acquisitions : the crisis period of 2008-2009 among U.S. firms." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20860.
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Mestrado em FinançasAs fusões e aquisições são estratégias populares usadas por diversas empresas com variados objectivos. Desta forma, traduzem-se, todos os anos, em transações de biliões de dollars. Ainda assim, estudos mostram que as fusões e aquisições tendem a não criar valor para os acionistas. Recentemente, o Mundo encarou uma crise financeira global que mudou a realidade e as regras em muitas empresas. Através de um estudo de evento, a seguinte dissertação analisa e compara fusões e aquisições americanas considerando três períodos distintos: antes da crise, durante a crise e o pós-crise. Para cada período foi calculado o CAAR e os resultados mostram que há criação de valor para as fusões e aquisições públicas antes da crise. Para além disso, conclui-se que há criação de valor no dia de anúncio da transação para os 3 períodos estudados.
Mergers and acquisitions were always a popular strategy used by numerous companies for diverse reasons. They account for transactions of billions of dollars every year. Nevertheless, researchers proved that M&As often end up not creating value for its shareholders. Recently, the world faced a Global Financial Crisis that changed reality and rules for many businesses. By using an event study, this dissertation studies and compares U.S. M&A deals from three different periods: pre-crisis, crisis, and post-crisis. CAAR values were computed for each period, and the findings state that there is value creation for the public M&A deals that took place before the crisis period. Another result claim there is a creation of wealth on the announcement day for the three periods.
info:eu-repo/semantics/publishedVersion
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Schoeman, Cornelius Etienne. "Enhancing a value portfolio with price acceleration momentum." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22827.
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Value shares are notorious for remaining stagnant for extended periods of time, forcing value investors to remain locked in their investments often for excessive periods. This research study applied the price acceleration momentum indicator of Bird and Casavecchia (2007) on a value portfolio with the objective of improving the timing of value share acquisitions.A time series study was conducted, taking into account the top 160 JSE shares over the period 1 January 1985 to 31 August 2012. A price acceleration momentum indicator was applied to enhance a value portfolio formed on the basis of book-tomarket ratio, dividend yield and EBITDA/EV. Cumulative average abnormal returns (CAAR) were used to compare portfolio results statistically.A substantial contribution is made to the literature by proving that a value-only portfolio can be significantly enhanced by the combination of price acceleration momentum. Results indicated an increase in CAAR from 199.83% to 321.29%. Risk-adjusted returns (Sharpe ratio) were also improved without the detriment of increased share price volatility (standard deviation). This research study further contributes to the literature by proving that a price acceleration momentum indicator adds no additional value over a value portfolio combined with ordinary price momentum.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Zhang, Fan. "Ocenění na trhu elektronického obchodování v rámci srovnání různých systémů ekonomiky." Master's thesis, 2021. http://www.nusl.cz/ntk/nusl-437986.
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Abstract In 2019 e-commerce market become one of the most important part to push the global economic growth especially in China and US. In 2020 Covid-19 has widely spread around the world which caused a severe economic crisis, but e-commerce market has gained benefit from it. In this study will discuss how e-commerce will perform in future and how e-commerce reacts and defend in this crisis. This study used method of discounted cash flow to track the fundamental information of EC market as representative of Alibaba and Amazon, also used event study method to test influence of COVID-19 in the whole industry
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Datta, Arya. "Exploring the effects of ECBs unconventional monetary policy announcements on European stock markets." Master's thesis, 2020. http://hdl.handle.net/10400.14/29823.
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This paper conducts an event-study analysis to investigate the relationship between unconventional
monetary policy announcements by the ECB and corresponding stock returns in
the EMU, furthermore, it also postulates a second hypothesis to ascertain whether this
relationship differs for firms listed amongst exchanges in Northern region of the EU name
Germany, France and The Netherlands with their Southern Counterparts in the EMU, namely
Italy, Portugal and Spain between 2006 and 2015. 10-year Government bond yields for Italy
and Germany are used to calculate the surprise coefficient, while the returns are calculated from
the return’s indices of the firms on the CAC, PSI, IBEX, DAX, AEX, and MIB30. The
significance of the variations of the Returns are tested with Wilcoxon and GRANK tests (Non-
Parametric) for AARs and CAARs respectively. The results suggest that there is a relationship
between an unconventional monetary policy announcement and stock returns. The results also
indicate that this relationship differs for Northern and Southern European firms. The Average
Abnormal Returns (AARs) and Cumulative Average Abnormal Returns (CAARs) indicate
opposite movement of stock returns in most cases. Finally, an event study analysis is also
conducted on 6 portfolios of Europe wide firms segregated through an intersection of firm size
and market capitalisation, the results of which do not show enough evidence to claim
substantive inference.Este artigo conduz uma análise de estudo de evento para investigar a relação entre anúncios de política monetária não convencionais do BCE e retornos de ações correspondentes na UEM. Além disso, postula uma segunda hipótese para verificar se essa relação difere para as empresas listadas nas bolsas de valores. Região norte do nome da UE Alemanha, França e Países Baixos, com suas contrapartes do sul na UEM, nomeadamente Itália, Portugal e Espanha entre 2006 e 2015. Os rendimentos dos títulos do governo a 10 anos para Itália e Alemanha são usados para calcular o coeficiente de surpresa, enquanto os retornos são calculados a partir dos índices de retorno das empresas no CAC, PSI, IBEX, DAX, AEX e MIB30. A significância das variações dos retornos é testada com os testes Wilcoxon e GRANK (não paramétricos) para AARs e CAARs, respectivamente. Os resultados sugerem que existe uma relação entre um anúncio de política monetária não convencional e o retorno das ações. Os resultados também indicam que esse relacionamento difere para as empresas do Norte e do sul da Europa. Os retornos anormais médios (AARs) e os retornos anormais médios cumulativos (CAARs) indicam um movimento oposto dos retornos das ações na maioria dos casos. Por fim, também é realizada uma análise de estudo de eventos em 6 carteiras de empresas na Europa, segregadas por uma interseção entre tamanho da empresa e capitalização de mercado, cujos resultados não mostram evidências suficientes para reivindicar inferência substantiva.
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Huan-Chu, Huang. "Global Mergers & Acquisitions and Standardized Cumulative Average Abnormal Returns: Empirical Evidence from Taiwan." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2706200615181500.
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Huang, Huan-Chu, and 黃奐衢. "Global Mergers & Acquisitions and Standardized Cumulative Average Abnormal Returns: Empirical Evidence from Taiwan." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/19358136377631036630.
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碩士國立臺灣大學
商學研究所
94
The study originates from the intention to investigate the standardized cumulative average abnormal returns (SCAR) in the stock market and the possible determinants in of the M&A activities, especially the global ones, with Taiwanese enterprises as acquirers due to the topics’ increasing significance and urgent necessity for the enterprises, academia, government, and investors as well under the more prosperous economic environment and more rapid globalization tide. The M&A data were collected from the SDC database with the sampling period from 1/1/1990 to 12/31/2005. The samples are the Taiwanese listed or OTC companies which act as the acquirers in the M&A cases with the transaction scale higher than USD 1 million, amounting to 109 qualified cases. Additionally, the stock market related information was collected from the TEJ databases. Two methodologies are employed in this research. For the investigation on the SCAR, the event study serves; for the analysis of the determinants, the OLS regression functions. Findings of the 109 M&A cases show that the SCAR reaches the peak on the next effective transaction date to the date announced instead of the date announced, complying with the regulations and the spirit of “Guidelines for Mergers or Splits by Listed, OCT, and Emerging Stock Companies” and “Taiwan Stock Exchange Corporation Procedures for Press Conferences Concerning Material Information of Listed Companies”. However, the peak appears to be positive instead of negative. As to the analyses of the determining factors, six variables are examined: acquirer’s industry, diversification, region match, year announced, percentage owned after the transaction, and the transaction scale. The statistical results show that, only diversification surfaces the significant impact on SCAR but with a low R2. That is, the six factors couldn’t be directly verified to contribute to SCAR. The reasons why may be attributed to the different economic stage that Taiwan locates in and U.S.A. belong to. In other words, the emerging economic behavior would diverge from the developed one. In addition, the distinct structures of stock markets in Taiwan and in U.S.A also serve the potential cause.
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Pierz, Anna Mariola. "Stock market reaction to corporate political activity : when companies confront the government." Master's thesis, 2018. http://hdl.handle.net/10400.14/25475.
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The purpose of this study is to investigate the market reaction to Corporate Political Activity (CPA) using an event study methodology to determine the impact of a specific event on firm’s abnormal stock returns. The sample consists of The Standard & Poor's 500 Index, US-based companies which signed the declaration We are still in, to express their disagreement with the government’s decision to pull the United States of America out of the Paris Agreement, announced on 01.06.2017. Daily stock return data is used in order to calculate the Cumulative Average Abnormal Return (CAAR) and Cumulative Abnormal Return (CAR) for the event window [0,1], including the day of the event and the following day. The main results indicate that there is no market reaction to the studied event. Furthermore, the study presents the results of Hierarchical Multiple Regression models used to investigate the relation between CARs and firm-related factors such as size, reputation, industry regulation and previous engagement in CPA. It was proven that none of these aspects has a significant influence on the studied market reaction.O objectivo deste estudo é investigar a reacção do mercado à Estratégia Política Corporativa, por meio de uma metodologia de estudo de eventos, para determinar o impacto de um evento específico nos retornos anormais da cotação de mercado de uma empresa. A amostra consiste em empresas americanas listadas no índice Standard & Poor’s 500 que assinaram a declaração We are still in, para expressar o desacordo em relação à decisão do governo de retirar os Estados Unidos da América do Acordo de Paris, anunciada a 01.06.2017. Os retornos da cotação de mercado diários são utilizados de forma a calcular os Retornos Médios Anormais Acumulados e os Retornos Anormais Acumulados para a janela de evento [0,1], incluindo o dia em que as empresas assinaram a declaração e o dia seguinte. Os resultados principais indicam que não há uma reação do mercado ao evento estudado. Além disso, o estudo apresenta os resultados de modelos de Regressão Múltipla Hierárquica usados para averiguar a relação entre os Retornos Anormais Acumulados e factores empresariais como o tamanho, a reputação, a regulação da indústria e os envolvimentos prévios em estratégias políticas corporativas. Foi provado que nenhum destes factores tem uma influência significativa na reação de mercado estudada.
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Mao, Yu-Fen, and 毛郁芬. "A study on the relationships between the acquiring companies announcement effect and cumulative average abnormal returns." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/62315419258967848918.
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碩士國立臺北大學
企業管理學系
98
In recent years, many corporations in Taiwan are applying the strategies of mergers and acquisitions to reach their purpose of rapid growth. Merger strategies can be classified into vertical mergers、horizontal mergers and conglomerate mergers. The study is aimed at general industries (excluding financial industries, because they are affected by financial tsunami; besides, the sample numbers are very limited), and to examine the impacts of merger announcements from 2004 to 2008. The study examines the effects of acquiring firms’ the cumulative average abnormal returns and average abnormal returns in both electronics firms and non-electronics firms by GARCH model of event study. In addition, we analyze the factors of the cumulative average abnormal returns by building a cross-section regression model; in the model, we enter into corporate governance variables and control variables. The result indicated that there are significant positive average abnormal returns and cumulative average abnormal returns to acquiring companies in all-firms group for merger announcements. Regarding to corporate governance variables, the result indicated that the large number of independent outside directors and the large weight of managers’ ownership are negative to cumulative average abnormal return. It may come from the lack of systematic corporate governance in Taiwan. Regarding to control variables, we enter into industry category (electronics industry or non-electronics industry), form of payment (a subsidiary company, cash, stock or mixed)、the relatedness of the acquiring company and the target company and the acquiring company’s size, and analyze them to cumulative average abnormal returns. The result indicated that industry category of the acquiring company and the relatedness of the acquiring company and the target company are positive to cumulative average abnormal return. The study analyzes the cumulative average abnormal returns of acquiring company. Wishing to help investors and managers make more effective decisions and corporate strategies by considering the factor.
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Mendes, Cátia Marlene da Rocha. "O impacto do anúncio de resultados, das 100 maiores empresas americanas, no preço das suas acções." Master's thesis, 2011. http://hdl.handle.net/1822/17031.
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Dissertação de mestrado em FinançasEste estudo tem como objectivo examinar o impacto do anúncio de resultados no movimento do preço das acções, das 100 maiores empresas americanas de 2009 (ranking publicado pela revista Fortune 500). A metodologia utilizada foi a de estudos de eventos sobre uma amostra constituída por 1416 anúncios de resultados trimestrais, analisados durante o período de 1 de Janeiro de 2005 e 31 de Dezembro de 2009. Na classificação dos eventos foi usado o mesmo método que MacKinlay (1997), constituindo-se desta forma 3 carteiras, a de “Impacto Positivo”, “Impacto Negativo” e “Impacto Nulo”. O problema do clustering de eventos foi resolvido com recurso ao método usado por Das, Pattanayak e Pathak (2008), que permite a obtenção de resultados robustos na presença deste fenómeno. De acordo com os resultados obtidos, foram encontrados valores das rendibilidades anormais médias e acumuladas significativos em torno do dia do anúncio dos resultados, o que permite concluir que o evento em causa transmite informações relevantes para o mercado. Contudo, existem diferenças significativas entre as carteiras constituídas. Na carteira de “Impacto Positivo”, só se verifica valores da rendibilidade anormal média significativos no dia 0, havendo um rápido ajuste do mercado face aos anúncios de resultados. Quanto à carteira de “Impacto Nulo” o ajuste também é relativamente rápido, no entanto, além do dia 0 também se verificou valor estatisticamente significativo no dia 1. A carteira cujo ajuste é mais lento, demorando entre 3 a 4 dias (entre o dia 0 e o dia 3) é de “Impacto Negativo”. Relativamente aos resultados da rendibilidade anormal média acumulada são consistentes entre as carteiras, verificando-se valores significativos até ao dia 5. Desta forma, pode-se concluir que quando os anúncios de resultados superam as expectativas dos analistas, o mercado é rápido no procedimento de ajuste às novas informações. No caso de os anúncios serem inferiores às expectativas, o ajuste é mais lento.
This study aims to examine the impact of earnings announcements in the movement of stock prices of the 100 America‟s largest corporations in 2009 (Fortune 500 magazine ranking). An event study is applied to a sample of 1416 quarterly earnings announcements, analyzed between 1st January 2005 and 31st December 2009. The events were classified according to the methodology followed by MacKinlay (1997). Three portfolios were created, “Positive Impact” portfolio, “Negative Impact” portfolio and “Null Impact” portfolio. The problem of clustering of events was solved using the method used by Das, Pattanayak and Pathak (2008), so that no biased results could be achieved. According to the results, statistically significant values of average abnormal returns and cumulative were found close to the earnings announcements day. This enhances the fact that the event under study disseminates relevant information to the market. However, there are significant differences between the portfolios. For the “Positive Impact” portfolio, significant values of average abnormal returns are identified only for the day 0. With respect to the “Null Impact” portfolio, the adjustment is also fast. In this case evidence of statistically significant average abnormal return is found for the event day as well as for the day 1. In the case of a “Negative Impact” the adjustment is slower, taking 3 to 4 days (between day 0 and day 3). The performance results of cumulative average abnormal return are consistent among the portfolios, and there are significant values up to 5 days. Therefore, one can conclude that when the earnings announcement is higher than analysts‟ expectations, the market quickly adjusts to the new information. In the case of negative impact announcements the adjustment is slower.
Book chapters on the topic "Cumulative average return"
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns." In Location Strategies and Value Creation of International Mergers and Acquisitions, 319–20. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app2.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Domestic Mergers and Acquisitions." In Location Strategies and Value Creation of International Mergers and Acquisitions, 321–22. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app3.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for International Mergers and Acquisitions." In Location Strategies and Value Creation of International Mergers and Acquisitions, 323–24. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app4.
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"Daily Average Cumulative Abnormal Returns (CAR) and the Location of the Target (Mature Countries Versus Emerging Countries)." In Location Strategies and Value Creation of International Mergers and Acquisitions, 325–26. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app5.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Mergers and Acquisitions in Mature Countries." In Location Strategies and Value Creation of International Mergers and Acquisitions, 327–28. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app6.
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"Parametric and Non-parametric Statistical Tests of Average Cumulative Abnormal Returns for Mergers and Acquisitions in Emerging Countries." In Location Strategies and Value Creation of International Mergers and Acquisitions, 329–30. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119340850.app7.
Full textConference papers on the topic "Cumulative average return"
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Brannon, Harold, and Nicole Hoffman. "Incorporation of Neutrally Buoyant Proppants in Horizontal Unconventional Wells to Increase Propped Fracture Area Results for Substantially Improved Well Productivity and Economics." In SPE Annual Technical Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/205845-ms.
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Abstract Hydraulic fracturing stimulation of unconventional wells employing large volumes of sand in low viscosity fluids provides propped fracture conductivity in less than 25% of the created fracture area, primarily because of poor sand transport mechanics. The remaining unpropped area is at best only marginally productive using the conventional sand/slickwater hydraulic fracturing process alone. Near-neutrally buoyant proppants (NBPs, ASG 1.055) have proven to be highly effective in accessing production from fracture area that is otherwise left unpropped. Fracture models illustrate the propped fracture area of designs incorporating NBPs is improved to over 85% of the created fracture area. Production simulations of typical slickwater and sand frac designs supplemented with NBPs at 3% by weight of sand distributed evenly throughout the slurry stages show cumulative production increases of 20% to greater than 50% compared to the large volume slickwater/sand treatments without NBPs. Efforts have been directed to justification of the incremental expense involved with the NBP applications and assessment of the associated value-added economic metrics, including the value of the realized incremental production vs. time, the payback time for recovery of the incremental costs, and Return on Investment (ROI). For example, in a 2018 trial of NBP wells in the Middle Bakken formation of North Dakota, the production uplift observed for NBP wells achieved payback of the incremental costs in an average of 26 days; the 1-year cumulative oil production of the NBP wells averaged 69,632 barrels greater than control wells, resulting in a 25% uplift compared to the offset control wells. The Year 1 Return on Investment (ROI) for the drilling and completion costs of the first Middle Bakken well with NBP was 97% versus 64% for the sand-only control wells. Controlled multi-stage horizontal completions of wells with sand-only have been evaluated against wells utilizing NBPs in the application have been executed within several unconventional plays, including the Permian and Williston basins. The performance of the NBP wells have consistently validated the production uplift predictions of the production simulation models. The case studies analyzed herein expand the economic assessment of the NBP stimulation designs by including production analyses quantitative comparison of Net Present Value, production decline rates, and projected EURs of the NBP wells and non-NBP offset wells.
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Chiantera, Luigi, Massimo Milani, Luca Montorsi, and Matteo Stefani. "Optimization of a Small Size CHP System by Means of a Fully Transient Numerical Approach." In ASME 2017 11th International Conference on Energy Sustainability collocated with the ASME 2017 Power Conference Joint With ICOPE-17, the ASME 2017 15th International Conference on Fuel Cell Science, Engineering and Technology, and the ASME 2017 Nuclear Forum. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/es2017-3369.
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The paper investigates the performance of a combined heat and power system by means of a fully dynamic numerical approach. An ad-hoc library for the simulation of energy conversion systems is developed under the OpenModelica open source platform; the library includes the main components that usually equip a Combined Heat and Power (CHP) system and they can be connected as they are logically connected in the real plant. Each component is modelled by means of equations and correlations that calculate their performance on a time dependent basis. Therefore, many configurations can be evaluated not only in terms of cumulative annual results or average performance, but the instantaneous behavior can be investigated. The numerical library is constructed using the lumped and distributed parameter approach and it is validated by comparing the numerical results with the measured values over a one-year time period. The prediction capabilities of the proposed numerical approach are evaluated by simulating a case study of a health spa. This case study is selected since it is characterized by significant requirements of both thermal and electric energy. The comparison demonstrated that the calculated results are in good agreement with the measurements in terms of both annual values and distribution over the reference period. Furthermore, an optimization algorithm is adopted and linked to the developed library in order to estimate the best size of different components of the CHP system according to a number of constraints. This feature is particularly important when addressing the energy efficiency of a complete system that is depending on a number of interdependent variables. Therefore, the case study is investigated by accounting also for additional technologies that can be further enhance the performance of the system both in terms of energy consumption and economic investment. In particular, the numerical model is used to optimized the CHP energy efficiency by estimating the best trade-off between the reduction of the energy purchased and the overall cost of the system. The application of PV panels and electric energy accumulators is also investigated and the simulation demonstrates that the size of the cogeneration unit equal to 48 kW, the number of PV panels of 299 and the battery capacity of 45 kWh provide the lowest amount of energy purchased, while the best return of investment is obtained by the CHP unit of 40 kW along with 109 PV panels and a battery of 40 kWh.