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1
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.
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Fauzi, Fitriya, Dani Foo, and Abdul Basyith. "Islamic Bond Announcement: Is There Any Effect on Returns?" Global Business Review 18, no. 2 (March 16, 2017): 327–47. http://dx.doi.org/10.1177/0972150916668602.
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This article investigates the effect of Islamic debt announcement on stock returns. Using data from 80 Malaysian firms and 20 Indonesian firms, which span from 2000 to 2009, an event study analysis is employed in this study; hence, the data of the daily closing stock prices for 2 years prior and 1 year after the announcement date are required in order to calculate the abnormal return using the abnormal return benchmark (mean adjusted return, market adjusted return and market model return). The findings for the event study analysis, using three benchmarks, reveal that there is a negative and significant impact for both average abnormal returns (AAR) and cumulative average abnormal returns (CAAR) for Malaysia. In contrast to the findings for Malaysia, the impact of Islamic debt announcement, using three benchmarks, is positive and significant for both AAR and CAAR for Indonesia. The unit root test result for Malaysia indicates that the market is efficient in the context of weak form efficiency, which suggests that the price movements are unpredictable. In contrast to Malaysia, the unit root test result for Indonesia indicates that the market is inefficient in the context of weak form efficiency, which suggests that the price movements are predictable.
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Zhang, Weiwei, Tiezhu Sun, Patrick Han Lin Goh, Zilong Wang, and Nick Mansley. "CAN RAINMAKERS JUSTIFY THEIR PAY? THE ROLE OF INVESTMENT BANKS IN REIT M&AS." International Journal of Strategic Property Management 25, no. 4 (May 20, 2021): 254–66. http://dx.doi.org/10.3846/ijspm.2021.14883.
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This study explicitly rejects the prima facie proposition that the top-tier investment banks are capable of delivering supernormal value creation to the shareholders of a REIT acquirer in a corporate acquisition. Using the event study method, we find that REIT acquirers advised by market-leading investment banks suffer an average cumulative abnormal return of −4.41% following the M&A announcement, whereas REIT acquirers advised by non-top-tier investment banks only suffer an average cumulative abnormal return of −1.49%. The evidence shows that the contemporary practice of employing investment banks based on the prestige of the advisory firms could potentially result in value-destroying M&As for the REIT acquirers.
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Loviscek, Anthony. "“The lost decade”: an MPT perspective." Managerial Finance 41, no. 11 (November 9, 2015): 1202–20. http://dx.doi.org/10.1108/mf-11-2014-0291.
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Purpose – The purpose of this paper is to test the efficacy of an application of modern portfolio theory (MPT) from 2000 through 2009, a period during which the annual rate of return on the S & P 500 is negative. The financial media have called this period “the lost decade” for investors. Design/methodology/approach – Using monthly data, the author uses a series of annual out-of-sample tests to compare the risk-reward performances of MPT portfolios against those of the S & P 500. Findings – The author finds that the MPT portfolios outperformed the S & P 500. During the “lost decade”. They generated a cumulative return of over 77 percent compared to a cumulative return of −9.1 percent on the S & P 500. Moreover, the MPT portfolio β’s are low, ranging from 0.45 to 1.01, suggesting above-average risk-reward performances. Research limitations/implications – The MPT portfolios are relatively small, and might not be well diversified. That said, they comprise a core set of securities that could help investors achieve a risk-reward performance that exceeds that of the S & P 500. Practical implications – The results suggest that investors should not overlook the potential of MPT, despite its theoretical and practical limitations, to provide above-average returns at below-average risks. Originality/value – This is the first study to show the efficacy of MPT during a period in which it was criticized at having failed investors when they needed it most.
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Rafik, Abdur, and Embun Arafah. "THE INTRA-INDUSTRY SPILLOVERS OF INDONESIAN RIGHT OFFERINGS." MIX: JURNAL ILMIAH MANAJEMEN 9, no. 1 (February 18, 2019): 190. http://dx.doi.org/10.22441/mix.2019.v9i1.012.
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This study aims to examine the spillover effect of right offerings to the industry on the Indonesian Stock Exchange in the period 2009-2016. This study is designed using event study methodology. In total, there are 96 issuing companies (issuers) and 1205 non-issuing companies (non-issuers) used as the sample which was obtained using a purposive sampling technique. The test for information content on the right issues was conducted using standard t-test on the average cumulative abnormal return of issuers and non-issuers in the period t-10 to t+10 around the issuance. The research found positive abnormal returns for issuers in t0 to t+4 but did not confirm the spillover effect to non-issuers over the observed (window) periods. The average cumulative abnormal returns are randomly distributed during the window period. These results confirm the absence of intraindustry effect of right issues on the non-issuers’ performance
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Hafidz, Maulana Faizal, and Yuyun Isbanah. "Analisis Komparatif Abnormal Return dan Trading Volume Activity berdasarkan Political Event (Event Study pada Pengesahan RUU KPK 2019)." Jurnal Ilmu Manajemen 8, no. 3 (June 28, 2020): 829. http://dx.doi.org/10.26740/jim.v8n3.p829-838.
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This research aims to analyze the reaction of the Indonesia capital market with average abnormal return (AAR) and cumulative abnormal return (CAR) before-after the legality of KPK law revision in 2019. This research also using trading volume activity to describe the react of capital market before-after the legality of KPK law revision in 2019. This research use event study for analysis method with 5 days before and 5 days after the event with secondary data from the Indonesia capital market. The research testing by Paired Sample T-Test and Kolmogorov-Smirnov. The result of Kolmogorov-Smirnov shows that AAR, CAR, and TVA are normal distribution. The result of the paired sample t-test shows that no difference between average abnormal return and trading volume activity before-after the political event because investors already get bad news on before and after the legality of KPK law revision in 2019 which make investor wait and see. But, the paired sample t-test shows the difference between CAR before-after the legality of KPK law revision in 2019, because the investor gets a positive abnormal return on t-3 and t-4 which make a different cumulative abnormal return.
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Rai, Varun Kumar, and Vineeta Kumari. "Impacts of the global pandemic on returns and volatilities of cryptocurrencies." International Journal of Accounting, Business and Finance 1, no. 1 (January 1, 2022): 24–39. http://dx.doi.org/10.55429/ijabf.v1i1.21.
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Employing the standard event study methodology and the OLS market model to examine how the global pandemic announcement impacted cryptocurrencies, we test the null hypotheses that "the global pandemic declaration did not significantly impact the abnormal returns of the cryptocurrencies", and "during the global pandemic declaration, the cryptocurrencies did not experience any significant abnormal volatilities". The average abnormal return on t-2 was nearly minus 40 percent, which is the highest negative value during the 61-day event window. The cumulative average returns are significantly negative during the event window. The global pandemic news has significantly impacted cryptocurrencies and are more volatile during the outbreak. The study's findings will empower the investors to implement proper investment strategies during emergencies.
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Savor, Pavel, and Mungo Wilson. "How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements." Journal of Financial and Quantitative Analysis 48, no. 2 (April 2013): 343–75. http://dx.doi.org/10.1017/s002210901300015x.
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AbstractStock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp for all the other days, suggesting that over 60% of the cumulative annual equity risk premium is earned on announcement days. The Sharpe ratio is 10 times higher. In contrast, the risk-free rate is detectably lower on announcement days, consistent with a precautionary saving motive. Our results demonstrate a trade-off between macroeconomic risk and asset returns, and provide an estimate of the premium investors demand to bear this risk.
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Högholm, Kenneth. "Bidder’s Gain in Public M&A Transactions: Does Size Matter?" International Journal of Economics and Finance 8, no. 5 (April 25, 2016): 1. http://dx.doi.org/10.5539/ijef.v8n5p1.
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<em></em>In this paper we investigate the short term abnormal return to the bidding firm’s shareholders in takeovers made by a Finnish company during the time period from January 2000 to December 2013. Specifically, we study takeover transactions involving publicly traded target companies, and are particularly interested in the relationship between the abnormal return to bidder’s shareholders and the size of the transaction. Specific features of the market for corporate acquisitions in Finland are that almost all transactions are friendly acquisitions and usually aim for 100% of the target company. We estimate the abnormal return around 51 individual takeover announcements and investigate determinants of the abnormal returns. Our results show that the takeover announcement on average yields a positive, but insignificant abnormal return to the bidding firm’s shareholders. The announcement effect on the announcement day is 0.63%, while the cumulative average abnormal return for an eleven day event window is 1.39%. Both pre-event and post-event abnormal returns are statistically insignificant, although there is sign of a price run-up during the last week prior to the announcement. We document a significant negative relationship between the bidder’s abnormal return on the announcement day and the size of the deal, but a positive relationship between the announcement effect and the relative size of the deal. We also document a weak negative relationship between the abnormal returns and the relative size of the target to the bidder. Among the other takeover characteristics we do not find any statistically significant relationship to the announcement effect.
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Chandra, Amitabh, Joanna P. MacEwan, Avrita Campinha-Bacote, and Zeba M. Khan. "Returns to Society from Investment in Cancer Research and Development." Forum for Health Economics and Policy 19, no. 1 (June 1, 2016): 71–86. http://dx.doi.org/10.1515/fhep-2014-0022.
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Abstract Background: Since the start of the War on Cancer there have been enormous investments in improving oncology treatment. The return to society generated by this investment is unknown. We estimate the returns generated over the previous four decades and extrapolate future returns from current investment in cancer R&D. Methods: Using data on cancer incidence, mortality, and treatment-specific R&D expenditures from 1973 to 2010, we used regression models and two-sided significance tests to relate investment in cancer treatment R&D to cancer mortality, by tumor type. For investment, we used a measure of the knowledge stock generated by cancer treatment R&D expenditures over the previous 25 years to capture the cumulative benefits of past innovations and advances in treatment. Results: Investment of an additional $1 million in cervical, breast, colorectal, and prostate cancer between 1973 and 1990 was associated with a cumulative return of more than $5 million from cancer R&D by 2010. Through 2010, investment in cancer R&D was associated with average benefits in excess of costs in all but two cancers, ovarian and pancreatic. Regarding future returns, we estimated that each additional $1 million invested in cancer treatment research and development in 2010 will produce over $28 million in value over the following 50 years. Conclusions: The return to society from spending on cancer treatment R&D is large, but varies across tumor types.
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Punwasi, Kiran, and Pradeep Brijlal. "The market reactions to share repurchase announcements on the JSE: an event study." Investment Management and Financial Innovations 13, no. 1 (April 8, 2016): 191–205. http://dx.doi.org/10.21511/imfi.13(1-1).2016.06.
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This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from the years 2003 to 2012. The authors use an event study methodology and the Capital Asset Pricing Model to determine if there was an announcement effect when a share repurchase announcement is made. The analyses reveal 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. The authors also found no significant evidence that repurchasing firms have market timing ability when executing a share repurchase announcement. From a value investor’s perspective, a share repurchase program conveys a very strong signal of a healthy company
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Adnan, ATM. "DOES MARKET REACT TO TAX REDUCTION NEWS? AN EMPIRICAL STUDY ON CORPORATE TAX REDUCTION OF BANGLADESH IN 2017-18." Business, Management and Education 17, no. 2 (December 27, 2019): 286–308. http://dx.doi.org/10.3846/bme.2019.11274.
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Purpose – This study tries to investigate the capital market reaction to the corporate tax reduction announcement (37.5% from 40%) in Bangladesh for publicly listed Banking, Insurance and Financial Institutions of 2017-18. Methodology – This study applied an event study approach to identify any significant average abnormal returns as well as cumulative average abnormal returns of all the publicly listed Banks, Insurances and Financial institutions around the announcement period. Findings – Insignificant average abnormal return (AAR) experienced in case of Banking and Insurance industry on event day, except the financial institutions which have generated a statistically significant abnormal negative return on announcement day. The combined AAR of all three sectors has also generated statistically insignificant return around event windows which suggest that investors did not consider tax reduction news as valuable information for investment decision nor considering it as an essential factor of share value. Limitation – The study did not consider any possible extraneous variable that could result in insignificant reactions. Practical Implication – The findings of this research would considerably contribute to the financial and economic policy formulation while taken into consideration the possible impact of the policy over the capital market of Bangladesh. Originality – This study makes a considerable input to the research in the area of taxes linked to the behavioural finance applying the unique variable of investor’s reactions.
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Dieu Dang, Huong. "KiwiSaver fund performance and asset allocation policy." Pacific Accounting Review 31, no. 2 (April 1, 2019): 232–57. http://dx.doi.org/10.1108/par-06-2018-0044.
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Purpose This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October 2007-June 2016. The study focuses on the sources for returns variability across time and returns variation among funds. Design/methodology/approach Each fund is benchmarked against a portfolio of eight indices representing eight invested asset classes. Three measures were used to examine the after-fee benchmark-adjusted performance of each fund: excess return, cumulative abnormal return and holding period returns difference. Tracking error and active share were used to capture manager’s benchmark deviation. Findings On average, funds underperform their respective benchmarks, with the mean quarterly excess return (after management fees) of −0.15 per cent (growth), −0.63 per cent (balanced) and −0.83 per cent (conservative). Benchmark returns variability, on average, explains 43-78 per cent of fund’s across-time returns variability, and this is primarily driven by fund’s exposures to global capital markets. Differences in benchmark policies, on average, account for 18.8-39.3 per cent of among-fund returns variation, while differences in fees and security selection may explain the rest. About 61 per cent of balanced and 47 per cent of Growth funds’ managers make selection bets against their benchmarks. There is no consistent evidence that more actively managed funds deliver higher after-fee risk-adjusted performance. Superior performance is often due to randomness. Originality/value This study makes use of a unique data set gathered directly from KiwiSaver managers and captures the long-term strategic asset allocation target which underlines the investment management process in reality. The study represents the first attempt to examine the impact of benchmark asset allocation policy on KiwiSaver fund’s returns variability across time and returns variation among funds.
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Kadioglu, Eyup, and Ayhan Kirbas. "Stock Dividend Ex-Day Abnormal Return." Ekonomski pregled 72, no. 5 (2021): 670–96. http://dx.doi.org/10.32910/ep.72.5.2.
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This study examines the impact of the ex-day of stock dividend on stock return and volume on Borsa Istanbul stock exchange. The data covers 1,220 stock dividends associated with 305 companies over the period 1997-2018. A positive abnormal return and volume is seen around the ex-day of stock dividend. The cumulative average excess return over market return starts to significantly rise ten days before ex-day and reaches its highest level on the ex-day before falling back in the days following. Our findings show that abnormal return around ex-day is strongly associated with stock dividend pay-out ratio, asset size and a company’s market value. The share of listed companies with higher stock dividend pay-out ratio or lower asset size or lower market capitalization, can generate respectively 5.97%, 6.08% and 5.88% abnormal return over market index return.
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Octavera, Sari, and Febri Rahadi. "Reaksi Pasar Modal terhadap Peristiwa Ekstrim dan Radikalisme (Studi Pasca Serangan Teroris di Surabaya)." Manajemen dan Kewirausahaan 10, no. 1 (January 31, 2019): 59. http://dx.doi.org/10.31317/jmk.10.1.59-69.2019.
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Abstrak
Penelitian ini bertujuan untuk melihat efek dari peristiwa ekstrim serangan terorisme yaitu Bom Surabaya pada 13 Mei 2018. Analisis terhadap Abnormal Return dilakukan untuk memperbandingan reaksi yang terjadi pra dan paska peristiwa tersebut. Hasil uji statistik beda dua rata-rata menunjukkan bahwa terdapat sentimen positif paska kejadian. Hal ini mengiplikasikan bahwasanya investor tidak merasa bahwa serangan terorisme merupakan gangguan yang besar terhadap investasi mereka. Perbandingan antara hari-hari pra dan paska serangan bom menunjukkan bahwa AAR hari kedua pra kejadian memiliki perbedaan yang signifikan dengan AAR hari ke 4 paska kejadian menunjukkan bahwa peristiwa pengeboman tidak termasuk sebagai bad news bagi pelaku pasar modal. Reaksi investor terhadap peristiwa serangan bom dilakukan dengan melihat nilai Cumulative average abnormal return (CAAR) dari data paska terjadinya serangan bom dan menunjukkan bahwa return saham perusahaan manufaktur cenderung stabil, dengan peningkatan dan penurunan yang tidak signifikan pada t+1 hingga t+5, yang menandakan bahwasanya tidak terbukti terjadi overreaction paska kejadian.
Kata kunci: Sentimen investor; fundamental perusahaan; over reaksi.
Abstract
This study aims to see the effects of the extreme events of terrorism attacks namely the Surabaya Bomb on May 13, 2018. Analysis of Abnormal Return is carried out to compare the reactions that occur before and after the event. The results of two different statistical tests on average indicate that there is positive post-event sentiment. This implies that investors do not feel that terrorist attacks are a significant disruption to their investment. Comparison between the pre and post-bomb days shows that the AAR of the second day of the pre-event had a significant difference with the AAR on the 4th day after the incident indicating that the bombing event not included as bad news for capital market players. The investor's reaction to the bomb attack was carried out by looking at the value of Cumulative average abnormal return (CAAR) from post-bomb attack data and showing that manufacturing stock returns tend to be stable, with insignificant increases and decreases at t + 1 to t+5, which indicates that there is no evidence of post-event overreaction.
Keywords: Investor Sentiment; firm’s fundamental; overreaction
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Tran, Minh, Duc Pham-Hi, and Marc Bui. "Optimizing Automated Trading Systems with Deep Reinforcement Learning." Algorithms 16, no. 1 (January 1, 2023): 23. http://dx.doi.org/10.3390/a16010023.
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In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes the development of a learning environment, state representation, reward function, and learning algorithm for the cryptocurrency market. Considering two simple objective functions, cumulative return and Sharpe ratio, the results showed that Deep Reinforcement Learning approach with Double Deep Q-Network setting and the Bayesian Optimization approach can provide positive average returns. Among the settings being studied, Double Deep Q-Network setting with Sharpe ratio as reward function is the best Q-learning trading system. With a daily trading goal, the system shows outperformed results in terms of cumulative return, volatility and execution time when compared with the Bayesian Optimization approach. This helps traders to make quick and efficient decisions with the latest information from the market. In long-term trading, Bayesian Optimization is a method of parameter optimization that brings higher profits. Deep Reinforcement Learning provides solutions to the high-dimensional problem of Bayesian Optimization in upcoming studies such as optimizing portfolios with multiple assets and diverse trading strategies.
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Tenggara, Yusnaidy, and Astuti Setyani. "Analisis Perbedaan Abnormal Return Saham LQ45 Diseputar Peristiwa Pergantian Pemerintahan Baru Di Indonesia: Studi Kasus Saham LQ45 Periode Agustus 2004-Februari 2005 di Bursa Efek Jakarta." Jurnal Riset Manajemen dan Bisnis 1, no. 2 (December 1, 2006): 205. http://dx.doi.org/10.21460/jrmb.2006.12.193.
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One important objective of investor's short term investment on stockmarket is to obtoin the positive stock abnormal return. In this cose, theexistence of such return will be determined by both the external factors andinternal factors. Studies on Indonesio's stock market shows, the externalfactors qre more influential than those the internal one. On that case, the twoimportant external factors ore primarily political and economic condition,since they are correlated each others. Political and economic stability is veryimportant to mointain a secure and safe investment climate on the stockmarket.This research however, will be focused on political issue to examine itseffect on stock abnormol return especially the issue surround the Indonesia'sgovernment succession in the perio,d of August 2004 until February 2005.Using the method of event study, this research is done on LQ45 stock. Itis also employ the cluster sampling method to define the sample and resultedon 45 stock which was issued on August 2A04 until February 2005. Then thestoclrs are calculated by their actual return, market return, abnormal return,average abnormal return, cumulative averoge abnormal return, and estimatedstandard etror. Finally, this research use Paired Sample T-test to examine thehypothesis. The results shows there are significantly no differences betweenLQ45's stock abnormal return before and after the governmental powerchonges.Keywords: Indonesia new government and stock return.
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González, Pedro Antonio, and José Luis Gallizo. "Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction." Journal of Risk and Financial Management 14, no. 11 (November 12, 2021): 548. http://dx.doi.org/10.3390/jrfm14110548.
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This paper studies the reaction of share prices in the Chilean securities market at the sectoral level to the arrival of COVID-19 in the country. The following question is answered: Did the Chilean market act efficiently before the arrival of COVID-19? To answer this question, an event study using a 10-day investment return window was applied to the industrial sectors that make up the IPSA (Selective Stock Price Index). To obtain the abnormal returns (AR) and cumulative abnormal returns (CAR) for the event window, three models were used: (1) adjusted average return, (2) adjusted market return, and (3) the market model. The results of the study show an overreaction to market losses, except in the utilities industry, causing greater losses after the event, which shows that information is slow to be incorporated in the previous stage and suggests that the prices of the assets do not reflect all the information available in the market. A significant finding is that the Chilean stock market responded inefficiently in the face of the arrival of the pandemic. This information is useful for investors in the formation of portfolios and/or investment strategies with a view to the long term.
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Widianova, Valentina Hemas, and Permata Wulandari. "Merger and Acquisition Analysis in Creating Value for Shareholders in The Infrastructure and Utility Sector." Journal of International Conference Proceedings 4, no. 1 (July 22, 2021): 150–61. http://dx.doi.org/10.32535/jicp.v4i1.1136.
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Trough 20 – years period their merger and acquisition (M&A) in sector infrastructure and utilities are the pledge of the most country in the world, especially in Asia with most emerging countries. This study aims to know the relation about M&A activities to value shareholders in infrastructure and utilities sector in during last 20 years and year of crisis in 2020. Observe for acquire and target companies using event study approach to find Cumulative Average Abnormal Return (CAAR) on M&A activities that represent the value for the shareholders. Set event window for 31 days, consist of 15 days before the announcement and 15 days after announcement. Using sample of listed companies who making acquisition activities in Asia which size of the deal above USD 30 million. The result shows that the acquirers give positive CAAR that statistically significant 10% and the targets give positive CAAR statistically significant 5 %. The target company has higher cumulative abnormal average return than the acquirer company. Then M&A activity during crisis shows that for acquirer give positive not significant CAAR with 4,6% abnormal return and target give positive CAAR 3.4% but not significant. The target gives higher CAAR positive for t-15 to t+7 than the acquirer.
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Lee, Jung-Gyo, and Kyung-A. Ko. "The Market Responses to Super Bowl Advertising: The Role of Product Type and Multiple Executions." Sustainability 13, no. 13 (June 25, 2021): 7127. http://dx.doi.org/10.3390/su13137127.
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This study uses event study analysis to examine the impact of Super Bowl commercials on the stock prices of sponsoring firms by product type and the frequency of ad executions. By examining 272 Super Bowl advertisements from 142 firms that aired from 2010 to 2019, the results show that the execution of Super Bowl advertising was positively associated with excess returns. In particular, the abnormal return for the day after the event represents the largest gain in excess returns over a period of ±10 days around the event day. Further, cumulative average abnormal returns (CAARs) are consistently positive right after the event day. The findings demonstrate that Super Bowl commercials yielded higher returns for low-involvement and hedonic products. The number of ad executions is found to substantially enhance the effectiveness of Super Bowl advertising.
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TAMARA, TEPLOVA, QAISER MUNIR, and KAPICHNIKOVA MARIA. "THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS." Singapore Economic Review 65, no. 04 (May 31, 2019): 889–915. http://dx.doi.org/10.1142/s0217590819500243.
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This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the [Formula: see text] day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue [Formula: see text]3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $1 billion, except for 2016.
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Hsieh, Heng-Hsing, and Kathleen Hodnett. "Cross-Sector Style Analysis Of Global Equities." International Business & Economics Research Journal (IBER) 10, no. 11 (July 17, 2012): 1. http://dx.doi.org/10.19030/iber.v10i11.7151.
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Value effect, size effect, mean reversal of long-term losers and the momentum of short-term winners are well-documented efficient market anomalies that exist in the cross-section of equity returns. Prior literature suggests that investing in stocks that have relatively higher beta, higher book-to-market ratio, lower market capitalization, higher prior 12-month returns and lower prior 36-month returns can reap above-average returns. Stocks possessing these investment styles are either riskier, or subject to investor overreaction. This paper undertakes to examine these anomalies across different sectors of the global equity market. The results of the univariate analysis show that market capitalization, book-to-market ratio and market beta are prominent factors that consistently explain the cross-section of global equity returns over the period from 01 January 1999 to 31 December 2009. Basic materials and oil and gas sector is the best performing sector while financials and technology sectors are the worst performing sectors on a risk-adjusted return basis over the examination period. Examination of the log cumulative style payoffs suggests that the value effect and mean reversals are particularly strong across sectors during turbulent times. The close resemblance of the cumulative payoffs to prior 12- and 36-month returns for the consumers goods and services and industrials sectors, as opposed to the widening gaps between the cumulative payoffs to prior 12- and 36-month returns for the technology sector, are possibly due to the relatively tighter competition and higher turnover rates for market leaders in the technology sector.
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Adams, Brian, Mary Margaret Frank, and Tod Perry. "The Potential for Inflating Earnings through the Expected Rate of Return on Defined Benefit Pension Plan Assets." Accounting Horizons 25, no. 3 (September 1, 2011): 443–64. http://dx.doi.org/10.2308/acch-10115.
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SYNOPSIS Using a sample of firms over the period of 1991 through 2005, we examine the opportunity that exists for firms to inflate earnings through the expected rate of return (ERR) assumption associated with defined benefit pension plans. The evidence suggests that, on average, the ERR is not overstated relative to several benchmarks, including contemporaneous actual returns, historical cumulative actual returns, and expected future returns based on asset allocation within the pension. We also find that actual changes in the ERR are infrequent and typically have less than a 1 percent impact on annual operating income. We also estimate that a 0.5 percent change (50 bps) in the ERR will result in a cumulative effect on operating income over a five-year period of approximately 0.5 percent or less for the majority of firms. When we examine firms with the highest ERRs or with the greatest opportunity to inflate earnings, again, we find that the ERR is not overstated relative to several benchmarks. Although we do not observe pervasive inflating of reported income through the ERR during our sample period, we do find that for some firms, small increases in ERR can have a material impact on reported earnings. Our results provide evidence related to the pervasiveness, materiality, and impact of overstated earnings through the ERR, which helps regulators assess the costs and benefits of eliminating this discretion in financial reporting.
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Eryigit, Mehmet. "Short-term performance of stocks after fraudulent financial reporting announcement." Journal of Financial Crime 26, no. 2 (April 1, 2019): 464–76. http://dx.doi.org/10.1108/jfc-11-2016-0076.
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Purpose Availability of accurate and reliable information in financial markets helps investors make well-informed decisions on capital allocations which is beneficial for long-term economic growth. In this regards, the role of auditing firms that inspect the financial statements of the publicly traded companies in sound operation of financial markets has been increasing. The Capital Market Board of Turkey (CMBT) has the task and responsibility of investigating fraudulent information disseminated by the firms whose stocks are traded in Borsa Istanbul. The investigations can lead to monetary penalties if fraud is proven and the results are published by CMBT in its weekly bulletin. The present study aims to examine the effect of announcements of financial irregularities of companies in CMBT Bulletin on the performance of the relevant company stock in the short term. Design/methodology/approach This study uses abnormal return, cumulative abnormal return and cumulative average abnormal return as metrics and parametric, as well as non-parametric tests to ascertain whether the announcements of financial irregularities in company operations have any statistically significant effect on the return of its stock. Findings The results indicate that publication of the financial penalty news by CMBT in its bulletin has almost no statistically significant influence on the performance of the relevant companies’ stock in Borsa Istanbul. The findings indicate that either the investors in this particular markets do not consider such news relevant to long-term success of the firm or the announcement does not provide any new information and penalties have been priced into the stock before the announcement in the bulletin. Originality/value In literature there is no more research about the effect of the announcements of administrative monetary penalties and crime complaints on the stock returns.
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Nguyen Xuan, Truong. "How does market react to corporate spin-offs in Australia?" Journal of Asian Business and Economic Studies 24, no. 01 (January 1, 2017): 54–74. http://dx.doi.org/10.24311/jabes/2017.24.1.07.
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While numerous studies on spin-off have been done in the US and Europe, little efforts have been directed to research this area of cor-porate finance in Australia. This study investigates how market re-acts to corporate spin-offs in this country. We employ traditional event study methodology and find that market reacts strongly and positively to the announcements of spin-offs. Specifically, the cu-mulative average abnormal return over the 3-day event window is 3.58%. The cumulative average abnormal return for spin-offs by companies that increase their industrial focus is 4.12% and 3.33% for non-focused increasing spin-offs. Nevertheless, the difference between these two subgroups is statistically insignificant. Multivari-ate regressions provide evidence that high pre-leverage firms benefit more from spin-offs.
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Hadimas, Herly. "OVERREACTION ANOMALY DI PASAR MODAL INDONESIA (STUDI PADA SAHAM-SAHAM LQ-45 TAHUN 2014-2018)." Journal of Business Economics 24, no. 1 (2019): 88–99. http://dx.doi.org/10.35760/eb.2019.v24i1.1857.
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This study aims to analyze whether market overreaction symptoms occur in Indonesia Stock Exchange, specifically on the LQ-45 Index from 2014 to 2018. This research was separated over 6 and 12 months. The sample was consistent stocks of LQ-45 index companies period 2014 to 2018, it is determined by purposive sampling method. Stocks were classified into two portfolios based on the value of Cumulative Abnormal Return (CAR). Winner portfolio was 3 stocks with the highest value of CAR, and loser portfolio was 3 stocks with the lowest value of CAR. Market overreaction is measured by Average Cumulative Abnormal Return (ACAR) loser portfolio outperformed of winner portfolio ACAR. As a result, the research found that overreaction indications were evidence, but no significance statistically. The result absence of market overreaction symptoms on the Indonesia Stock Exchange showed that the contrarian investment strategy was inappropriate to use, especially on LQ-45 index stocks. Keywords: Overreaction, winner-loser anomaly, LQ-45 Index.
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Quaye, Isaac, Alfred Sarbah, Joseph Boadi Nyamaah, Mavis Aidoo, and Yinping Mu. "Intra-Industry Information Transfers and Firm Value: Evidence From Ghana’s Banking Industry." SAGE Open 10, no. 4 (October 2020): 215824402096808. http://dx.doi.org/10.1177/2158244020968087.
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The purpose of this study is to estimate the economic value of intra-industry information transfers within Ghana’s banking industry due to the collapse of seven banks. This is a short-term study with an event window [−10, +10] and an estimation period of 200 trading days. The event study methodology is adopted to estimate the cumulative abnormal return (CAR) gained by other rival industry banks as well as to calculate the cumulative average abnormal return (CAAR) for the entire Ghana Stock Exchange (GSE). The results of the study show that the collapse of the seven banks does convey information that the market uses in revising stock prices. However, most of the rival banks experienced an insignificant share price reaction. This insignificant reaction can be attributed to the fact that GSE is not efficient. The study recommended among others, for the GSE to be reformed to improve the efficiency of the market and secure the flow of information to market participants.
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Su, Larry, Elmina Homapour, and Francisco Chiclana. "Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets." Mathematics 10, no. 17 (September 1, 2022): 3141. http://dx.doi.org/10.3390/math10173141.
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Qualified Securities for Short-sale Refinancing (QSSR) is a unique trading mechanism that has exogenously increased the supply of loanable securities in Chinese stock markets. Using difference-in-differences (DID) methodology, this paper is the first to investigate whether and to what extent additions to the QSSR eligibility list affect short selling activities and stock price behaviors. The paper finds that stocks added to the QSSR list exhibit better liquidity and less negative skewness in returns than non-QSSR stocks. However, QSSR stocks are more volatile and display a higher frequency of extreme negative returns. In addition, on average, QSSR stocks experience larger negative abnormal returns (ARs) and cumulative abnormal returns (CARs) relative to non-QSSR stocks, and the difference in CARs is positively related to investor heterogeneity. The results indicate that short selling has mixed effects on stock prices. Removing short-sale constraints can improve liquidity and reduce price bubbles, but can also increase return volatility and amplify market crashes.
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Prusak, Błażej, and Marcin Potrykus. "Short-Term Price Reaction to Filing for Bankruptcy and Restructuring Proceedings—The Case of Poland." Risks 9, no. 3 (March 18, 2021): 56. http://dx.doi.org/10.3390/risks9030056.
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This study aims to check market reaction to filing for bankruptcy and restructuring proceedings and to verify the short-term effect of a price reversal in the Polish market in the years 2004–2019. The research was conducted by dividing the analysed companies according to the procedure (bankruptcy and restructuring) and market (the main market and the NewConnect market). The research methodology used in the study is the event analysis method (AR, CAR, AAR and CAAR rates were used in the research), with a few statistical tests (T-test, Generalized rank Z Test, Generalized rank T-Test, Patell or Standardized Residual Test, Kolari and Pynnönen adjusted Patell or Standardized Residual Test). It was found that share prices in the Polish share market react quickly to public information about filing an application for bankruptcy or restructuring. For all analysed companies, the mean rate of return on the event day was equal to −14%, and on the next day, it was −3%. Regardless of the type of share market and the form of proceedings, the reversal effect was not confirmed in the short term. It was found that cumulative above-average rates of return fall more strongly for companies listed on the less liquid Newconnect market (−23.6%), and when information on the filing for bankruptcy proceedings is provided (−28.5%), as opposed to the main market (−19.1%) and restructuring proceedings (−17%). The cumulative average rate of return for all analysed companies in the research period (−2, +10 days) was equal to −20.6%.
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Lee, BokHyun. "The Relationship between Technology Life Cycle and Korean Stock Market Performance." International Journal of Financial Studies 6, no. 4 (October 29, 2018): 88. http://dx.doi.org/10.3390/ijfs6040088.
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Through the three industrial revolutions, technology has enabled rapid changes in society. In a capitalist society, capital is invested where there is utility, for example, economic benefit. We intend to determine that the stock price of a company that uses a particular technology will change with the life cycle of the technology in question. Specifically, we filtered companies that mainly deal with augmented reality and are listed in Korea’s KOSDAQ market. We grouped these companies based on detailed technologies that constitute augmented reality. We used the event study method to calculate the stock returns against a benchmark. As a result, in the “Peak of Inflated Expectations” stage, the portfolios of all companies using augmented reality generally show higher returns than the benchmark. However, it is difficult to ascertain whether a return generated based on one of the detailed technologies that make up augmented reality is higher or lower than that of the benchmark. During the “Trough of Disillusionment” phase, there was neither a consistent trend of cumulative abnormal returns (CAR) nor buy-and-hold abnormal returns (BHAR). However, during this stage, there was a positive correlation of average BHAR and average abnormal returns between the entire sample’s portfolio and each detailed technology firm’s portfolio.
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Lee, Cheng-Wen, and Dolgion Gankhuyag. "Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange." Jurnal METRIS 21, no. 01 (June 1, 2020): 47–58. http://dx.doi.org/10.25170/metris.v21i01.2432.
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In this study, we present the Mongolian stock market’s performance post phenomenal financial crisis of 2008-2009, opportunities to invest and the risks problems. For analysis of the study, we used financial portfolio optimization models with restricted structure, mathematical statistic methods and financial methods. First, we considered about portfolio optimization in the Mongolian Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety first model. We used MSE weekly trading data chosen 50 most traded stocks out of 237 stocks listed at the MSE between 2009 and 2013. We generated 50 weeks mean-variance portfolio and safety first portfolio for 2014 and discussed. We considered weekly investment in the MSE using mean-variance portfolio andsafety first portfolio. The mean-variance portfolio has the best performance of weekly portfolio return with average weekly return and cumulative return. We found stable portfolio against investing risk and did back-test the result. For prospect investors in the MSE, we suggest invest and earn high return in the MSE.
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Ji, Peinan, Xiangbin Yan, and Guang Yu. "Can Rumor Clarification Eliminate the Effects of Rumors?" International Journal of Asian Business and Information Management 11, no. 1 (January 2020): 48–62. http://dx.doi.org/10.4018/ijabim.2020010103.
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This article analyzes the effects of rumor and official rumor clarification on Chinese stock returns under different rumor conditions using an event study. The results are based on a sample of 832 rumor clarification announcements from China Listed Companies spanning the period of 2015 to 2017. The results show that the average cumulative abnormal return after the rumor event is significantly positive in the positive rumor sample and neutral sample, and significantly negative in the negative rumor sample. After the clarification announcements, we find the announcements effective for the positive and neutral rumor sample, but not in the case of the negative sample. However, by comparing different clarification times of each sample, we find that the earlier the clarification time is, the smaller the impact on the companies in positive and negative rumor examples.
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Choi, Dong Hyun, and Junesuh Yi. "An Empirical Study on Price and Return of Commodity ETFs in Korea." Journal of Derivatives and Quantitative Studies 24, no. 4 (November 30, 2016): 525–55. http://dx.doi.org/10.1108/jdqs-04-2016-b0001.
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This study analyses empirically the Granger causality between commodity ETFs listed in KRX (Korea Stock Exchange) and the price determinants of the underlying commodities as well as the KOSPI200 index and the underlying indices, and compares the performance of four commodity ETFs : gold futures, oil futures, soybean futures and the copper price. The main findings are as follows : First, the commodity ETFs tracking gold futures, oil futures and soybean futures prices in the sample from the inception to June 2015 were not directly related to the price determinants of the underlying commodities except for the copper ETF which was affected by the oil price as one of the price determinants of copper. In addition, all four ETFs were not related to the KOSPI200 index while they were affected by the underlying indices. Second, the soybean futures ETF outperformed the KOSPI200 index in terms of the cumulative returns and the oil futures ETF recorded the worst performance in terms of the cumulative returns and IR (information ratio). Third, the average tracking error of each ETF except for the oil futures ETF showed a positive value and the price of each ETF except for the soybean futures ETF has been undervalued compared to its net asset value. From the above findings, we can infer that investors in the copper ETF should closely watch the movement of the oil price to enhance the return and investors in the commodity ETFs should first consider agriculture-related ETFs rather than oil-related ETFs considering the price volatility. In addition, the inverse ETFs for copper and agriculture-related products should be introduced following the oil and gold futures inverse ETFs to protect against negative returns in a declining period of commodity prices.
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Wichlinski, Martin, and Rajendra Rajaram. "The Use of RONA/WACC as a Proxy for Investment Quality." Journal of Economics and Behavioral Studies 10, no. 6A (January 16, 2019): 177–85. http://dx.doi.org/10.22610/jebs.v10i6a.2673.
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Proxies for stock investment quality have varied from multi-factor models such as the Piotroski F-Score to simple one-factor return on capital measures. Economic value added, measured as the ratio of return on net assets relative to the weighted average cost of capital, has not been used as a proxy for stock quality. The aim of this study was to demonstrate that economic value added can be used effectively as a proxy for stock quality. Industrial stocks listed on the JSE ALSI between 31 January 2006 and 31 December 2015 comprised the population of this study. Three portfolios (comprising 33% of the population each) were formed monthly and were held for 12 months leading to the creation of 360 portfolios. The portfolios were formed on the basis of the RONA/WACC ratio; stocks with the highest ratios comprised HEV portfolios, stocks with the lowest ratios comprised LEV portfolios and stocks with median ratios comprised MEV portfolios. HEV portfolios earned a mean return of 19.52% relative to 13.09% for MEV portfolios, 16.31% for LEV portfolios and 13.73% for the overall equity market. The maximum cumulative value of R1 invested in HEV portfolios was equal to R5.30 as at the end of the study period. The maximum cumulative value of R1 invested in MEV and LEV portfolios was equal to R4.14 and R4.40 respectively. The maximum corresponding value of R1 invested in the general equity market was, R3.50. The superior returns of HEV portfolios were observed to be more risk efficient relative to both MEV and LEV portfolios and relative to the market portfolio on the basis of higher Sharpe Ratios. The RONA/WACC ratio has thus been shown to have been an effective proxy for stock quality.
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Sun, Lin, and Wei Shi. "Investor Sentiment and Stock Market Reactions to COVID-19: Evidence from China." Discrete Dynamics in Nature and Society 2022 (May 19, 2022): 1–10. http://dx.doi.org/10.1155/2022/8413916.
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This paper treats the outbreak of coronavirus disease 2019 (COVID-19) as a natural experiment that can provide insights into the effects of investor sentiment on stock market reactions. Employing the event study methodology (ESM) and taking the date of the Wuhan lockdown as the event date, we find that average abnormal return (AAR) and cumulative abnormal return (CAR) are significantly negative, and average trading volume excesses far more than before within two days of the outbreak. Further, we establish a difference-in-differences (DID) model to investigate the differences between Hubei and non-Hubei listed companies. The results show that for Hubei listed companies, the change of excessive trading volume (ETV) between pre-event and post-event period is significantly higher than that of non-Hubei listed companies, while there exhibits no relationship between the change of AAR and registration place. Overall, our findings provide new evidence for the interaction of local bias and investor sentiment affecting stock market reactions.
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Guo, Lin, Xufei Zhang, and Songlei Chao. "Impact of the OMRR Operation in Fighting the Adverse Effects of COVID-19 on the Chinese Stock Market: An Event Study." Frontiers of Economics in China 16, no. 3 (December 22, 2021): 495–520. http://dx.doi.org/10.54605/fec20210304.
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The outbreak of the COVID-19 epidemic has had an adverse effect on China's economy. This paper uses the event study method to test and measure the impact of the open market reverse repo (OMRR) operation on the Chinese stock market. The results show that the OMRR operation generates a positive daily abnormal return and a positive daily cumulative abnormal return on average for all stocks. The impact is larger for non-state-owned enterprise (non-SOE) firms than for SOE firms, stocks of non-Hubei provinces than those of the Hubei province, and for stocks of the information transmission and technology industry than those of other industries. We suggest that our government implement more prudent monetary policies and more proactive fiscal policies.
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Balsam, Steven, Austin L. Reitenga, and Jennifer Yin. "Option Acceleration in Response to SFAS No. 123(R)." Accounting Horizons 22, no. 1 (March 1, 2008): 23–45. http://dx.doi.org/10.2308/acch.2008.22.1.23.
Full textAbstract:
As of February 28, 2006, 958 publicly held companies accelerated the vesting of some or all of their employee stock options in advance of adopting SFAS No. 123(R). In doing so, these companies, on average, avoided $11.3 (8.4) million in pretax (after tax) expense, which represented 42 percent of prior year income. Investors, in general, react positively to acceleration announcements as we find an average cumulative abnormal return of about one-half of 1 percent for the three-day window (−1,1) surrounding the announcement, with the reaction positively associated with the expense reduction that resulted from the acceleration, the declaration by the firm that the options accelerated are out of the money, return on assets, and firm size. Additionally, we find that the decision to accelerate is positively associated with our estimate of the future expense related to unvested options; that is, the expense avoided because of the acceleration. In contrast, the intrinsic value of unvested options; that is, the expense that would have to be recognized at the time of acceleration, firm profitability, and firm size (i.e., political visibility) are negatively associated with the decision to accelerate. We interpret these results to indicate that managers consider the costs, as well as the benefits, in deciding whether to accelerate. Overall we conclude that while accelerated vesting may be motivated by expense avoidance, it appears to be beneficial to equity investors as evidenced by the positive abnormal returns associated with the announcement of the acceleration and the fact that abnormal returns are positively associated with the expense avoided via acceleration.
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Ary, William Wendy. "Apakah pengumuman resmi kasus pertama Covid-19 oleh Presiden Joko Widodo memiliki kandungan informasi? Event study pada saham-saham LQ-45." Entrepreneurship Bisnis Manajemen Akuntansi (E-BISMA) 2, no. 1 (June 15, 2021): 27–39. http://dx.doi.org/10.37631/e-bisma.v2i1.361.
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This study analyzes the phenomenon of the first case of Covid-19 transmission in Indonesia and its impact on the capital market in Indonesia. This study aims to test whether there is a negative PCAD pattern after the first announcement of the covid-19 virus transmission case on the Indonesian capital market and to prove that the Indonesian capital market experienced a significant decline in returns after the first announcement period of the covid-19 virus transmission. Stocks that are included as LQ45 stocks are being utilized and event study is the method to analyze the market response during the window period (t-10, t+10) and uses the independent sample t-test to compare the average abnormal return. mean (AAR) and mean cumulative abnormal return (CAAR). The results of this study indicate that the market takes a wait & see strategy, PCAD shows the form of a negative sign after the event and there is a difference between AAR and CAAR 10-days before and 10-days after the event. Overall, this research shows that the market has responded negatively to information related to the Covid-19 virus.
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Yang, Yi Huai, Li Fang Wang, and Yan Ping Sun. "Hidden Markov Modeling for Nakagami Fading Channel." Advanced Materials Research 989-994 (July 2014): 2576–79. http://dx.doi.org/10.4028/www.scientific.net/amr.989-994.2576.
Full textAbstract:
In this paper, we proposed a novel hidden Markov model (HMM) to approximate the characteristic of the Nakagami Fading channel. Our study is based on a Hidden Markov Model (HMM). The channel switches between ‘good’ and ‘bad’ channel situation. The transition between the sub-states of the channel is governed by a Markov Chain, which some self-return state is hidden. The performance of the model is studied by simulating probability density functions (PDF), cumulative distribution functions (CDF), level cross rate (LCR) and average fade duration (AFD).
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Bella Sri Lestari, Ni Komang, and Dewa Gede Wirama. "Perbandingan Reaksi Pasar atas Seasoned Equity Offering dengan Tujuan Investasi dan Membayar Utang." E-Jurnal Akuntansi 30, no. 10 (October 27, 2020): 2629. http://dx.doi.org/10.24843/eja.2020.v30.i10.p15.
Full textAbstract:
This research compares market reaction to seasoned equity offering (SEO) with investment purpose and debt repayment purpose. The research was triggered by pecking order theory’s. The sample of this research is 62 Indonesian public companies that carried out SEO during the 2013 to 2019 period. The SEO announcement date is used as event date. The event window is five days around the event date. Abnormal return is measured by market-adjusted model. The result of independent sample t-test shows that market reaction to SEO with investment purpose is better than market reaction to SEO with debt repayment purpose. Average cumulative abnormal return (CAR) of SEO with investment purpose is 0.038 and for SEO with debt repayment purpose is minus 0.006. The difference is statistically significant (p-value=0.011). Therefore, it is concluded that markets response to additional equity offering, in this case using SEO, depends on the purpose of the SEO.
Keywords: Seasoned Equity Offering; Market Reaction; Abnormal Return; Market-Adjusted Model.
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Sajadi, Seyed Mehrzad Asaad, Pouya Khodaee, Ehsan Hajizadeh, Sabri Farhadi, Sohaib Dastgoshade, and Bo Du. "Deep Learning-Based Methods for Forecasting Brent Crude Oil Return Considering COVID-19 Pandemic Effect." Energies 15, no. 21 (October 31, 2022): 8124. http://dx.doi.org/10.3390/en15218124.
Full textAbstract:
Forecasting return and profit is a primary challenge for financial practitioners and an even more critical issue when it comes to forecasting energy market returns. This research attempts to propose an effective method to predict the Brent Crude Oil return, which results in remarkable performance compared with the well-known models in the return prediction. The proposed hybrid model is based on long short-term memory (LSTM) and convolutional neural network (CNN) networks where the autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroscedasticity (GARCH) outputs are used as features, along with return lags, price, and macroeconomic variables to train the models, resulting in significant improvement in the model’s performance. According to the obtained results, our proposed model performs better than other models, including artificial neural network (ANN), principal component analysis (PCA)-ANN, LSTM, and CNN. We show the efficiency of our proposed model by testing it with a simple trading strategy, indicating that the cumulative profit obtained from trading with the prediction results of the proposed 2D CNN-LSTM model is higher than those of the other models presented in this research. In the second part of this study, we consider the spread of COVID-19 and its impact on the financial markets to present a precise LSTM model that can reflect the impact of this disease on the Brent Crude Oil return. This paper uses the significance test and correlation measures to show the similarity between the series of Brent Crude Oil during the SARS and the COVID-19 pandemics, after which the data during the SARS period are used along with the data during COVID-19 to train the LSTM. The results demonstrate that the proposed LSTM model, tuned by the SARS data, can better predict the Brent Crude Oil return during the COVID-19 pandemic.