Abnormal stock returns

This research aims to evaluate the impact of CW issuance on the price and liquidity (measured by trading volume and bid-ask spread) of underlying stocks on the Vietnamese stock market. The study employs the event study methodology and Wilcoxon test to examine whether abnormal returns, trading volume, and bid-ask spreads change after CW issuance.

14p viwalton 02-07-2024 3 1   Download

This paper uses the component stocks of Yuanta Taiwan ESG ETF as observation samples to examine the impact of investor sentiment and ESG events on abnormal returns and volume. The empirical results of this study are as follows: (1) ETF component stock have abnormal returns and abnormal volumes before and after ESG events (2) Investor sentiment is negative correlated with abnormal returns and abnormal volumes. (3) The impact of ESG events will decrease the abnormal returns and abnormal volume of stocks.

22p dathienlang1012 03-05-2024 3 0   Download

This study explore the market reaction and its influencing factors when enterprises announce the launching of new IoT-related products or services, aiming to understand whether investors in the capital market will react to IoT-related announcements and whether such reaction subsequently generates abnormal returns on stock prices.

8p vimarillynhewson 02-01-2024 7 3   Download

Lecture Class #15: Accounting trading strategies. After studying this section will help you understand: A high stock return (relative to other stocks) does not immediately imply you are getting a “free lunch” or an arbitrage opportunity exists.

15p huangminghao_1902 27-02-2022 15 1   Download

I discover that there has been cumulative abnormal return in Viet Nam. In my literature, the cumulative abnormal returns (CAR) occur in some windows on one month prior to the date of announcement. I also find that corporate information environment having impact on target value creation.

12p vimichaeldell 04-12-2021 21 1   Download

This paper aims to analyze the market reactions on corporate actions in the form of split-up, reverse split, right issue, and mergers and acquisitions in growing and non-growing energy consuming companies in Indonesia. The market reaction is analyzed based on stock price, trading volume, and abnormal returns movements using paired sample t-tests from the results of the event study for 5 days before and after corporate actions in the form of split-up, reverse split, right issue, and mergers and acquisitions.

6p caygaocaolon11 18-04-2021 17 2   Download

The study explores the correlation between the immediate and the longer-term stock returns following analyst recommendation revisions.

16p nguyenanhtuan_qb 09-07-2020 27 4   Download

The finding shows that stock repurchase announcements result in a positive and significant valuation effect for both announcing firms and rival firms in Vietnam. Furthermore, the degree of signal to the industry is conditional on the degree of signal about the announcing firms as a contagious effect. Intra-industry effects are more favorable when profit performance of rival firms is good and when leverage of rival firms is low.

14p caygaocaolon5 19-05-2020 24 4   Download

The current study explores the short-term stock price reaction of cross-border bank mergers and acquisitions (M&As) in Western Europe for the period 1998-2009 which includes 40 M&A deals. Employing the classical event study methodology, we probe into the stock price effects of cross-border bank M&As by calculating abnormal returns for both bidders and targets.

24p cothumenhmong4 24-03-2020 23 1   Download

The purpose of this paper is to examine whether or not the markets behave differently in different days of a month merely due to the meaning(s) associated with the digit a particular day end with. We used multiple univariate tests to test the quality of means for lunar days ending 5, 8 and 9(lucky days) against other days. OLS regression was also utilized to test statistical significance for the target dates in both Lunisolar and Gregorian calendar for Heng Seng and S&P 500 daily returns.

10p trinhthamhodang2 21-01-2020 22 2   Download

In this study, we explore the influence of market timing on insider trading and buy-and-hold abnormal returns by the sample of Taiwan listed companies at stock exchange market and the firms at over-the-counter (OTC) market from 2001 to 2016. According to Dittmar and Field [7], we use the relative repurchase price (RRP) to measure the strength of market timing abilities when firm repurchases its own stock. We find that the stronger market timing ability is accompanied with the greater insider net buying. Thus, insiders can indeed know the company’s future information when firms repurchase.

20p trinhthamhodang2 19-01-2020 46 3   Download

This paper tests whether macro monetary shock will influence stock market. Employing approaches of event study and abnormal returns regression, this paper finds that reserve ratio decreasing does lead to positive abnormal returns, but it works through different channels in each event. Further analyzing shows that characteristics of the stock market of China make the differences: market overreacts to unexpected shock and underreacts to expectable event.

11p chauchaungayxua2 19-01-2020 27 2   Download

This paper examines the relationship between unexpected earnings components (i.e., unexpected operating and non-operating income) and post-earningsannouncement drift to determine whether both components contribute to the mispricing phenomenon. I find that both operating and non-operating income surprises explain the market’s underweighting of earnings surprises. However, the contribution of operating income surprises is significantly higher than non-operating income surprises.

15p chauchaungayxua2 19-01-2020 19 4   Download

This paper investigates whether excess analyst coverage can transmit information about future stock return and firm performance. We find that excess analyst coverage is positively correlated with future stock return, return on total assets and unexpected earnings of firms. Meanwhile, the abnormal return of the arbitrage strategy based on excess analyst coverage comes from its predictive power on future firm performance.

1p chauchaungayxua2 19-01-2020 13 2   Download

This paper documents the unique “large amount of stock dividends” phenomenon in the Chinese stock market and uses lottery-like stock preference to explain the inverted V shaped pattern of abnormal returns. Chinese listed firms often issue large percent of bonus shares, or transfer lots of capital reserve into common stocks. We find that after such operations, stocks tend to be overpriced in the short term and earn lower subsequent returns in the long run.

20p chauchaungayxua2 19-01-2020 29 6   Download

This paper presents results of a pilot research in HCMC stock market in 2010: issues of seasoned equity on the HoSE make the stock prices fall drastically two-four days before the ex-rights (XR) day, especially the issue of subscription rights.

8p danhnguyentuongvi27 19-12-2018 44 2   Download

The authors investigate the relationship between sports-related event sponsorship and stock market valuation and identify factors that influence the financial rewards of sponsorship using World Cup and PGA tour sponsorship data. In particular, relationship between sports sponsorship with financial performance is examined in terms of sponsorship fit, event characteristics, and brand equity.

14p giamdocamnhac 06-04-2013 99 6   Download

Thus, after buying into winning funds, investors unwittingly benefit from momentum returns on winning stocks. To test this reasoning, Sapp and Tiwari calculate abnormal performance following money f lows with and without accounting for the momentum factor, and find that inclusion of the momentum factor in the performance evaluation proce- dure eliminates outperformance of high f low funds. In addition, they show that investors are not deliberate in seeking to benefit from stock-level momentum: More popular funds do not have higher exposure to themomentumfactor at the time they are selected.

239p khanhchilam 29-03-2013 86 14   Download

The high data frequency not only helps to validate our results, but also allows us to advance some analysis. For example, in Chapter 5, the fund weekly data are used to calculate the risk-adjusted abnormal return for each year from 2000-2007. Then, it turns into a panel data allowing us to perform a multidimensional (panel) regression on fund characteristics. Furthermore, this is the first empirical study of an emerging market which includes flexible funds in the sample. In theory, a flexible fund is in some ways similar to equity funds since its main assets are also stocks.

184p khanhchilam 29-03-2013 74 12   Download

Thus, the return gap captures the funds’ unobserved actions, which include hidden benefits and hidden costs.An important hidden benefit results from a fund’s interim trades, as discussed in Ferson and Khang (2002). Even though we can observe fund holdings only at specific points in time, funds may trade actively between these disclosure dates. If these interim trades create value, then the fund return RF will increase, while the return of the disclosed holdings RH will remain unaffected.

192p khanhchilam 29-03-2013 62 10   Download