scholarly journals Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence

2010 ◽  
Vol 45 (5) ◽  
pp. 1189-1220 ◽  
Author(s):  
Sudipto Dasgupta ◽  
Jie Gan ◽  
Ning Gao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Empirical Support ◽  
Seasoned Equity Offerings ◽  
American Depositary Receipts ◽  
Equity Offerings ◽  
Price Informativeness ◽  
The Future ◽  
Depositary Receipts

AbstractThis paper argues that, contrary to the conventional wisdom, stock return synchronicity (or R2) can increase when transparency improves. In a simple model, we show that, in more transparent environments, stock prices should be more informative about future events. Consequently, when the events actually happen in the future, there should be less “surprise” (i.e., less new information is impounded into the stock price). Thus a more informative stock price today means higher return synchronicity in the future. We find empirical support for our theoretical predictions in 3 settings: namely, firm age, seasoned equity offerings (SEOs), and listing of American Depositary Receipts (ADRs).

MANIPULATION AND EQUILIBRIUM AROUND SEASONED EQUITY OFFERINGS

2011 ◽  
Vol 10 (05) ◽  
pp. 771-792 ◽  
Author(s):  
YAN HAN ◽  
XIN CUI ◽  
ZHIMIN HUANG ◽  
ALLAN ASHLEY
Keyword(s):  
Private Information ◽  
Stock Prices ◽  
Stock Price ◽  
Seasoned Equity Offerings ◽  
Securities And Exchange Commission ◽  
Previous Literature ◽  
Equity Offerings ◽  
Price Informativeness ◽  
Significant Evidence ◽  
Stock Price Informativeness

There exists a widely held belief that informed investors manipulate stock prices prior to seasoned equity offerings (SEO). Contrary to this assertion, a model is developed, which demonstrates there is significant evidence that informed investors not to manipulate trading prior to a SEO. Furthermore, there is an arguement that informed investors to trade the stock in the same direction indicated by their private information. In addition, the model is consistent with previous empirical evidence. Previous literature heavily relies on the Gerard and Nanda (1993) model. The model allows for more than one informed investors, whereas Gerard and Nanda de facto allows for only one. This model setting is not only more realistic to the real world, but also dramatically reverses its conclusion that there exists manipulative trading. It also indicated that following Securities and Exchange Commission (SEC) Rule 10b-21 and Rule 105, whose intention is to curb this manipulation, the SEO discount will change in either direction. Thus previous literature delineating methodology of utilizing the SEO discount change to test for the existence of manipulative trading is not well grounded. The model also predicts that undervalued firms tend to disclose more information in order to improve the stock price informativeness, whereas overvalued firms tend to do the contrary.

scholarly journals Enterprise value and disclosure level: Evidences in the Brazilian market

2010 ◽  
Vol 8 (1) ◽  
pp. 56-61
Author(s):  
Fabio Gallo Garcia ◽  
Elmo Tambosi Filho ◽  
Luiz Maurício Franco Moreira
Keyword(s):  
Corporate Governance ◽  
Value Creation ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Best Interests ◽  
American Depositary Receipts ◽  
Financial Accounting Standards Board ◽  
Corporate Transparency ◽  
Depositary Receipts

There is a strong tendency in global markets towards an enhanced level of corporate transparency regarding the activities of companies and, as a result, information on their performance. The Purpose of this study is to analyze the relationship between greater disclosure levels and shareholder value creation. Increasing levels of disclosure are required from companies‟ management before shareholders and the society in general. Obscure practices that fail to take into consideration the best interests of shareholders increase risks and cause shares to lose liquidity. The São Paulo Stock Exchange‟s “Novo Mercado” (“New Market”) emerged from the intent to improve the Brazilian stock market by adopting best practices in corporate governance, adding transparency to disclosed information, and heightening the respect for the interests of shareholders, whether they may be minority or not. The “Novo Mercado” intends to foster a differentiated environment in which companies committed to corporate governance are recognized and can benefit from better stock prices, resulting in lower placement costs and increased liquidity. Our research will assume that companies with American Depositary Receipts - ADRs are committed to a higher level of disclosure as a result of the requirements of the Security Exchange Commission – SEC, and the Financial Accounting Standards Board - FASB; an empiric study about these firms will be performed. We will determine, through a Study Event concerned with cases where ADR have been issued, which consequences of the commitment to higher levels of disclosure as regards shareholder are responsible for value creation, and what are the reflections on the stock price quoted in the Brazilian market.

Stock Price Jumps and Cross-Sectional Return Predictability

2013 ◽  
Vol 48 (5) ◽  
pp. 1519-1544 ◽  
Author(s):  
George J. Jiang ◽  
Tong Yao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Return Predictability ◽  
Value Premium ◽  
The Other ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Return Dynamics

AbstractWe identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.

Seasoned Equity Offerings and Stock Price Crashes

2015 ◽  
Author(s):  
Rodney D Boehme ◽  
Veljko Fotak ◽  
Anthony D. May
Keyword(s):  
Stock Price ◽  
Seasoned Equity Offerings ◽  
Equity Offerings

scholarly journals FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Aprih . Santoso
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Financial Statements ◽  
Manufacturing Companies ◽  
Operating Cash Flow

Abstract : Companies need funds in order to carry out operations such as the financing of production activities, pay employees, pay other expenses related to the operation of the company. One way to obtain these funds is to attract investors to invest in companies in the form of stock, but in making this investment is certainly not easy for investors, because investors need consideration beforehand to find out how the company's performance. The purpose of this study was to examine and analyze the effect of operating cash flow to stock return through stock price at companies listed on the Stock Exchange Year 2012-2015. The data used in this study dala are secondary data from the financial statements of companies listed on the Indonesia Stock Exchange period 2012 - 2015. The data are in the form of financial statements can be obtained from the Indonesian Capital Market Directory (ICMD), the IDX website www.idx.co. id as well as from various other sources to support this research. The population in this research is manufacturing companies listed on the Stock Exchange the period 2012 - 2015. The samples taken by the sampling technique used purposive sampling.From the test results and analysis of the data it can be concluded that operating cash flow directly and indirectly has no effect on stock returns through stock prices showed no significant results. Keywords :  Operating Cash Flow, Stock Price, Stocks Return

scholarly journals The Effects of Operational Structure Change on Performance after Seasoned Equity Offerings

2017 ◽  
Author(s):  
Chihyoun Ahn ◽  
Mi-Ok Kim ◽  
Hyung-Rok Jung
Keyword(s):  
Sustainable Development ◽  
Stock Price ◽  
Operating Performance ◽  
Seasoned Equity Offerings ◽  
Structure Change ◽  
Equity Offerings ◽  
Price Response ◽  
Sustainability Strategy ◽  
Rate Of Increase ◽  
Operational Structure

Sustainability is directly linked to firms’ survival in competitive markets. To survive, firms need extra capital, and seasoned equity offerings (SEOs) are one sustainability strategy. Additional resources from SEOs leads to changes in firms’ operational structure, which brings future sustainability. This study investigates whether there is sustainability in firms’ operational structure and the effects of sustainable development on operational performance and market reaction. We measure the operational structure change of firms as three proxies: 1) the rate of increase in the number of operating segments, 2) the Berry–Herfindahl index using the ratio of sales of each operating segment out of total sales, and 3) the size of net investment in plant and equipment. Our results show that operational structure change has a statistically significant and positive correlation with long-term operating performance. In addition, there is no significant stock price response at first, but the operating performance in the next term is perceived as a favorable factor after 3 years. The results show that there are different responses in the stock market toward operational structure change. The empirical results confirm that firms with SEO have sustainable development in operational structure and that markets recognize firms’ sustainability strategy arising from SEOs.

Analisis Pengaruh Tingkat Harga Saham, Return Saham, dan Volume Perdagangan Saham terhadap Stock Split ISSI Periode 2015– 2020

2021 ◽  
Vol 4 (2) ◽  
pp. 234-245
Author(s):  
Farhan Maulana ◽  
Ahmad Mulyadi Kosim ◽  
Abrista Devi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Positive Impact ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After ◽  
Sample Test

For companies that collect funds from the public through capital from capital market, it can be used to meet capital needs and finance the company’s operation. So that company is expected not to rely on commercial debt financing both from within the country and abroad. With stock split, it is hoped that it will increase investors’ interest in buying affordable shares. This study aims to determine whether the stock split has an effect on stock prices, trading volume, and stock return. The method used by the researcher uses quantitative secondary data methods by using descriptive statistical data test, then use the kolgomorov smirnov normality test, and using theaverage paired sample test. The results of this research is that: 1) stock price have a significant effect after the stock split occurs, 2) while the trading volume has no significant effect after the stock split occours, 3)  then stock return has a siginificant impact before and after the stock split because it is expected to have a positive impact for issuers and investors.

Effect of Stock Price Information on Timing of Share Repurchases

2019 ◽  
Vol 4 (1) ◽  
pp. 36-46
Author(s):  
Chong-Meng Chee ◽  
Nazrul Hisyam Bin Ab Razak
Keyword(s):  
Cost Saving ◽  
Private Information ◽  
Stock Price ◽  
Stock Return ◽  
Market Timing ◽  
Abnormal Returns ◽  
Jel Classification ◽  
Share Repurchases ◽  
Price Informativeness ◽  
Stock Price Informativeness

Objective - This study investigates whether private information newly incorporated into stock price enhances performance in timing share repurchases. Methodology/Technique - Cost saving gained in share repurchases is used a proxy for performance of market-timing in share repurchases and firm-specific stock return variation is used to gauge stock price informativeness. A sample of 334 U.S. repurchasing firms are tested using panel data regression. Findings - The paper concludes that managers possess better market timing skill by obtaining more cost saving from their share repurchases when private information is reflected in stock price. Stock price informativeness may be the tool for managers to improve their market timing skill to take advantage of the stock market. Furthermore, firms with smaller size and a higher market-to-book ratios, and firms with higher cash-to-assets ratios are found to achieve more cost saving in buying back their shares indicating that these firms are able to time the market in share repurchasing. Novelty – Despite numerous previous studies focusing solely on using share repurchases announcement for computing cumulative abnormal returns in testing managerial market timing, this study contributes to the literature in several ways: (i) providing evidence relating stock price informativeness and performance of market-timing in share repurchases; (ii) developing a better timing measure constructed using actual repurchasing data; (iii) adopting a cost saving measure as the timing measure instead of cumulative abnormal return. Type of Paper - Empirical. Keywords: Managerial Learning Hypothesis; Market Timing; Stock Repurchase; Stock Price Informativeness; Firm-specific Stock Return Variation. JEL Classification: G12, G13, G14. DOI: https://doi.org/10.35609/jfbr.2019.4.1(5)

The real effects of primary and secondary equity markets on firm performance

2017 ◽  
Vol 13 (4) ◽  
pp. 397-418 ◽  
Author(s):  
Andriansyah Andriansyah
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Operating Performance ◽  
Equity Markets ◽  
Secondary Market ◽  
Price Informativeness ◽  
Content Type ◽  
Real Effects ◽  
Stock Price Informativeness

Purpose The purpose of this paper is to investigate the real effects of primary and secondary equity markets on the post-issue operating performance of initial public offering (IPO) firms. Design/methodology/approach The author utilizes the intended use of proceeds as a proxy variable for the primary market and the investment-to-price sensitivity and the informativeness of stock prices as alternative proxy variables for the secondary market. The compositional data, and non-parametric quantile regressions which are more robust to outliers than standard least square regressions, are employed for Indonesian equity market over the period of 1999-2013. Findings While confirming that firm operating performance can be explained by the firm’s motivation to go public, the author also shows that the operating performance is positively affected by investment-to-price sensitivity and negatively affected by stock price informativeness. The stock prices affect investment decisions by the way that the more liquid a stock is, the more informative its price is, and the more relevant stock prices are in investment decisions. These findings still hold after controlling for ownership structure. Originality/value Departing from the existing literature, the author investigates the role of primary and secondary equity markets for firm performance in an integrated framework because both markets interact closely in reality. The author shows that public listed firms can benefit both from the capital-raising function of the primary market and from the informational role of the stock prices of the secondary market. A measure of stock price informativeness, 1−R2, however, must be understood in the context of thin trading in the sense that the level of liquidity affects the level of stock price informativeness.

Sign in / Sign up

Export Citation Format

Share Document