Market moods: an investor sentiment event study

foresight ◽  
2018 ◽  
Vol 20 (5) ◽  
pp. 488-506 ◽  
Author(s):  
Jordan French
Keyword(s):  
Event Study ◽  
Developing Economies ◽  
Investor Sentiment ◽  
Rank Test ◽  
Market Returns ◽  
Content Type ◽  
Developed Economies ◽  
New Information ◽  
Study Methodology ◽  
Event Study Methodology

PurposeThe purpose of this paper is to provide insight to practitioners who wish to forecast market returns based on event occurrences.Design/methodology/approachUsing 64 distinct events that reoccurred from 2007 to 2016 in six different nations of both developing and developed economies, this study used an event study methodology to test whether or not sentiment impacted market returns.FindingsThis study found that investor sentiment did impact market returns. Furthermore, events that were in developed economies or were negative impacted the market returns more than events that are in developing economies or positive. The study also provides important information on the speed of price adjustment to new information. The events selected include festive holidays, bombings, natural disasters and sports matches, among other events which had been found to alter mood. This paper also found no empirical difference between using the statistical mean and economic capital asset pricing models. However, the Wilcoxon rank test did provide more significant events than the more conservative Corrado rank test.Originality/valueMost comprehensive investor sentiment impact on market returns paper using an event study methodology. The results have implications for those who wish to forecast market returns based on event occurrences.

scholarly journals Impact of Layoff Announcements on the Market Value of the Firm

2005 ◽  
Vol 52 (2) ◽  
pp. 364-381 ◽  
Author(s):  
Morley Gunderson ◽  
Anil Verma ◽  
Savita Verma
Keyword(s):  
Event Study ◽  
Stock Exchange ◽  
Market Value ◽  
Negative Response ◽  
Toronto Stock Exchange ◽  
New Information ◽  
Study Methodology ◽  
Almost All ◽  
Event Study Methodology

In this study, we analyze the effect of layoff announcements on the market's valuation of firms. The event study methodology is applied to a sample of 214 announcements of layoffs made by major Canadian firms that traded on the Toronto Stock Exchange over the period 1982-1989. The main results are: (1) The market responds to the news of layoffs in a negative fashion, lowering the value of firms that announce layoffs, and (2) almost all of the negative response occurs on the day of the announcement, suggesting that the market is not able to fully anticipate the new information, but that it responds to it very quickly.

Pyro terrorism in Greece? Greek forest fires August 2007 and the impact on Greek banks stocks

2018 ◽  
Vol 21 (2) ◽  
pp. 163-170 ◽  
Author(s):  
Spyridon Repousis
Keyword(s):  
Event Study ◽  
Forest Fires ◽  
Banking System ◽  
Market Model ◽  
Terrorist Attacks ◽  
Content Type ◽  
Study Methodology ◽  
Greek Banks ◽  
The Impact ◽  
Event Study Methodology

Purpose The purpose of this paper is to examine Greek forest fires in August 2007 and statements about terrorism (pyro-terrorism) and the impact on Greek banks stocks. Design/methodology/approach Event study methodology and market model is used in this paper and data of all Greek bank stocks prices listed in Athens Stock Exchange are analysed, before and after 17 August 2007, which is when forest fires took place in Greece. Findings Total number of burned acres during a seven-year period, 2000-2006, was 2,530,883, and during only August 2007, burned acres accounted to 2,059,615. The former Minister for Public Order, Vyron Polydoras, stated the fires may be a result of terrorist attacks, as many of the fires started simultaneously and in places where an arsonist could not be seen. The Minister also stated that the country is facing an asymmetric threat, a military term used for terrorist attacks. The findings of event study methodology and market model show that CAARs were slightly negative but not statistically significant and during event date, and average abnormal return (AAR) was slightly positive at 0.0273 per cent. The event caused no influence on the stock market. Practical implications Results are important for banking system, compliance and regulatory authorities, justice system and politicians. Originality/value The impact of Greek forest fires in August 2007 on Greek banks stocks has not been examined so far.

scholarly journals Does privatization of public sector banks affect stock prices? An event study approach on the Indian banking sector stocks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Varun Kumar Rai ◽  
Dharen Kumar Pandey
Keyword(s):  
Public Sector ◽  
Private Sector ◽  
Event Study ◽  
Banking Sector ◽  
Abnormal Returns ◽  
Content Type ◽  
Public Sector Banks ◽  
Study Methodology ◽  
Statistical Results ◽  
Event Study Methodology

PurposeWith a sample of 22 banks, this study examines the significance of the news contents about the privatization of two public sector banks in India. New information does impact the stock markets. This study provides evidence on how the privatization of public sector banks impacted the returns of the Indian banking sector.Design/methodology/approachThis study employs the standard event study methodology with the market model for estimating the normal returns.FindingsThe statistical results indicate that while the private sector banks experienced positive average abnormal returns on the event day, the cumulative effect of the announcement is negatively significant for both private and public sector banks. The statistical results also provide evidence of information leakage, with significant results before the announcement date. The shorter event windows analysis exhibits significant positive returns in the 5-days [−2, +2] window for the private sector banks and the entire sample, signifying a positive short-term impact on the private sector banks.Originality/valueThe event study literature captures the impacts of many events. However, to the best of our knowledge, the impacts of the privatization of the Indian public sector banks have never been examined using the event study methodology. Hence, this study anticipates being the first-ever study to fill this gap and extend the available literature in finance. In addition, although we provide Indian evidence, future studies may be oriented to capture cross-country impacts.

Stock market reaction to auditor opinions – Italian evidence

2015 ◽  
Vol 30 (6/7) ◽  
pp. 610-632 ◽  
Author(s):  
Giuseppe Ianniello ◽  
Giuseppe Galloppo
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Financial Distress ◽  
Market Reaction ◽  
Audit Report ◽  
Event Window ◽  
Content Type ◽  
Study Methodology ◽  
Audit Reports ◽  
Event Study Methodology

Purpose – The purpose of this paper is to examine investor reactions to auditor opinions containing qualifications or an emphasis of matter paragraph related to going concern uncertainty or financial distress. In particular, abnormal returns are analyzed around audit report dates. Design/methodology/approach – The event study methodology, focusing on a short event window, was used to determine whether there is an immediate market reaction to the audit report announcement, as might be expected assuming efficient stock markets. Findings – Overall, this analysis shows that the audit reports investigated have information content for investment decisions. In particular, the qualifications expressed in the audit report have a negative effect on stock prices. It is also shown that an unqualified opinion with an emphasis of matter paragraph regarding going concern uncertainty or financial distress has a positive effect on stock prices. These results also elucidate the distinction between different types of opinions in the Italian context. Research limitations/implications – This paper has attempted to limit the possible concurrent effects on stock prices using a short window event study methodology. However, the possibility that some other event may have occurred during this event window cannot be excluded. Among the policy implications coming from this research, it is argued that the authorities should regulate the public disclosure of audit reports, so that the information becomes available to the audited company and the other stakeholders on the same day, which, in theory, would be the day that the audit process concludes with the signing of the audit report. Originality/value – The findings of this paper show the relevance of audit reports, distinguishing the different impacts based on the types of audit opinions issued in a specific jurisdiction (qualified and unqualified with an emphasis of matter paragraph).

Event study methodology in business research: a bibliometric analysis

2020 ◽  
Vol 120 (10) ◽  
pp. 1863-1900
Author(s):  
Qian Wang ◽  
Eric W.T. Ngai
Keyword(s):  
Bibliometric Analysis ◽  
Event Study ◽  
Intellectual Development ◽  
Future Research ◽  
Extensive Literature ◽  
Business Research ◽  
Primary Analysis ◽  
Content Type ◽  
Study Methodology ◽  
Event Study Methodology

PurposeThis study aims to provide an objective analysis of the state-of-the-art and intellectual development of publications related to event study methodology in business research.Design/methodology/approachThe sample includes 1,219 papers related to event study methodology, covering all business disciplines and spanning 34 years from 1983 to 2016.FindingsThrough three stages of primary analysis, namely, initial sample, citation and co-citation analyses, the authors identified the publication trends, supplementary techniques, influential publications and intellectual clusters in the area of event study methodology in business.Research limitations/implicationsThe findings serve as a benchmark for the extensive literature related to event study methodology in business and may facilitate the transference of the amassed useful techniques among disciplines and the identification of future research directions.Originality/valueThe current study represents as a pioneering effort to review event study-related publications using bibliometric analysis.

Stock market reactions to voluntary integrated reporting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yuzuka Nakajima ◽  
Yushi Inaba
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Integrated Reporting ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Voluntary Adoption ◽  
Event Study Methodology

Purpose This study aims to examine the impact of voluntary adoption of integrated reporting on the stock prices of firms in Japan. Design/methodology/approach The event study methodology was used to analyze the stock market reactions to voluntary integrated report (IR) publication. Abnormal returns were estimated for 1,602 observations of 490 firms publishing IRs in Japan using the market model. The t-test, the Boehmer et al., 1991 test and the generalized sign test examined the significance of the cumulative average abnormal returns (CAARs). Findings The study reveals that the stock market reacts positively to voluntary IR publication by firms, especially in 2019 and 2015. Additionally, it reveals a tendency for higher CAARs around IR publication dates than around corporate social responsibility report publication dates, especially in 2016 and 2015. Research limitations/implications The limitations of this study include the possibility of self-selection bias and omitted variable bias. Practical implications This study suggests that firms can earn higher abnormal returns in the stock market through environmental, social and governance (ESG) disclosure in IRs, corroborating the recently rising investor interest in voluntary integrated reporting in Japan. Originality/value This study contributes to the literature on the value relevance of voluntary adoption of integrated reporting by providing evidence of firms achieving significantly positive abnormal returns around voluntary IR publication dates. There is no published analysis on this topic using multitudes of sample firms using the event study methodology.

scholarly journals THE IMPACT OF UNANTICIPATED POLITICAL EVENTS ON STOCKS MARKET RETURNS: EMPIRICAL EVIDENCES FROM SAUDI ARABIA

2019 ◽  
Vol 4 (2) ◽  
pp. 659
Author(s):  
Mohamed Zakaria Fodol ◽  
Hassanuddeen Bin Abdul Aziz
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Market Returns ◽  
Political Event ◽  
Stock Market Returns ◽  
Political Events ◽  
Study Methodology ◽  
Event Study Methodology

Abstract:This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodologyAbstract: This study aims to identify the effect of unexpected political-events on Saudi stock market returns based on the efficient market hypothesis (EMH) assumptions.� The disappearance of the Saudi journalist Jamal Khashoggi in Turkey is the political event has been determined in this study.� The data collected from ten companies traded in the Saudi stock market which accounted for more than 62 percent of the total market capitalization. However, this paper applied the Event Study Methodology. The results showed that the Saudi stock market initially reacted to the event and tried to absorb the information received but could not correct itself in most of the window event period. It seems that the market did not get the relevant news quickly or clearly. So, the information that flow among traders was not readily available for the investors at the same level and time. Ultimately, the Saudi stock market is described as a weak-form market (inefficient).Keywords: Unanticipated political events, the stock market, expected returns, abnormal returns, cumulative returns, event study methodology.

Market reactions to the inclusion of people with disabilities

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Claudia Araceli Hernández González
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
People With Disabilities ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Research Advance ◽  
The Impact

PurposeThis study aims to provide evidence of market reactions to organizations' inclusion of people with disabilities. Cases from financial journals in 1989–2014 were used to analyze the impact of actions taken by organizations to include or discriminate people with disabilities in terms of the companies' stock prices.Design/methodology/approachThis research is conducted as an event study where the disclosure of information on an organization's actions toward people with disabilities is expected to impact the organization's stock price. The window of the event was set as (−1, +1) days. Stock prices were analyzed to detect abnormal returns during this period.FindingsResults support the hypotheses that investors value inclusion and reject discrimination. Furthermore, the impact of negative actions is immediate, whereas the impact of positive actions requires at least an additional day to influence the firm's stock price. Some differences among the categories were found; for instance, employment and customer events were significantly more important to a firm's stock price than philanthropic actions. It was observed that philanthropic events produce negative abnormal returns on average.Originality/valueThe event study methodology provides a different perspective to practices in organizations regarding people with disabilities. Moreover, the findings in this research advance the literature by highlighting that organizations should consider policies and practices that include people with disabilities.

New product announcement: spokesperson a manifestation of increasing firm value

2018 ◽  
Vol 13 (6) ◽  
pp. 1635-1655
Author(s):  
Bikram Jit Singh Mann ◽  
Sonia Babbar
Keyword(s):  
Event Study ◽  
Firm Value ◽  
Source Credibility ◽  
Shareholder Value ◽  
Abnormal Returns ◽  
New Product ◽  
Content Type ◽  
Study Methodology ◽  
The Impact

Purpose Before introducing new products, companies make announcements regarding the launch of the product which influences stock market yields of the announcing companies. Information content of the new product announcement has never been an exclusive focused stream of research. Therefore, an assessment of the impact of the content characteristics of the new product announcement on the shareholder value and the impact of source credibility (spokesperson) in making such announcements is a major gap in the existing literature. The paper aims to discuss these issues. Design/methodology/approach First, the standard event study methodology has been employed on the sample to measure the abnormal gains/losses accruing to the announcing firms. Second, moderated regression analysis (MRA) is employed to identify the characteristics of the new product announcement and to check the role of the spokesperson in creating shareholder value. Findings The results of the event study indicate that the abnormal returns are generated during the new product announcement. The results of MRA disclose the variables having a positive and a significant influence on the effective returns of the announcing companies. Likewise, the role of the spokesperson has come out brightly as a credible communicator. Originality/value The research provides a direction to the announcing companies regarding the content of the announcement leading to a positive perception among the investing community. Likewise, it also provides direction to the investor community about the characteristics of the announcement content they give weight age in forming a perception of strength in evaluating the new product announcement, to which they are largely unaware.

A survey of social entrepreneurial community-based hospitality and tourism initiatives in developing economies

2014 ◽  
Vol 6 (1) ◽  
pp. 51-61 ◽  
Author(s):  
Philip Sloan ◽  
Willy Legrand ◽  
Claudia Simons-Kaufmann
Keyword(s):  
Developing Economies ◽  
Negative Effects ◽  
Social Entrepreneurs ◽  
Community Based ◽  
Content Type ◽  
Cultural Traditions ◽  
Developed Economies ◽  
Positive Effects ◽  
Entrepreneurial Management ◽  
Hospitality And Tourism

Purpose – The aim of this paper is to report on preliminary research conducted in seven sustainable hospitality and tourism operations set in developing economies which use the principles of social entrepreneurship. The applicability of community-based social entrepreneurial management systems as a means of fostering socio-economic development is analysed. Design/methodology/approach – Online contacts were first made with the selected destinations, who were asked to supply written reports on selected criteria. Purposive sampling was employed, whereby the criteria chosen for analysis were based on characteristics believed to be representative. Analysis of the reports was based on the meaning of words, in particular, in finding commonalities and differences in themes approached by each respondent. Findings – Preliminary conclusions show that the positive effects of employing local indigenous people in these projects far outweigh some negative aspects. Employment possibilities leading to improved living standards have resulted in each case. Local cultural traditions have been maintained and only in a few cases were examples of the negative effects of tourism reported. Research limitations/implications – The findings of this research are limited to a small selection of community-based social entrepreneurial hospitality and tourism projects in developing economies, thus, cannot be applied to similar projects in developed economies, where social and economic factors are considerably different. Originality/value – In developing economies, social entrepreneurs can draw on the success of the projects analysed in this paper for the creation of new, similar ventures. In developed economies, hospitality and tourism businesses wishing to pursue a more socially caring form of development can gain inspiration.

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