Differences of Opinion and Price Reversals: Evidence from the Taiwan Stock Exchange

2015 ◽  
Vol 18 (03) ◽  
pp. 1550015 ◽  
Author(s):  
Chu-Chun Cheng ◽  
Yen-Sheng Huang
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Taiwan Stock Exchange ◽  
Holding Period ◽  
Cumulative Abnormal Returns ◽  
Common Stocks ◽  
Differences Of Opinion ◽  
One Year ◽  
The Impact

This paper examines the impact of differences of opinion (DIFOPN) on long-term price reversals using all of the common stocks listed on the Taiwan Stock Exchange over the period of 1990–2008. We choose winners and losers ranked by their cumulative abnormal returns (CARs) over the three-year formation period. The performance of the winners and losers is evaluated over the subsequent one-year holding periods. The empirical results indicate that DIFOPN are generally positively related to price reversals in the holding period for both winners and losers. When DIFOPN are measured by the financial analysts' forecasts of earnings per share and by the standard deviation of stock returns, the association between DIFOPN and price reversals is significantly different from zero. This relationship is robust when such control variables as market-to-book ratios, size, and beta are included.

Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

2021 ◽  
pp. 097226292110225
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Returns ◽  
Financial Institutions ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Low Carbon ◽  
Bond Issue ◽  
The Government ◽  
The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

The impact of qualified audit opinion on stock returns: an empirical study at Amman stock exchange

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rana Bayo Flees ◽  
Sulaiman Mouselli
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Content Type ◽  
Going Concern ◽  
Study Approach ◽  
Audit Opinions ◽  
The Impact ◽  
First Time

Purpose This paper aims to investigate the impact of qualified audit opinions on the returns of stocks listed at Amman Stock Exchange (ASE) after the introduction of the recent amendments by the International Auditing and Assurance Standard Board (IAASB) on audits reporting and conclusions. It further investigates if results differ between first time qualified and sequenced qualifications, and between plain qualified opinion and qualifications with going concern. Design/methodology/approach Audit opinions’ announcements and stock returns data are collected from companies’ annual reports for the fiscal years 2016 to 2019 while stock returns are computed from stock closing prices published at ASE website. The authors apply the event study approach and use the market model to calculate normal returns. Cumulative abnormal returns (CARs) and average abnormal returns (AARs) are computed for all qualified audit opinions’ announcements. Findings The empirical evidence suggests that investors at ASE do not react to qualified audit opinions announcements. That is, the authors find an insignificant impact of qualified audit opinion announcements on stock returns using both CAR and AAR estimates. The results are robust to first time and sequenced qualifications, and for qualifications with going concern. Results are also robust to the use of risk adjusted market model. Research limitations/implications The insignificant impact of qualified audit opinions on stock returns have two potential conflicting research implications. First, the new amendments introduced to auditors’ report made them more informative and reduce the negative signals contained in the qualified opinions. That is, investors are now aware of the real causes of qualifications and not overreacting to the qualified opinion. Second, the documented insignificant impact confirms that ASE is not a semi-strong form efficient. Practical implications The apparent excessive use of qualifications should ring the bell on whether auditors misuse their power or companies are really in trouble. Hence, the Jordanian regulatory bodies need to warn auditors against the excessive use of qualifications on the one hand, and to raise the awareness of investors on the implications of auditors’ opinions on the other hand. Originality/value This study is innovative in twofold. First, it explores the impact of qualified audit opinions on stock returns after the introduction of new amendments by IAASB at ASE. In addition, it uses event study approach and distinguishes between first time qualified and sequenced qualifications, and between plain qualified opinion and qualifications with going concern. The results are consistent with efficient market theory and behavioral finance explanations.

The Intraday Performance of Contrarian Strategies: Evidence from the Taiwan Stock Exchange

2009 ◽  
Vol 12 (04) ◽  
pp. 655-674 ◽  
Author(s):  
Kuei-Yuan Wang ◽  
Su-Chun Peng ◽  
Yen-Sheng Huang
Keyword(s):  
Transaction Costs ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Trading Costs ◽  
Taiwan Stock Exchange ◽  
Holding Period ◽  
Contrarian Strategies ◽  
Intraday Analysis ◽  
Average Abnormal Return ◽  
Using Data

This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.

scholarly journals The Role of Monetary Policy Announcements on Turkish Banks' Stock Returns

2016 ◽  
Vol 6 (1) ◽  
pp. 63-69
Author(s):  
Nida Abdioğlu ◽  
Sinan Aytekin
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Cumulative Abnormal Returns ◽  
Monetary Policy Committee ◽  
The Republic ◽  
The Impact ◽  
Republic Of Turkey

This paper investigates the impact of monetary policy committee decisions of the Central Bank of the Republic of Turkey on the stock returns of the deposit banks listed in Borsa Istanbul Banks Index (XBANK). The cumulative abnormal returns of the banks are calculated for 2008 and 2012. We report that the monetary policy announcements affect cumulative abnormal returns of the deposits banks both in 2008 and 2012. Since the announcement of the monetary policy decisions created abnormal returns, we conclude that the market does not have semi-strong form efficiency.

scholarly journals IPO Intra Industry Effects on Peer Firm's Earnings, Composition and Stock Returns

2021 ◽  
Vol VI (II) ◽  
pp. 41-48
Author(s):  
Muhammad Irfan Khadim ◽  
Samreen Fahim Babar
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Time Lag ◽  
Abnormal Returns ◽  
Significance Test ◽  
Industry Effects ◽  
Cumulative Abnormal Returns ◽  
Long Run ◽  
Short Run

The present study is conducted to see how an IPO event affects the existing firm's performance within the same industry. For this purpose, 88 IPO firms were examined from Pakistan Stock Exchange (PSX) from 1998-2016. IPO is examined from three major perspectives IPO proceeds, initial returns and time Lag between IPO listing date and IPO subscription. The study uses Buy and Hold Abnormal Returns (BHAR) and Cumulative Abnormal Returns (CAR) to calculate competitor's abnormal returns. To calculate the operating performance of competitors, the Wilcoxon significance test was applied. IPO intra-industry effects are significant in the long run, whereas insignificant results are shown in the short run. In addition, IPO proceeds and abnormal returns are significant but negatively related to competitors' stock returns (long term). Moreover, Herfindahl Hirschman Index (HHI) finds IPO improves competitiveness in the industry environment. This present study is an important one from an emerging economy perspective.

scholarly journals The Impact of Tax Amnesty Announcement towards Share Performance and Market Reaction in Indonesia

2018 ◽  
Vol 7 (2) ◽  
pp. 39
Author(s):  
Lidya Agustina ◽  
Yuliana Gunawan ◽  
Windawaty Chandra
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Stock Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Test Method ◽  
Tax Amnesty ◽  
The Impact

The Indonesian Government reviewed back the tax amnesty in 2016. Various reactions came up along with the announcement of tax amnesty, the investors did not accept- which led to the announcement of the Tax Forgiveness regulation through the market reactions and stock market performances in Indonesia Stock Exchange. This research is to analyze event study using information based on government-related announcements to show the impact of the new regulation towards stock performance and market reaction. The effect of the announcement will be seen from the changes in stock-prices or stock-returns that provide abnormal returns in the event period as well as market reaction which reflected in trading volume. This research used stock-return data and trading volume from all companies listed in IDX in 2016 and analyzed using the Paired Sample T-Test method. The result of this research shows there are differences among the average of stock-return, average abnormal-return of stock, and stock trading volume before and after the tax amnesty announcement.

The announcement and implementation reaction to China's margin trading and short selling pilot programme

2014 ◽  
Vol 10 (3) ◽  
pp. 368-384 ◽  
Author(s):  
Saqib Sharif ◽  
Hamish D. Anderson ◽  
Ben R. Marshall
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Selling ◽  
Market Model ◽  
Short Sales ◽  
Content Type ◽  
Pilot Programme ◽  
The Impact

Purpose – The purpose of this paper is to investigate how the announcement and implementation of short sales and margin trading regulation affects Chinese stock returns and trading volume. On 31 March 2010, the Chinese regulators launched a pilot programme, allowing short sales and margin trading for 50 Shanghai Stock Exchange and 40 Shenzhen Stock Exchange stocks. Design/methodology/approach – This paper uses an event study approach to compare market model abnormal returns (ARs) of the pilot firms with two distinct matched firm samples. A volume event study is also conducted to examine abnormal trading activity surrounding the key events in the pilot stocks. Findings – Negative ARs follow both the announcement and implementation of short selling and margin trading. This suggests the negative impact of short sales dominates the positive impact of margin trading on an average. Volume also declines, which is consistent with uninformed investors’ seeking to avoid trading against informed traders. Originality/value – The paper appears to be the first to address the impact of both the announcement and implementation of short selling and margin trading rule changes on returns and liquidity using individual stock data.

scholarly journals The Impact of Scandalous News in the Automobile Manufacture on Companies from the Same Industry: A Comparative Study on the Chinese and European Markets

2021 ◽  
Vol 17 (23) ◽  
pp. 67
Author(s):  
Anastasia Mews
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Abnormal Returns ◽  
Spillover Effects ◽  
Control Group ◽  
Sales Growth ◽  
Chinese Market ◽  
Cumulative Abnormal Returns ◽  
Before And After ◽  
The Impact

This paper examines the effect of scandalous news on corporate reputation of rival firms from the same industry and investigates the effects’ differences in China and in Europe, providing evidence that scandalous news influences not only the target company itself, but also other companies from the industry. For this purpose, the paper uses the 2015 Volkswagen emissions scandal as a natural experiment. Volkswagen, BMW, Mercedes-Benz, Audi and Porsche were selected as sample companies. To measure reputational spillover effects, cumulative abnormal stock returns and sales growth of the sample companies are calculated and compared before and after the announcement of the scandal. The methodology adopted for estimating stock returns is the event study method, which measures the impact of a specific event on the value of a firm. Stock price data is collected from Bloomberg and used to calculate cumulative abnormal returns of the sample companies. Furthermore, difference-in-differences estimation is used to compare the sample companies’ sales growth before and after the scandal. Volkswagen, Audi, BMW and Mercedes-Benz are included in the treatment group, whereas 29 non-German car manufacturers were selected as the control group. The results show that overall rival companies were affected by the scandal, cumulative abnormal returns declined by 6% and 10% for BMW and Mercedes-Benz respectively, showing the contagion effect. However, the sales growths of these two manufacturers greatly increased, specifically on the Chinese market for Mercedes-Benz and on the European market for BMW, proving dominance of the competitive effect and differences of the reputational spillover effects across countries.

scholarly journals The Relation Between Trading Volume Concentration and Stock Returns

2021 ◽  
pp. 82-89
Author(s):  
Chen-Chang Lo ◽  
Yaling Lin ◽  
Jiann-Lin Kuo ◽  
Yi Ting Wen
Keyword(s):  
Stock Returns ◽  
Gini Coefficient ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Selection ◽  
Taiwan Stock Exchange ◽  
The Gini Coefficient ◽  
Event Date ◽  
Brokerage Firms

The Taiwan Stock Exchange discloses data on daily trading volume across brokerage firms for each listed stock. Market practitioners suggest that the concentration of trading volume contains information on the trading behaviors of big players. We use the Gini Coefficient to measure the degree of concentration, upon which a trading strategy is proposed. We conduct an event study to examine whether such a strategy will yield abnormal returns. Our sample contains 375 listed companies with events identified during the sample period from February 2020 to August 2020. The empirical results show that the trading signal based on the Gini coefficient is informative and that most of the average abnormal returns after the event date are significantly positive with the cumulative average abnormal returns increasing almost monotonically up to the end day of the event window. Consistent with prior studies in which different measures of concentration are utilized, our findings provide additional evidence that the Gini Coefficient could help investors to develop profitable stock selection and market timing strategies.

scholarly journals Divestitures and shareholder wealth in the long-run – the South African case

2014 ◽  
Vol 11 (4) ◽  
pp. 569-578 ◽  
Author(s):  
Emily Nichols ◽  
Andrew Rosenberg ◽  
Akios Majoni ◽  
Samson Mukanjari
Keyword(s):  
South Africa ◽  
South African ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Shareholder Wealth ◽  
Johannesburg Stock Exchange ◽  
Cumulative Abnormal Returns ◽  
Announcement Date ◽  
Long Run ◽  
The Impact

This study examines the impact of divestitures (spin offs and sell offs) on shareholder wealth for the parent firms listed on the Johannesburg Stock Exchange over the period 1995-2011. The study also makes a comparison of the wealth created by spin offs versus sells offs. We found significantly negative cumulative abnormal returns over the 250 and 500 days respectively, post-announcement date. This result persisted for the whole sample and for the two subsamples of spin offs and sell offs even after running the test excluding the data during and after the financial crisis of 2008. The results suggest that, in general, divestitures in South Africa destroy shareholder value in the long run and sell offs are a better choice of divestitures compared to spin offsю

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