IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES

We study the stock price and trading volume reactions to dividend initiations by high-tech firms relative to those by non-high tech firms. We find significant positive cumulative abnormal returns and abnormal trading volume for both high-tech and non-high tech firms surrounding dividend initiations. However, when we control for variables such as size and dividend yield, stock returns and trading volume around dividend initiations are higher for high-tech firms than for non-high tech firms. We also find evidence that stock returns and trading volume for high-tech firms are higher with increases in liquid assets, although the volume reaction to increases in liquid assets is stronger than the return reaction, perhaps indicating clientele shifts. Overall, our findings convey stronger investor reaction to dividend initiations by high-tech firms, especially those with sufficient liquid assets.

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The correlation between stock returns before and after analyst recommendation revisions

Economic Annals ◽

10.2298/eka2128069k ◽

2021 ◽

Vol 66 (228) ◽

pp. 69-100

Author(s):

Andrey Kudryavtsev

Keyword(s):

Stock Returns ◽

Stock Price ◽

Trading Volume ◽

Abnormal Returns ◽

Market Model ◽

Short Period ◽

Before And After ◽

Analyst Recommendation ◽

Experience Recommendation ◽

Recommendation Revisions

In this study I analyse the correlation between stock returns before and after analyst recommendation revisions. I hypothesise that if a recommendation revision for a given stock takes place after a short period when the stock?s price moves in the opposite direction, it may indicate that the fundamentals that caused the analyst to revise their recommendation are less completely (if at all) incorporated in the stock price, significantly increasing the probability of subsequent post-event price drift. Analysing a large sample of recommendation revisions, I document that both recommendation upgrades and downgrades are followed by significant one-tosix-month price drifts (reversals) if they are preceded by the opposite-sign (same-sign) short-term cumulative abnormal returns. The effect remains significant after accounting for additional relevant company specific (size, Market Model beta, historical volatility) and event-specific (stock?s return and trading volume on the event day, brokerage firm size, analyst experience, recommendation category before the revision, number of categories changed in the revision) factors.

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The Effect of Volatility Expectations on Large Stock Price Changes

International Journal of Accounting and Finance Studies ◽

10.22158/ijafs.v1n2p94 ◽

2018 ◽

Vol 1 (2) ◽

pp. 94

Author(s):

Andrey Kudryavtsev

Keyword(s):

Stock Returns ◽

Stock Price ◽

Trading Volume ◽

Opposite Sign ◽

Company Size ◽

Price Changes ◽

Price Reversal ◽

Future Outcomes

My study explores the effect of future volatility expectations, embedded in VIX index, on large daily stock price changes and on subsequent stock returns. Following both psychological and financial literature claiming that good (bad) mood may cause people to perceive positive (negative) future outcomes as more probable and that the changes in the value of VIX may be negatively correlated with contemporaneous investors’ mood, I hypothesize that if a major positive (negative) stock price move takes place on a day when the value of VIX falls (rises), then its magnitude may be amplified by positive (negative) investors’ mood, creating price overreaction to the initial company-specific shock, which may result in subsequent price reversal. In line with my hypothesis, I document that both positive and negative large price moves accompanied by the opposite-sign contemporaneous changes in VIX are followed by significant reversals on the next two trading days and over five- and twenty-day intervals following the event, the magnitude of the reversals increasing over longer post-event windows, while large stock price changes taking place on the days when the value of VIX moves in the same direction are followed by non-significant price drifts. The results remain robust after accounting for additional company (size, beta, historical volatility) and event-specific (stock’s return and trading volume on the event day) factors, and are stronger for small and volatile stocks.

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Dividend Buying: Linking Dividend Announcements and Ex-Dividend Day Effects

Journal of Accounting Auditing & Finance ◽

10.1177/0148558x9501000301 ◽

1995 ◽

Vol 10 (3) ◽

pp. 421-435 ◽

Cited By ~ 3

Author(s):

Helen M. Bowers ◽

Donald Fehrs

Keyword(s):

Stock Returns ◽

Trading Volume ◽

Abnormal Returns ◽

Investment Strategy ◽

Short Term ◽

Return Variance ◽

Dividend Announcements ◽

Abnormal Volume ◽

Abnormal Stock Returns ◽

Short Term Investment

We provide a plausible explanation for earlier findings that positive abnormal stock returns associated with dividend announcements persist for several days and that abnormal volume and stock returns commence several days before a stock's ex-dividend day. This study links these two sets of findings to the short-term investment strategy of dividend buying by relating the abnormal returns and trading volume to individual stock characteristics favored by dividend buyers, namely the stock's return variance and dividend yield. We conclude that dividend buying is at least partially responsible for the abnormal returns and volume found between dividend announcement and ex-dividend days.

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Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s021909150400024x ◽

2004 ◽

Vol 07 (04) ◽

pp. 471-491 ◽

Cited By ~ 5

Author(s):

Pei-Gi Shu ◽

Yin-Hua Yeh ◽

Yu-Chen Huang

Keyword(s):

Stock Price ◽

Abnormal Return ◽

Trading Volume ◽

Abnormal Returns ◽

Sampling Period ◽

Efficient Market Hypothesis ◽

Individual Investors ◽

Long Run ◽

Price Reversal ◽

Run Up

This study analyzes price-volume relation for Taiwanese listed firms that are added to or deleted from the MSCI free indices in the sampling period from May 17, 1999 to May 21, 2001. Additions to the indices found a positive abnormal return of 3.9% in the run-up window from the announcement day up to one day before the change was implemented. This was followed by a significant reversal on the change day. The deleted firms exhibit an even stronger announcement effect, with a significant abnormal return of -9.1% in the run-up, followed by a reversal of 1.6% on the change day. Even when reversals occurred on the change day, the abnormal returns in the post-announcement window are positive for additions and negative for deletions. The results support the price-pressure and long-run downward-sloping-demand hypothesis and are inconsistent with the efficient market hypothesis. The abnormal trading volume for deletions is negative following the announcement, contradicting the findings of Lynch and Mendenhall (1997). This difference is due to the innate of the Taiwanese stock market, in which no dedicated market makers accommodate block trading. Moreover, the regression results confirm a positive volume-return relation before and a negative relation on and after the change day. Finally, the QFII net buy (sell) the added (deleted) stocks up to ten days after the change was implemented, while the Securities Investment Trusts and Securities dealers, having a shorter frame net, buy the added stocks up to two days after the effective change. Individual investors reversing position on the change day are responsible for the price reversal on the change day.

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The influence of title sponsorships in sports events on stock price returns

International Journal of Sports Marketing and Sponsorship ◽

10.1108/ijsms-16-02-2015-b004 ◽

2015 ◽

Vol 16 (2) ◽

pp. 37-56 ◽

Cited By ~ 3

Author(s):

Masaki Kudo ◽

Yong Jae Ko ◽

Matthew Walker ◽

Daniel P Connaughton

Keyword(s):

Stock Returns ◽

Event Study ◽

Stock Prices ◽

Stock Price ◽

Abnormal Returns ◽

Study Analysis ◽

Sports Events ◽

Price Increases ◽

Event Date ◽

The Impact

The purpose of this study was to examine stock price abnormal returns following title sponsorship announcement and event date of NASCAR, the PGA Tour, and the LPGA Tour. For this purpose, the authors used event study analysis where the analysis measures the impact that a specific event has on stock prices by comparing actual stock returns to estimated returns (Spais & Filis, 2008). An event study analysis demonstrated that title sponsors for the LPGA Tour and NASCAR garnered significant stock price increases on both the announcement date and the event date. The moderator tests suggested that high image congruence and high-technology related sponsorships assumed a key role in stock price increases.

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The Effect of Volatility Expectations on Large Stock Price Changes

International Journal of Accounting and Finance Studies ◽

10.22158/ijafs.v1n2p1 ◽

2018 ◽

Vol 1 (2) ◽

pp. 1

Author(s):

Andrey Kudryavtsev

Keyword(s):

Stock Returns ◽

Stock Price ◽

Trading Volume ◽

Opposite Sign ◽

Company Size ◽

Price Changes ◽

Price Reversal ◽

Future Outcomes

My study explores the effect of future volatility expectations, embedded in VIX index, on large daily stock price changes and on subsequent stock returns. Following both psychological and financial literature claiming that good (bad) mood may cause people to perceive positive (negative) future outcomes as more probable and that the changes in the value of VIX may be negatively correlated with contemporaneous investors’ mood, I hypothesize that if a major positive (negative) stock price move takes place on a day when the value of VIX falls (rises), then its magnitude may be amplified by positive (negative) investors’ mood, creating price overreaction to the initial company-specific shock, which may result in subsequent price reversal. In line with my hypothesis, I document that both positive and negative large price moves accompanied by the opposite-sign contemporaneous changes in VIX are followed by significant reversals on the next two trading days and over five- and twenty-day intervals following the event, the magnitude of the reversals increasing over longer post-event windows, while large stock price changes taking place on the days when the value of VIX moves in the same direction are followed by non-significant price drifts. The results remain robust after accounting for additional company (size, beta, historical volatility) and event-specific (stock’s return and trading volume on the event day) factors, and are stronger for small and volatile stocks.

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Investor Sophistication and Patterns in Stock Returns after Earnings Announcements

The Accounting Review ◽

10.2308/accr.2000.75.1.43 ◽

2000 ◽

Vol 75 (1) ◽

pp. 43-63 ◽

Cited By ~ 445

Author(s):

Eli Bartov ◽

Suresh Radhakrishnan ◽

Itzhak Krinsky

Keyword(s):

Stock Returns ◽

Stock Price ◽

Trading Volume ◽

Explanatory Variable ◽

Earnings Announcements ◽

Abnormal Returns ◽

Institutional Ownership ◽

Quarterly Earnings ◽

Institutional Holdings ◽

Investor Sophistication

This study tests whether the observed patterns in stock returns after quarterly earnings announcements are related to the proportion of firm shares held by institutional investors, a variable used by prior research to proxy for investor sophistication. Our findings show that the institutional holdings variable is negatively correlated with the observed post-announcement abnormal returns. Our findings also show that traditional proxies for transaction costs (i.e., trading volume, stock price) as well as firm size have little incremental power to explain post-announcement abnormal returns when institutional holdings is an explanatory variable. If institutional ownership is a valid proxy for investor sophistication, these findings suggest that the trading activity of unsophisticated investors underlies the predictability of stock returns after earnings announcements. However, tests evaluating the validity of institutional holdings as a proxy for investor sophistication yield only mixed results. This calls for caution in interpreting our findings.

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The Relationship between Technology Life Cycle and Korean Stock Market Performance

International Journal of Financial Studies ◽

10.3390/ijfs6040088 ◽

2018 ◽

Vol 6 (4) ◽

pp. 88

Author(s):

BokHyun Lee

Keyword(s):

Life Cycle ◽

Augmented Reality ◽

Stock Returns ◽

Stock Price ◽

Abnormal Returns ◽

Cumulative Abnormal Returns ◽

Stock Market Performance ◽

Technology Life Cycle ◽

The Relationship ◽

A Company

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

European Scientific Journal ESJ ◽

10.19044/esj.2021.v17n23p67 ◽

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.

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