The Penalization of Non-Communicating UN Global Compact’s Companies by Investors and Its Implications for This Initiative’s Effectiveness

2015 ◽  
Vol 57 (2) ◽  
pp. 255-291 ◽  
Author(s):  
Estefania Amer
Keyword(s):  
United Nations ◽  
Financial Markets ◽  
Abnormal Return ◽  
Cumulative Abnormal Return ◽  
United Nations Global Compact ◽  
External Monitoring ◽  
Study Methodology ◽  
A Company ◽  
Event Study Methodology ◽  
Do So

Companies that have joined the United Nations Global Compact (UNGC) are required to submit a Communication on Progress (COP), which is an environmental, social, and governance (ESG) report, to the UNGC every year. If they fail to do so, they are marked and listed as non-communicating on the UNGC website. Using the event study methodology, this study shows that a company that fails to report to the UNGC is penalized in the financial markets with an average cumulative abnormal return of −1.6% over a period of 5 trading days around the event. Although a major critique against the UNGC is that the initiative’s voluntary nature and its lack of external monitoring and sanction mechanisms render it ineffective in terms of the business participants’ implementation of the UNGC principles into their operations, this result suggests that investors may be able to pressure UNGC business participants to increase their compliance with the UNGC requirements and to “walk the talk.”

scholarly journals Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia

2019 ◽  
Vol 11 (2) ◽  
pp. 169
Author(s):  
Dylan Siong-Yain Chen ◽  
Venus Khim-Sen Liew
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Stock Return ◽  
Cumulative Abnormal Return ◽  
Market Activity ◽  
Average Abnormal Return ◽  
Study Methodology ◽  
Event Study Methodology

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.

scholarly journals THE INTRA-INDUSTRY SPILLOVERS OF INDONESIAN RIGHT OFFERINGS

2019 ◽  
Vol 9 (1) ◽  
pp. 190
Author(s):  
Abdur Rafik ◽  
Embun Arafah
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Abnormal Returns ◽  
Sampling Technique ◽  
Cumulative Abnormal Return ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
The Right ◽  
Event Study Methodology

This study aims to examine the spillover effect of right offerings to the industry on the Indonesian Stock Exchange in the period 2009-2016. This study is designed using event study methodology. In total, there are 96 issuing companies (issuers) and 1205 non-issuing companies (non-issuers) used as the sample which was obtained using a purposive sampling technique. The test for information content on the right issues was conducted using standard t-test on the average cumulative abnormal return of issuers and non-issuers in the period t-10 to t+10 around the issuance. The research found positive abnormal returns for issuers in t0 to t+4 but did not confirm the spillover effect to non-issuers over the observed (window) periods. The average cumulative abnormal returns are randomly distributed during the window period. These results confirm the absence of intraindustry effect of right issues on the non-issuers’ performance

Pricing Strategy and Corporate Bond Value

2012 ◽  
Vol 3 (3) ◽  
pp. 40-52 ◽  
Author(s):  
Min Shi ◽  
Wei Yu
Keyword(s):  
Financial Markets ◽  
Airline Industry ◽  
Default Risk ◽  
Time Windows ◽  
Corporate Bond ◽  
Pricing Strategy ◽  
Industry Data ◽  
Bond Returns ◽  
Study Methodology ◽  
Event Study Methodology

Pricing strategy is expected to impose profound impacts on a firm’s cash flow and default risk. However, little research has been done to examine its direct impacts on financial markets. Applying event study methodology on the airline industry data, this paper aims to fill this gap by investigating whether and how corporate bond value is affected by pricing cut events in the airline industry in various time windows. The authors’ empirical results find significant positive abnormal bond returns in the announcement month. However, the price effect becomes insignificant and vanishes in the following months. By integrating financial market and marketing behavior analysis, this paper provides managerial insights for both marketing managers and corporate bond investors.

scholarly journals Abnormal Return, Market Reaction around Rating Announcement in Tunisian Stock Market

2016 ◽  
Vol 8 (7) ◽  
pp. 322
Author(s):  
Wissem Daadaa
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Price Change ◽  
Study Methodology ◽  
Book To Market Ratio ◽  
The Impact ◽  
Event Study Methodology

This paper tests the market reaction and the stock price change around rating announcements in Tunisian stock exchange using the event study methodology. We examine the impact of the change rating announcement on stock return firms from 2006 to 2010. The results show that only the negative rating with downgrades note which is associated to negative abnormal return. The market does not seem to be interested upgrades rating on the Tunisian market. The negative reaction of the market can be explained by leverage change, Book to Market ratio and the level of the rating fall.

scholarly journals Hotel Stock Price Performance During the Covid-19 Pandemic in Indonesia

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Regina Sandra Kusuma
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Secondary Data ◽  
Price Performance ◽  
Study Methodology ◽  
The Relationship ◽  
Event Study Methodology

This study aims to analyze the Indonesian hotel stock price performance during the pandemic of Covid-19 by testing the effect of Covid-19 pandemic on stock return and abnormal stock return. The data were collected from secondary data at www.finance.yahoo.com, Indonesian hotel companies stock period from 26 February 2020 to 2 March 2020 during the pandemic of Covid-19. Further, the data were analyzed by using Event Study Methodology to examine the effect of Covid-19 pandemic on Indonesian hotel stock return and abnormal return. The result of this study finds that there is stock reaction after the announcement of Covid-19 pandemic in Indonesia during 15 days after the announcement. Also in this research, can be found a relationship between the stock condition with the pandemic. This research can be used as a reference for investors for their investments by looking at the relationship between the Indonesian hotel companies stock and pandemic of Covid-19.

scholarly journals Measuring the effects of Bitcoin forks on selected cryptocurrencies using event study methodology

Industrija ◽  
2020 ◽  
Vol 48 (2) ◽  
pp. 21-36
Author(s):  
Nenad Tomić
Keyword(s):  
Quantitative Analysis ◽  
Event Study ◽  
Abnormal Return ◽  
Quantitative Research ◽  
Statistical Significance ◽  
Negative Effects ◽  
Current Topic ◽  
Study Methodology ◽  
A Current ◽  
Event Study Methodology

The objective of the study is to determine whether the Bitcoin forks have produced significant effects on the cryptocurrency market. The event study methodology is used in this paper in order to determine the statistical significance of the abnormal return of leading cryptocurrencies after three Bitcoin forks. The forks were viewed as three isolated events, with the estimations windows and the event windows constructed separately for each of them. There were statistically significant negative effects related to the creation of Bitcoin Gold and Bitcoin SV. Contrary to expectations, there was no statistically important effect throught out the most famous Bitcoin forking and emergence of Bitcoin Cash. Although cryptocurrencies are a current topic, the literature lacks quantitative research dealing with price changes. Without quantitative analysis, it is difficult to conclude whether the return change is a consequence of a statistically significant event The analysis would therefore provide the tool to determine the statistical significance of their impact on the market. A small number of observed cryptocurrencies is the main limitation of this research. Future researches could cover a wider scope of the market and include other famous cases of forking, for example, the Ethereum forks.

scholarly journals BANKING STOCK ABNORMAL RETURN ANALYSIS OF PRE AND POST MERGER AND ACQUISITION IN INDONESIA

JEMBATAN ◽  
2020 ◽  
Vol 17 (1) ◽  
pp. 13-24
Author(s):  
Rivanny Astricia ◽  
Isni Andriana ◽  
Reza Ghasarma
Keyword(s):  
Mergers And Acquisitions ◽  
Government Policy ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Merger And Acquisition ◽  
Paired Sample ◽  
Significant Difference ◽  
Study Methodology ◽  
The Difference ◽  
Event Study Methodology

The number of mergers and acquisitions (M&A) in Indonesia is growing because of government policy and also their usefulness as a corporate tool to pursue strategic growth and profit. This study aims to analyze the abnormal returns of banking industries pre and post-merger and acquisition in Indonesia. Using a sample of 7 M&A deals in Indonesia from 2018 to 2019, the event study methodology used in this study is Paired Sample T-Test to tell the difference between pre and post abnormal returns. The data that use for calculating is -30 until +30 of Merger and Acquisition. The result shows that from 7 mergers and acquisition there is only one bank that has a significant difference while the rest does not have a significant difference pre and post the event. This research hopefully can be used for further research, useful for investment practitioners.

scholarly journals How does market react to corporate spin-offs in Australia?

2017 ◽  
Vol 24 (01) ◽  
pp. 54-74
Author(s):  
Truong Nguyen Xuan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Event Window ◽  
Average Abnormal Return ◽  
The Us ◽  
Study Methodology ◽  
The Difference ◽  
Event Study Methodology

While numerous studies on spin-off have been done in the US and Europe, little efforts have been directed to research this area of cor-porate finance in Australia. This study investigates how market re-acts to corporate spin-offs in this country. We employ traditional event study methodology and find that market reacts strongly and positively to the announcements of spin-offs. Specifically, the cu-mulative average abnormal return over the 3-day event window is 3.58%. The cumulative average abnormal return for spin-offs by companies that increase their industrial focus is 4.12% and 3.33% for non-focused increasing spin-offs. Nevertheless, the difference between these two subgroups is statistically insignificant. Multivari-ate regressions provide evidence that high pre-leverage firms benefit more from spin-offs.

scholarly journals STOCK PRICE BEHAVIOR AROUND CUM-DIVIDEND DATE OF INDONESIA BLUE CHIPS STOCKS

2019 ◽  
Vol 2 (1) ◽  
pp. 49-60
Author(s):  
Eka Lavista
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Index Model ◽  
Single Index Model ◽  
Study Methodology ◽  
Return Difference ◽  
Event Study Methodology

This study tests whether there are significant stock prices changes around the cum-dividend date. In particular, it examines the stock price movement of two days before and two days after the cum-dividend date. It uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal return is measured using the single index model. Results show that there are no significant abnormal returns around the cum-dividend date. In addition, there is no significant abnormal return difference between two days before and two days after the cum-dividend date. The implication of the reported findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date as the trading strategy.

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