scholarly journals Conteúdo Informacional dos Ratings de Crédito no Brasil: Um Estudo de Evento

2013 ◽  
Vol 11 (4) ◽  
pp. 503 ◽  
Author(s):  
Flávia Cruz de Souza Murcia ◽  
Fernando Dal-Ri Murcia ◽  
José Alonso Borba
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Credit Rating ◽  
Abnormal Returns ◽  
Bad News ◽  
Market Model ◽  
Stock Market Reaction ◽  
It Impacts ◽  
Standard And Poor's ◽  
Rating Downgrades

This study analyzes the effect of credit rating announcements on stock returns in the Brazilian market during 1997-2011. We conducted an event study using a sample of 242 observations of listed companies, 179 from Standard and Poor’s and 63 from Moody’s, to analyze stock market reaction. Abnormal returns have been computed using the Market Model and CAPM for three windows: three days (-1, +1), 11 days (-5, +5) and 21 days (-10, +10). We find statistically significant abnormal returns in days -1 and 0 for all the three types of rating announcement tested: initial rating, downgrades and upgrades. For downgrades, consisted with prior studies, our results also showed negative abnormal returns for all practically all windows tested. Overall, our findings evidence the rating announcements do have information content, as it impacts stock returns causing abnormal returns, especially when they bring ‘bad news’ to the market.

An Empirical Study of Stock Split Announcements of Select BSE Sectors Using Event Study Methodology

2015 ◽  
Vol 6 (1) ◽  
pp. 1 ◽  
Author(s):  
Asha Nadig
Keyword(s):  
Health Care ◽  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Consumer Durables ◽  
Stock Market Reaction ◽  
Stock Split ◽  
Indian Stock Market

This study examines the stock market reaction to stock splits between 2002 and 2013 of 6 sectors of BSE-Auto, Bankex, Consumer Durables, FMCG, Health Care and IT sectors to find out if the Indian stock market is semi-strong efficient or not. The methodology used is event study under the market model. Samples of 14 stock splits are considered spread across 6 sectors. The results indicate that there are significant positive abnormal returns prior to split announcements. On the day of split announcement, 1 sector reacts positively (Health Care-3.3%) and the 5 react negatively (Auto -1%, Bankex -0.9%, CD -0.3%, FMCG -1%, and IT-1%). The results indicate that the null hypothesis, H<sub>0</sub>1, that there is no significant AAR around the stock split announcement dates is accepted.

scholarly journals Event Study on the Reaction of Stock Returns to Acquisition News

2017 ◽  
Vol 4 (1) ◽  
pp. 33 ◽  
Author(s):  
Fotoh Lazarus Elad ◽  
Nko Solange Bongbee
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Null Hypothesis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Critical Value ◽  
Market Model ◽  
Test Statistics ◽  
Publicly Traded ◽  
Simple Regression

This study examines the reaction of stock returns to acquisition news. A data of 51 observations of acquiring companies with publicly traded shares on the London Stock Exchange (FTSE100) is used over a period, from July 2012 to May 2013 with an estimation period [-100, -10] and test period [-5, +5]. The market model is applied here in order to predict future stock returns and the use of the simple regression to get the parameters of the regression equation. With this a test statistics obtained on average, is significantly positive and greater than the critical value. Therefore, the event of acquisition does appear to be related significantly to the abnormal returns and the null hypothesis being rejected.

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 Do Chinese M&A activities create shareholder value in the short run? Evidence from Chinese-German cross-border takeovers

2020 ◽  
Vol 2 (2) ◽  
pp. 33-46
Author(s):  
Jing Wang ◽  
Michel Charifzadeh ◽  
Tim Alexander Herberger
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Shareholder Value ◽  
Abnormal Returns ◽  
Information Leakage ◽  
Market Model ◽  
Cross Border ◽  
Acquiring Firms ◽  
Short Run ◽  
Value Effect

Our paper investigates the response of acquiring firms’ stock returns around the announcement date in cross-border mergers and acquisitions (M&A) between listed Chinese acquirers and German targets. We apply an event study methodology to examine the shareholder value effect based on a sample of M&A deals over the most recent period of 2012-2018. We apply a market model event study based on the argumentation of Brown and Warner (1985) and use short-term observation periods according to Andrade, Mitchell, and Stafford (2001) as well as Hackbarth and Morellec (2008). The results indicate that the announcement of M&A involving German targets results in a positive cumulative abnormal return of on average 2.18% for Chinese acquirers’ shareholders in a five-day symmetric event window. Furthermore, we found slight indications of possible information leakage prior to the formal announcement. Although it shows that the size of acquiring firms is not necessarily correlated with the positive abnormal returns in the short run, this study suggests that Chinese acquirers’ shareholders gain higher abnormal returns when the German targets are non-listed companies.

scholarly journals SUSTAINABILITY BONDS. AN INTERNATIONAL EVENT STUDY

2021 ◽  
Vol 22 (6) ◽  
pp. 1551-1576
Author(s):  
Mihaela Mocanu ◽  
Laura-Gabriela Constantin ◽  
Bogdan Cernat-Gruici
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Market Reaction ◽  
Positive Impact ◽  
Abnormal Returns ◽  
International Capital ◽  
Bond Issue ◽  
Return On Assets ◽  
Stock Market Reaction ◽  
International Event

Sustainability bonds enable capital-raising and investment for those projects that have both a positive impact on the environment and a positive social outcome. This study examines the stock market reaction to the announcement of sustainability bonds issuance. The present research is designed as follows: first, an event study that examines the market reaction and second, a highlight of drivers influencing this market reaction via a linear regression with cluster-robust standard errors. Overall, small and negative sample-wide reactions to sustainability bond issue announcements were found. Additionally, the study finds significant negative abnormal returns before the publication in June 2018 of The Sustainability Bond Guidelines by the International Capital Market Association. Specifically, the size of the bond issue, whether the bond is callable or not, the announcement of the issue as a single event in a day, the company’s Return on Assets, the firm’s social disclosure score, and the issuance of the bond prior or after June 2018 are statistically significant factors that influence the stock returns of issuers.

scholarly journals Impact of Smoking Ban Fatwa on Indonesian Tobacco’s Company

2013 ◽  
Vol 2 (2) ◽  
pp. 76-86
Author(s):  
Gatot Soepriyanto ◽  
Paulina Santoso
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Tobacco Consumption ◽  
Share Price ◽  
Market Model ◽  
Smoking Ban ◽  
Muslim Population ◽  
Stock Market Return ◽  
Study Methodology ◽  
Event Study Methodology

The objective of this study is to assess the share price reactions to smoking ban fatwa on Indonesia tobacco’s company. We expect that the smoking ban fatwa in the world’s largest Muslim population will hit the tobaccos industry revenues, lower tobacco’s company profit and eventually affect the share price of those firms. We use event study methodology and standard market model to calculate abnormal returns of the tobacco’s firms related to the news of smoking ban fatwa. Our study failed to find a statistically significant effect of smoking ban fatwa on tobacco’s firm stock market return. It suggests that the investors do not see the fatwa as a factor that may control the tobacco consumption in Indonesia – thus it may not affect the tobacco’s firm revenues and profit in the future

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.

Do firms harvest from political connections during general elections? Case of Pakistan

2020 ◽  
Vol 27 (1) ◽  
pp. 258-273
Author(s):  
Ayesha Ashraf ◽  
M. Kabir Hassan ◽  
Khurram Abbas ◽  
Qamar Uz Zaman
Keyword(s):  
Stock Returns ◽  
Abnormal Returns ◽  
Share Price ◽  
Market Model ◽  
Political Connections ◽  
Content Type ◽  
Connected Group ◽  
Playing Field ◽  
General Elections ◽  
The Impact

Purpose This paper aims to examine the impact of general elections on the stock returns of the politically connected group affiliated firms of Pakistan. Design/methodology/approach This study uses the market model to assess the impact of political connections (PCs) on abnormal stock returns, before and after election events. We have used share price data of non-financial firms of Pakistan for the years 2008-2013. Findings It has been found that behavior of cumulative average abnormal returns (CAAR) is significantly different for standalone and politically connected group affiliated firms. The results reveal that CAARs of politically connected group affiliated firms have experienced less deviation as compared to stand alone firms. Therefore, it is argued that politically connected group firms may reduce the impact of political uncertainty on stock returns in comparison to stand alone firms. Practical implications This study is helpful for policy regulators of Pakistan to devise appropriate policies to maintain a level playing field for politically connected and standalone firms. Originality/value This study provides a new dimension to understand the role and association of PCs and general elections with stock markets returns.

Stock market reaction to cash dividends: evidence from the Nigerian stock market

2019 ◽  
Vol 45 (3) ◽  
pp. 366-380
Author(s):  
Friday Kennedy Ozo ◽  
Thankom Gopinath Arun
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Returns ◽  
Cash Dividend ◽  
Content Type ◽  
Price Reaction ◽  
Stock Market Reaction ◽  
Dividend Announcements ◽  
Stock Price Reaction

PurposeVery little is known about the effect of dividend announcements on stock prices in Nigeria, despite the country’s unique institutional environment. The purpose of this paper is, therefore, to provide empirical evidence on this issue by investigating the stock price reaction to cash dividends by companies listed on the Nigerian Stock Exchange.Design/methodology/approachStandard event study methodology, using the market model, is employed to determine the abnormal returns surrounding the cash dividend announcement date. Abnormal returns are also calculated employing the market-adjusted return model as a robustness check and to test the sensitivity of the results toβestimation. The authors also examine the interaction between cash dividends and earnings by estimating a regression model where announcement abnormal returns are a function of both dividend changes and earnings changes relative to stock price.FindingsThe study find support for the signaling hypothesis: dividend increases are associated with positive stock price reaction, while dividend decreases are associated with negative stock price reaction. Companies that do not change their dividends experience insignificant positive abnormal returns. The results also suggest that both dividends and earnings are informative, but dividends contain information beyond that contained in earnings.Research limitations/implicationsThe sample for the study includes only cash dividend announcements occurring without other corporate events (such as interim dividends, stock splits, stock dividends, and mergers and acquisitions) during the event study period. The small firm-year observations may limit the validity of generalizations from these conclusions.Practical implicationsThe findings are useful to researchers, practitioners and investors interested in companies listed on the Nigerian stock market for their proper strategic decision making. In particular, the results can be used to encourage transparency and good governance practices in the Nigerian stock market.Originality/valueThis paper adds to the very limited research on the stock market reaction to cash dividend announcements in Nigeria; it is the first of its kind employing a unique cash dividends data.

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

2020 ◽  
Vol 15 (01) ◽  
pp. 2050002
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Market Model ◽  
Conditional Volatility ◽  
Short Term ◽  
Price Increases ◽  
Cumulative Abnormal Returns ◽  
Price Reversal

The study explores the correlation between the immediate and the longer-term stock returns following large daily price moves. Following the previous literature, which documents a tendency for price reversals after initial large price moves, I suggest that if a large stock price move is immediately followed by a short-term price drift, then it may indicate that the company-specific shock is more completely incorporated in the stock price, significantly increasing the probability of subsequent longer-term price reversal. Analyzing a vast sample of large stock price moves, I document that negative (positive) longer-term stock price reversals after large price increases (decreases) are significantly more pronounced if the latter are immediately followed by relatively high (low) short-term cumulative abnormal returns, that is, by short-term price drifts. The effect remains significant after accounting for additional company-specific (size, market model beta, historical, or conditional volatility) and event-specific (stock’s return and trading volume on the event day) factors.

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