فحص إستراتيجية الانعكاس الاستثمارية طويلة الأجل في بورصة عمان باستخدام الطريقة الحسابية في حساب العوائد غير العادية التراكمية = Examination of the Long-Term Contrarian Investment Strategy in Amman Stock Exchange by Using the Arithmetic Method in Calculating the Cumulative Abnormal Returns

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.

Download Full-text

Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange

International Journal of Financial Engineering ◽

10.1142/s2424786321410061 ◽

2021 ◽

pp. 2141006

Author(s):

Farah Naz ◽

Kanwal Zahra ◽

Muhammad Ahmad ◽

Salman Riaz

Keyword(s):

Stock Exchange ◽

Abnormal Returns ◽

Weak Form ◽

Investment Strategy ◽

Ordinary Least Squares ◽

Financial Decision ◽

Day Of The Week ◽

Timing Strategies ◽

Autoregressive Conditional Heteroscedasticity ◽

Sector Returns

This study scrutinizes the day-of-the-week effect anomaly in the context of market and industry analysis of the Pakistan stock exchange. For this purpose, daily closing prices of KSE-100, KSE-30, and KSE-All Share Index from January 01, 2009 to December 31, 2018, have been used. Similarly, sector returns are also calculated, taking average log-returns of selected sample firms. To analyze the data ordinary least squares (OLS) regression, general generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) as well as asymmetric threshold GARCH (TGARCH) and exponential GARCH (EGARCH) models have been employed to model the leverage effect of good and bad news on market volatility. The results indicate the evidence of daily seasonality, with significant Monday and Wednesday effect in PSX indices returns as well as in most of the industry returns. Monday is found to be the day with the highest average returns with the highest return volatility. The findings of the study reveal that there exists a weak form of inefficiency in the Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. In terms of return predictability, this study is essential for international and domestic investors and it may affect their investment strategy and return management. The results might be interesting to the financial experts as they ponder the available conditions in the capital market for financial decision-making. This study is one of its first kind that includes both indices as well as industry returns for analysis of manufacturing industries in Pakistan stock exchange.

Download Full-text

TRADEMARK ACTIVITY AND THE MARKET PERFORMANCE OF U.S. COMMERCIAL BANKS

Journal of Business Economics and Management ◽

10.3846/16111699.2011.643447 ◽

2012 ◽

Vol 13 (5) ◽

pp. 931-950 ◽

Cited By ~ 5

Author(s):

Carlos González-Pedraz ◽

Sergio Mayordomo

Keyword(s):

Commercial Banks ◽

Negative Impact ◽

Abnormal Returns ◽

Market Value ◽

Tobin’S Q ◽

Tobin's Q ◽

Cumulative Abnormal Returns ◽

And Performance ◽

Positive Effect

This empirical paper analyzes the effect of trademark activity on the market value and performance of US commercial banks from two perspectives. First, a longterm perspective considers the effect of such activity on banks’ Tobin's q. Second, with a short-term perspective, the authors analyze the effect of trademark activity on banks’ abnormal returns. An older portfolio of trademarks diminishes the ratio of market value to firm assets, but this ratio can be improved in the long term by abandoning old trade-marks. Portfolios of trademarks with wide diversification do not help increase Tobin's q. Furthermore, according to an event study, the creation of a trademark has a positive effect on cumulative abnormal returns compared with no event, whereas a cancellation event has a negative impact.

Download Full-text

The Investment Strategy of Free Cash Flow Multiple

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091598000223 ◽

1998 ◽

Vol 01 (03) ◽

pp. 355-367 ◽

Cited By ~ 1

Author(s):

Eric Liluan Chu

Keyword(s):

Cash Flow ◽

Abnormal Returns ◽

Investment Strategy ◽

Cash Flows ◽

Free Cash Flow ◽

Market Model ◽

Superior Performance ◽

Price Ratio ◽

Cumulative Abnormal Returns ◽

Daily Returns

This study applies the investment strategy recommended by Hackel and Livnat (1993), the free cash flow (FCF) multiple, in Taiwan after the promulgation of Taiwan's FASB No. 95 in 1989. The results indicate that the portfolio with the higher FCF/Price ratio significantly rewards returns in excess of the market. Instead of using earnings/price ratio in the forming portfolio, the study shows that the decile portfolio with the highest FCF/Price ratio significantly outperforms the market during the period from 1990 to 1994. If daily returns are adjusted by the market model, the decile portfolio presents an average 20.5268% cumulative abnormal returns in the testing period, which is statistically higher than zero. The results also indicate that the annual cumulative abnormal returns of the FCF/Price ratio based portfolio are all positive. The annual results also show that the decile portfolio performs much better when the market declines significantly. The outperformance still exists if returns are adjusted by the market without considering risk. The decile portfolio presents an average 8.198% abnormal with a significant t value returns. The superiority of free cash flow in forming portfolio exists but with a decreasing trend when the portfolio is enlarged. The result implies that either the firms with extremely high FCF/Price ratios are undervalued by the market or the market responses slowly to their superior performance in cash flows. The finding supports Hackel and Livnat's (1993) arguments. It suggests that free cash flow is useful information especially for the forming portfolio. The results also enhance the usefulness of the statement of cash flow.

Download Full-text

Stock price reaction to cash dividend announcements in Vietnam

Journal of Asian Business and Economic Studies ◽

10.24311/jabes/2017.24.2.01 ◽

2017 ◽

Vol 24 (02) ◽

pp. 74-89

Author(s):

Truong Nguyen Xuan ◽

Huong Dao Mai ◽

Anh Nguyen Thi Van

Keyword(s):

Stock Prices ◽

Stock Price ◽

Stock Exchange ◽

Abnormal Returns ◽

Cash Dividend ◽

Share Prices ◽

Price Reaction ◽

Cumulative Abnormal Returns ◽

Stock Price Reaction ◽

The Uk

This study attempts to investigate the stock price reaction to divi-dend announcements using data of Vietnamese listed firms on Hochiminh Stock Exchange (HOSE). Standard event study meth-odology has been employed on a sample of 198 cash dividend an-nouncements made in 2011. The results show that stock prices react significantly and positively to the announcements of cash dividends, including both dividend increasing and dividend decreasing events. It is also plausible that cumulative abnormal returns exhibit an in-creasing trend before announcement yet a decreasing trend after announcement dates. More specifically, we find positively signifi-cant cumulative abnormal returns of around 1.03% on announce-ment dates; other larger windows also demonstrate positive abnor-mal returns of around 1.3%. In addition, cash dividends have differ-ent effects on share prices of firms from different industries. These results support the signaling hypothesis and are also consistent with prior findings of empirical research done on more developed mar-kets, i.e. the US and the UK.

Download Full-text

The Aftermarket Performance of Initial Public Offerings in Pakistan

THE LAHORE JOURNAL OF ECONOMICS ◽

10.35536/lje.2016.v21.i1.a2 ◽

2016 ◽

Vol 21 (1) ◽

pp. 23-68

Author(s):

Muhammad Zubair Mumtaz ◽

Zachary A. Smith ◽

Ather Maqsood Ahmed

Keyword(s):

Initial Public Offerings ◽

Stock Exchange ◽

Abnormal Returns ◽

Activity Period ◽

Risk Level ◽

Public Offerings ◽

Explanatory Variables ◽

Market Sentiment ◽

Long Run

This paper estimates the aftermarket performance of initial public offerings (IPOs) listed on the Karachi Stock Exchange. The evidence confirms that IPOs generate statistically significant abnormal returns in the short run, which indicates that underwriters initially underprice IPOs when analyzed using a short time horizon. However, when using longer time horizons to estimate abnormal performance, the results indicate that IPOs underperform in the long-run. There is an apparent dislocation between the initial valuation set by underwriters and the premium paid by the market for these new issues. The market sentiment that causes this temporary disequilibrium eventually fades and the market reprices the newly issued shares. We conduct an extreme bounds analysis to test the sensitivity and robustness of 16 explanatory variables in determining the long-term performance of unseasoned newly issued shares. The results indicate that the long-term investment ratio, industry affiliation, market-adjusted abnormal returns, financial leverage, return on assets, IPO activity period, the aftermarket risk level of unseasoned issues, and the post-issue promoter’s holdings variables significantly affect IPOs’ aftermarket performance. Theoretically, the overreaction hypothesis, ex-ante uncertainty hypothesis and window-of-opportunity hypothesis best explain IPOs’ aftermarket performance in this study.

Download Full-text

Announcement Effects of Convertible and Warrant Bond Issues with Embedded Refixing Option: Evidence from Korea

Sustainability ◽

10.3390/su12218933 ◽

2020 ◽

Vol 12 (21) ◽

pp. 8933

Author(s):

Yongsik Kim

Keyword(s):

Stock Price ◽

Stock Exchange ◽

Shareholder Value ◽

Abnormal Returns ◽

Market Response ◽

Macroeconomic Conditions ◽

Announcement Effects ◽

Cumulative Abnormal Returns ◽

Percentage Points ◽

Bond Issues

This study examines the announcement effects of convertible and warrant bond issues with embedded refixing option in Korea from January 2001 to December 2018. Refixing option denotes an adjustment right of the conversion price embedded in equity-linked debt when the underlying stock price falls under conversion price. I find statistically significant declines of 2.6 to 2.7 percentage points in cumulative abnormal returns for the inclusion of a refixing clause and especially further declines of 6.2 to 6.3 percentage points during the period from 2016 to 2018. This result implies that the market’s concerns about the dilution of existing shareholder value due to the exercise of the refixing rights are reflected in the market response. I further find that the degree of negative market response varies according to the changes in macroeconomic conditions and the stock exchange on which the issuing firms are listed. The findings are robust after controlling for the effect of firm-, issue-, and market-specific characteristics.

Download Full-text

Standardization of Trading Board Lot: Effect on Price and Liquidity

International Journal of Banking and Finance - Vol. 15, Number 2, 2020 ◽

10.32890/ijbf2017.13.2.8506 ◽

2018 ◽

Author(s):

Nor Elliany Hawa Ibrahim ◽

Kamarun Nisham Taufil Mohd ◽

Karren Lee-Hwei Khaw

Keyword(s):

Stock Exchange ◽

Abnormal Returns ◽

Kuala Lumpur ◽

Lot Size ◽

Listed Firms ◽

Bid Ask Spread ◽

Cumulative Abnormal Returns ◽

Trading Activities ◽

Three Stages ◽

Implementation Effect

In this study we examined the announcement and implementation effect of the standardization of trading board lot event at the Kuala Lumpur Stock Exchange, which saw a reduction of the minimum trading unit from 1000 or 200 units to 100 units. The event was implemented in three stages, which affected all listed firms. Our findings showed that there were positive cumulative abnormal returns surrounding implementation days, indicating positive market reception of the new policy. The Securities Commission of Malaysia stated that the trading activities had increased significantly after implementation of the standard trading board lot. Regardless, this claim has never been verified from an academic perspective, which spurred us to compare its effects on liquidity in the pre- and post-standardization period. Our univariate tests showed that as a whole, the lot size reduction improved bid-ask spread and trading activities of stocks in Malaysia.

Download Full-text

An Analysis of the Long-Run Performance IPOs and Effects in the Kenyan Stock Market

International Letters of Social and Humanistic Sciences ◽

10.18052/www.scipress.com/ilshs.90.11 ◽

2021 ◽

Vol 90 ◽

pp. 11-25

Author(s):

Sarah Kinya Mburugu

Keyword(s):

Stock Market ◽

Abnormal Returns ◽

Secondary Data ◽

Sampling Technique ◽

Fair Value ◽

Cumulative Abnormal Returns ◽

Long Run ◽

Descriptive Survey ◽

A Company

Listing of a company in the securities exchange has been observed to be followed by underpricing in the first day and long term period of underperformance in terms of pricing in the subsequent days. Consequently, there has been a considerable curiosity from stakeholders, investors and academics to comprehend the assessments of why companies go public and the issues surrounding the short and long-run performance of newly issued equities. Underpricing is necessary to induce uninformed investors to participate in IPO offering when faced with adverse selection from informed investors. This often leads to first day price not reflecting a fair value of the IPO. The objective of the study was to determine the long-run performance IPOs and effects in the Kenyan stock market for the period 2007-2014. A descriptive survey research design was employed in the study. The population of the study encompassed all the 64 listed companies at the NSE as at 2016. The study employed a non-probability purposive sampling technique. Data collected for this study was secondary data obtained from NSE website, NSE price lists and the Central Bank of Kenya website for the period 2007 to 2014. The data obtained was analyzed using Statistical Package for Social Science (SPSS). Mean Average Buy and Hold Returns (MABHR), Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) were used to calculate the performance of the stocks. T-statistic for CAR was computed to the test for its significance. T-test was conducted at 95% confidence level to find if MABHR and CAR were statistically significant after IPOs announcement.

Download Full-text

An Empirical Study on the Announcement of Corporate Quarterly Results in India

Journal of Business Theory and Practice ◽

10.22158/jbtp.v1n1p119 ◽

2013 ◽

Vol 1 (1) ◽

pp. 119

Author(s):

S. Saravanakumar ◽

A. Mahadevan

Keyword(s):

Empirical Study ◽

Stock Exchange ◽

Abnormal Returns ◽

Market Place ◽

Earnings Announcement ◽

Market Return ◽

The Impact ◽

A Company ◽

Buying Decisions

Announcement of quarterly results is the course of communicating the performance of a company to its owners. Investors’ long-term buying decisions are largely based on the earnings stream of the firm. In order to show the progress of the company, the earnings position is revealed as per the listing agreement at a regular interval. Normally a higher earnings than the previous quarter earnings should be welcomed by the market. This should be associated with greater return after the result is announced. All higher return after the announcement cannot say to be due to the earnings results. To find out the impact of results on returns, the impact of other factors in returns is to be segregated. The impact of other factors in return is taken from the index which is nothing but the market return. The announcement of earnings is unique and specific to a company, to study its impact on the market place, the impact of other factors is removed, that is why the period is limited to 32 days and the return is calculated for 31 days. This study examines abnormal returns of earnings announcement during the pre-announcement and post announcement period. This study is based on samples of 50 Nifty companies listed on National Stock Exchange, exhibited that investors do not gain value from earnings announcement. Indeed shareholders earned little value over a period of 15 days prior to the earnings announcement through to 15 days after the announcement. The lower return may be partially compensated because of the current earnings yield. This study also indicates that announcement of result does not convey any useful information to the investing community, which needs to be further investigated.

Download Full-text