scholarly journals Price Reaction of Airline Stocks after Accidents: International Evidence

2017 ◽  
Vol 1 (3) ◽  
Author(s):  
Daniel Reed Bergmann ◽  
Mauri Aparecido Oliveira ◽  
Victor Wood Machado
Keyword(s):  
Stock Prices ◽  
Extreme Event ◽  
Abnormal Returns ◽  
Shareholder Wealth ◽  
Air Transport ◽  
Cumulative Abnormal Return ◽  
Event Window ◽  
Price Reaction ◽  
International Evidence ◽  
Simple Addition

Objective. In this paper we evaluate the reaction of airline stock prices after the occurrence of an extreme event, the air crash, based on international evidence.Methodology. We selected 49 cases that occurred between January of 1990 and April of 2011, we used the method of event studies. Cumulative Abnormal Return (CAR) was obtained through the simple addition of all abnormal returns contained in an event window. We also tested the existence of price reaction differences in high and low disclosure markets.Findings. The results obtained in this article, from a sample of 49 events, suggest that stock prices of air transport companies are instantaneously and negatively impacted by the occurrence of aerial accidents, average CAR of 4,3% until the tenth trading day after the event. And, this decrease in prices seems to be more pronounced when there are fatalities, but at the same time no differences were found due to the level of disclosure of the market in which the company is based. In addition, there appears to be a statistically significant negative reaction to the air crash, resulting in loss of shareholder wealth. The analyzes indicate that, as expected, the events in which victims were found, the loss of value of the company was considerably higher.Originality/Value. This article, in a pioneering way, considers the level of disclosure typical of the markets in the evaluation of the reaction of the prices to the occurrence of aerial accidents.

Strategic Public Shaming: Evidence from Chinese Antitrust Investigations

2019 ◽  
Vol 237 ◽  
pp. 174-195
Author(s):  
Angela Huyue Zhang
Keyword(s):  
Infant Formula ◽  
Stock Prices ◽  
Media Coverage ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
National Development ◽  
Event Studies ◽  
Cumulative Abnormal Return ◽  
Event Window ◽  
Market Capitalization

AbstractThis article examines strategic public shaming, a novel form of regulatory tactics employed by the National Development and Reform Commission (NDRC) during its enforcement of the Anti-Monopoly Law. Based on analysis of media coverage and interview findings, the study finds that the way that the NDRC disclosed its investigation is highly strategic depending on the firm's co-operative attitude towards the investigation. Event studies further show that the NDRC's proactive disclosure resulted in significantly negative abnormal returns of the stock prices of the firm subject to the disclosure. For instance, Biostime, an infant-formula manufacturer investigated in 2013, experienced −22 per cent cumulative abnormal return in a three-day event window, resulting in a loss of market capitalization that is 27 times the antitrust fine that it ultimately received. The NDRC's strategic public shaming might therefore result in severe market sanctions that deter firms from defying the agency.

scholarly journals Market Reaction Analysis of Annual Report Award Announcement: An Event Study Using Abnormal Return, Trading Volume Activity, and Stock Price

2020 ◽  
Vol 4 (1) ◽  
pp. 340
Author(s):  
Fitri Astuti ◽  
Anggi Setya Prayoga
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Annual Report ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Volume Activity ◽  
Event Window ◽  
Before And After

This study intends to examine the differences in market reaction around the announcement of the Annual Report Award which is not only measured by abnormal return but is also measured using trading volume activity and stock prices. The data used are quantitative data in the form of a list of companies that received the Annual Report Award for the 2015-2018 period, the daily closing price of the ARA-winning company in the event window, the composite stock price index, the number of shares traded, and the number of shares outstanding. The event window is selected for 11 days because the long window period will blend with the effects of other events or confounding effects. The results of the study concluded that the market reacted around the announcement of the Annual Report Award for the 2015-2018 period measured using abnormal returns, trading volume activity, and stock prices. There is no difference in abnormal returns before and after the announcement of the 2013-2016 Annual Report Award period. Instead there are differences in trading volume activity and stock prices before and after the announcement of the Annual Report Award for the 2015-2018 period.

scholarly journals Stock price reaction to cash dividend announcements in Vietnam

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.

scholarly journals REAKSI SAHAM INDEKS JII TERHADAP PENGUMUMAN RESHUFFLE KABINET KERJA TAHUN 2015 DI BURSA EFEK INDONESIA

2020 ◽  
Vol 7 (1) ◽  
pp. 36
Author(s):  
Herizka Ayuk Arviani ◽  
Rikha Muftia Khoirunnisa
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
T Test ◽  
Price Reaction ◽  
Before And After ◽  
Stock Price Reaction ◽  
The Difference

This study aims to determine the speed of JII stock price reaction on the Indonesia Stock Exchange around the date of the announcement of the Working Cabinet reshuffle and to analyze the difference in average trade volume in the period before and after the announcement of the Working Cabinet reshuffle. This data collection technique uses population techniques taken by 30 companies in the JII Index for the period June - November 2015 with observation period 10 days before and 10 days after the announcement. Analysis tools that are used to determine the reaction of stock prices before and after using one sample t test while the analytical tool to distinguish the average trading volume using paired sample t test using an alpha level (α) of 10%. The results of the analysis of stock price reactions indicate that there is a JII stock price reaction at Indonesia Stock Exchange in the period before and after the announcement of the Working Cabinet reshuffle. Because abnormal returns occur at H-7, H-4, H-1, H0, H + 1, H + 7 and H + 10. And the results of the average volume test that is there is a difference in the average trading volume before and after the announcement of the Working Cabinet reshuffle. This can be seen from the significance value lower than alpha 10% (0.033 <0.0.1).

scholarly journals Short and long-term performance analysis of banks Ms&As in Europe

2014 ◽  
Vol 12 (1) ◽  
pp. 271-286
Author(s):  
George Kyriazopoulos ◽  
Evangelos Drymbetas
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Event Window ◽  
Stock Price Reaction ◽  
European Banks ◽  
Short And Long Term ◽  
Long Term Performance ◽  
Term Performance

Based on a sample of 152 European banks Ms&As deals during the period 1996-2010, we probe into the short-term reaction of stock prices around the Ms&As announcement day by calculating abnormal returns for acquirers and targets. We also analyze the long-term value creation of combined entities by calculating buy-and-hold returns over two years subsequent to Ms&As. We find stock price erosions in the post-event 10-day period for the overall sample of acquirers. This finding is particularly evident in the case of low profitability bidder firms. We also detect a significantly positive stock price reaction of target bank shares for the 3-day event window around the Ms&As announcement day. This major finding remains unquestionable, throughout domestic and cross-border deals and irrespective of prior profitability of target banks

scholarly journals The Effects of Pandemic Event on the Stock Exchange of Thailand

Economies ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 90 ◽  
Author(s):  
Kamphol Panyagometh
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Volatility ◽  
Idiosyncratic Volatility ◽  
Economic Activities ◽  
Event Window ◽  
Global Pandemic ◽  
Stock Exchange Of Thailand

The unprecedented global pandemic of COVID-19 has greatly impacted the stock market in terms of both price reactions and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock market have been adversely affected by the pandemic, as reflected in the abnormal returns compared to the period before the COVID-19 outbreak. This is mainly attributable to the curtailed economic activities induced by the pandemic as well as policy responses such as social distancing, quarantine and temporary market shutdown. Nevertheless, stocks in different sectors have been shown to have varied in terms of price responses, as some businesses may have benefitted from the pandemic. In terms of market volatility, the cumulated abnormal volatility (CAV) calculated in the paper suggests that volatility in the Stock Exchange of Thailand (SET) was significantly higher during the event window of COVID-19.

AN ANALYSIS OF ABNORMAL RETURNS ASSOCIATED WITH STOCK SPLIT

2021 ◽  
pp. 1-14
Author(s):  
JYOTI PANDEY ◽  
VINAY KANDPAL ◽  
NEERAJ NAUTIYAL
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Event Window ◽  
Stock Split ◽  
Secondary Information ◽  
The Impact

A stock split is when a company’s outstanding shares are divided into multiple shares by issuing more shares to current shareholders without eroding their stake’s value. The company typically takes these actions to increase liquidity and marketability, lower stock prices, attract new investors and so on. The purpose of this study is to examine the impact of stock splits on the stock returns during the study period. Companies listed on the Bombay Stock Exchange (BSE) and those included in the S&P BSE 500 Index are included in the stock split data. The study period covers 14 years, between 2008 and 2021. Market model event study methodology is being employed to analyze the average abnormal returns (AARs), cumulative abnormal returns (CARs) and cumulative AAR (CAARs) using an event window period consisting of 31 days ([Formula: see text]). The study is largely based on secondary information from the CMIE Prowess IQ Database and the official BSE website. The [Formula: see text]-test, mean and standard deviation were used to investigate the influence of stock split announcements on share prices and the performance of stock splits before and after the announcement. The study found that on ([Formula: see text]), ([Formula: see text]), ([Formula: see text]) and ([Formula: see text]) and on the day of the announcement ([Formula: see text]), the market reacted favorably with significant positive abnormal returns. On ([Formula: see text]) and ([Formula: see text]) days, however, there were significant negative abnormal returns. The null hypothesis is accepted as the CAR for the whole 31-day event window, which is 0.0221, with a [Formula: see text]-statistic of 1.692, which is insignificant.

Impact of Automobile Recalls on Stock Prices: A Study in the Indian Context

2017 ◽  
Vol 19 (2) ◽  
pp. 407-423 ◽  
Author(s):  
Jagandeep Singh
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Product Recalls ◽  
Product Recall ◽  
Event Window ◽  
Indian Context ◽  
Significant Difference ◽  
The Impact

Not so long ago, ‘product recalls’ in the Indian automobile sector were a novelty. The defective vehicles were repaired as part of the after-sales service. In the absence of a strong regulatory framework, the manufacturers were under no obligation to proactively initiate product recalls. The introduction of a voluntary code on product recalls by the Society of Indian Automobile Manufacturers (SIAM) in 2012 and introduction/amendments in the existing legal regimen of the country in recent years have led companies to take more than just baby steps towards product recalls. Product recalls are a case of management failure. There is a need for gauging the impact of this failure on the stock price of the manufacturers, especially in the Indian context where the recall phenomenon is poised to gain further momentum. The event study methodology is a widely used approach to assess the impact of a particular event/announcement on the stock price. This methodology was used in the present study to gauge whether abnormal stock returns accrued to the manufacturers during 13 product recall announcements made in the Indian automobile sector between 1 January 2010 and 31 December 2015. The study found that product recall announcements generated small and statistically insignificant cumulative abnormal returns (CAR) of –0.02 per cent in the (–1, +1) event window, 0.92 per cent in the (–2, +2) event window and 1.70 per cent in the (–5, +5) event window. The study found no substantial or statistically significant difference in the CAR generated during big recalls and small recalls. Furthermore, the study found little evidence that CAR generated during recalls where defective component(s) in the vehicle were repaired is positive as compared to CAR generated when such component(s) were replaced.

The economic consequences of voluntary environmental reporting on shareholder wealth

2006 ◽  
Vol 3 (2) ◽  
pp. 1 ◽  
Author(s):  
Ruslaina Yusoff ◽  
Shariful Amran Abd Rahman ◽  
Wan Nazihah Wan Mohamed
Keyword(s):  
Abnormal Return ◽  
Listed Companies ◽  
Shareholder Wealth ◽  
Environmental Information ◽  
Economic Consequences ◽  
Share Price ◽  
Cumulative Abnormal Return ◽  
Environmental Reporting ◽  
Financial Report ◽  
Significant Difference

This study was carried out to examine the economic consequences ofvoluntary environmental reporting on shareholders' wealth among Malaysian Listed Companies that voluntarily disclosed environmental information in their financial report. One hundred andfifty two (152) companies of Bursa Malaysia (MSE) had been identified as a sample in the current study. Seventy six (76) companies were classified as environmental reporting companies while the remaining companies were classified as non-environmental reporting companies. The classification was done in order to determine the differences between share price, profitability and market equity for both types of companies. The study hypothesizes that voluntary environmental reporting leads to an improvement in the shareholders wealth. However, the results show that there is no significant difference between cumulative abnormal return for environmental and non-environmental reporting companies. Based on the results obtained, it can also be concluded that profitability and size of the companies do not have any significant roles in deciding whether or not to produce environmental reporting companies.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

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