Testing Market Reaction On Stock Market Delisting In Russia

This paper expands the available information on the effects of delisting in Russia, and represents a rare empirical analysis of the impact of external events on securities prices in this major global market. We seek to evaluate how stock prices of competing companies fluctuate around the dates of stock market delisting announcements and completion. We analyse stock prices as correlated with company delisting events from 2004 to 2019 on 552 companies on the Russian MOEX Exchange. The event study methodology is used to evaluate the abnormal returns of rival companies close to relevant delisting dates. These data were checked for statistical significance using the standardised Patell residual test. The results indicate a significant competitive effect on stock prices both on the dates of delisting announcement and on completion, with more significant returns close to announcement dates. These effects were found to influence the prospects not just of individual groups of companies, but of all market participants. We may conclude from our results that delisting is not an event limited in effect to only one company, but impacts the industry as a whole, temporarily changing its value. As such, it will interest both shareholders and managers of public companies, and any participants of industries in which delisting occurs.

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The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market

International Journal of Environmental Research and Public Health ◽

10.3390/ijerph18041398 ◽

2021 ◽

Vol 18 (4) ◽

pp. 1398

Author(s):

Kuo-Jung Lee ◽

Su-Lien Lu

Keyword(s):

Stock Market ◽

Stock Prices ◽

Stock Price ◽

Abnormal Returns ◽

Recovery Phase ◽

Socially Responsible ◽

Cumulative Impact ◽

Study Approach ◽

Price Performance ◽

The Impact

This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by CommonWealth magazine to classify the listed companies in Taiwan as CSR and non-CSR companies. The event study approach is applied to examine the change in the stock prices of CSR companies after the first COVID-19 outbreak in Taiwan. The empirical results indicate that the stock prices of all companies generated significantly negative abnormal returns and negative cumulative abnormal returns after the outbreak. Compared with all companies and with non-CSR companies, CSR companies were less affected by the outbreak; their stock prices were relatively resistant to the fall and they recovered faster. In addition, the cumulative impact of the COVID-19 on the stock prices of CSR companies is smaller than that of non-CSR companies on both short- and long-term bases. However, the stock price performance of non-CSR companies was not weaker than that of CSR companies during times when the impact of the pandemic was lower or during the price recovery phase.

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Market reactions to the inclusion of people with disabilities

Equality Diversity and Inclusion An International Journal ◽

10.1108/edi-01-2021-0025 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Claudia Araceli Hernández González

Keyword(s):

Event Study ◽

Stock Prices ◽

Stock Price ◽

Abnormal Returns ◽

People With Disabilities ◽

Market Reactions ◽

Content Type ◽

Study Methodology ◽

Research Advance ◽

The Impact

PurposeThis study aims to provide evidence of market reactions to organizations' inclusion of people with disabilities. Cases from financial journals in 1989–2014 were used to analyze the impact of actions taken by organizations to include or discriminate people with disabilities in terms of the companies' stock prices.Design/methodology/approachThis research is conducted as an event study where the disclosure of information on an organization's actions toward people with disabilities is expected to impact the organization's stock price. The window of the event was set as (−1, +1) days. Stock prices were analyzed to detect abnormal returns during this period.FindingsResults support the hypotheses that investors value inclusion and reject discrimination. Furthermore, the impact of negative actions is immediate, whereas the impact of positive actions requires at least an additional day to influence the firm's stock price. Some differences among the categories were found; for instance, employment and customer events were significantly more important to a firm's stock price than philanthropic actions. It was observed that philanthropic events produce negative abnormal returns on average.Originality/valueThe event study methodology provides a different perspective to practices in organizations regarding people with disabilities. Moreover, the findings in this research advance the literature by highlighting that organizations should consider policies and practices that include people with disabilities.

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Impacto dos Ratings de crédito nas ações de empresas de capital aberto no Brasil

RACE - Revista de Administração Contabilidade e Economia ◽

10.18593/race.v16i2.10556 ◽

2017 ◽

Vol 16 (2) ◽

pp. 573-602

Author(s):

Rafaela Augusta Cunha Silveira ◽

Renata Turola Takamatsu ◽

Bruna Camargos Avelino

Keyword(s):

Stock Prices ◽

Credit Rating ◽

Stock Exchange ◽

Abnormal Returns ◽

Final Analysis ◽

Share Prices ◽

New Information ◽

Agency Issues ◽

Study Methodology ◽

The Impact

Resumo O rating de crédito expressa uma opinião, por intermédio de escalas, sobre a qualidade do crédito de empresas, utilizado-a como medida de avaliação de risco no mercado. Agências de classificação de risco de crédito, como a Moody’s, divulgam os ratings que atribuem às empresas. Primeiramente, essas agências emitem o new rating, que representa o primeiro rating da companhia, e, posteriormente, essa emissão pode apresentar variações, denominadas upgrades e downgrades, relativas a boas e más notícias, respectivamente. Além disso, os ratings podem ser colocados em uma Watchlist quando, em breve, pode haver uma mudança do rating para downgrade ou para upgrade. O objetivo com este estudo consistiu, diante do que foi tratado, em abordar o impacto do rating de crédito sobre os preços das ações de empresas listadas na bolsa de valores brasileira. Para alcançar o objetivo proposto, foi analisada uma amostra de 44 empresas comercializadas na BM&FBovespa e 65 ratings nacionais de longo prazo emitidos pela Moody’s entre 2000 e 2015. Utilizou-se a metodologia de estudo de eventos, com os retornos normais calculados pelo modelo de retornos ajustados ao risco e ao mercado, e o Teste-F e o Teste-T para verificar a significância dos resultados. As análises finais evidenciaram que os preços das ações não são afetados de forma significativa pelas divulgações dos new ratings, downgrades, upgrades, on watch – possible downgrades e on watch – possible upgrades em nenhuma janela do evento, indicando que os ratings, para a amostra analisada, não trazem novas informações ao mercado.Palavras-chave: Ações. Rating. Estudo de eventos. Retornos anormais. Abstract Credit ratings are used as a mean to investors get new information on the companies by reducing the information asymmetry in the market. Thus, the rating is an important mean of business information with investors, enabling share prices relating to companies react to it. Branches of credit rating as Moody's, disclose the ratings they assign to companies. First, the agency issues the new rating, which represents the company's first rating, then this issue may vary, upgrades and downgrades calls relating to good and bad news respectively. In addition, the ratings could be placed in a Watchlist when, soon there may be a change to the rating downgrade or upgrade. The purpose of this study was to discuss the impact that the credit rating has on stock prices of companies listed on the Brazilian stock exchange. For a sample of 44 companies traded on BM&FBovespa and 65 long-term national ratings issued by Moody's between 2000 and 2015, we used the event study methodology, with normal returns calculated by the model of returns adjusted for risk and market the F-Test and T-Test to test the significance of the results. The final analysis showed that stock prices are not significantly affected by the disclosures of new ratings, downgrades, upgrades, on watch – possible downgrades and on watch – possible upgrades in any event window, indicating that the ratings do not bring new information to the market.Keywords: Stocks. Rating. Event studies. Abnormal returns.

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Event study methodology in M&A research

Digest Finance ◽

10.24891/10.24891/df.26.1.4 ◽

2021 ◽

Vol 26 (1) ◽

pp. 4-25

Author(s):

Veronika S. VINOGRADOVA

Keyword(s):

Mergers And Acquisitions ◽

Stock Prices ◽

Statistical Significance ◽

Abnormal Returns ◽

Financial Statement ◽

Event Analysis ◽

Analysis Method ◽

Basic Principles ◽

Study Methodology ◽

Modern Work

Subject. The article presents the basic principles of the event research methodology, which is one of the most popular empirical tools in corporate finance, and mergers and acquisitions. Objectives. The article introduces the main methodologies for calculating expected and abnormal returns, the main approaches for testing abnormal returns and measuring the statistical significance of the results, and it also notes the advantages and limitations of the methodology. Methods. Based on a content analysis of the top classical works in event analysis, the main algorithm and research approaches of the method are presented. The basic concept has been expanded taking into account the results of modern work aimed at improving the methodology. The applicability of the method and its relevance were verified based on the analysis of spotlight publications for 2015–2020. Results. The article provides a review of the latest developments in M&A research. It highlights the main modern trends in the application of the event analysis method. The methodology is shown to be easy to use, with market data used for analysis available in major financial databases. This allows for empirical research with a large sample of securities. In addition, stock prices reflect the direct expectations of investors and best reflect the value created by the event when compared to financial statement analyses that are often misstated. Conclusions and Relevance. It is concluded that the event analysis method remains the key methodology in the field of mergers and acquisitions and is actively used by researchers. Improved econometric approaches allow for increased statistical significance and more accurate results.

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Do Chinese Stock Markets React To The Newspaper Recommendations?

Journal of Business & Economics Research (JBER) ◽

10.19030/jber.v1i3.2983 ◽

2011 ◽

Vol 1 (3) ◽

Author(s):

Francis Cai ◽

Lianzan Xu ◽

C.K. Leung ◽

Huifang Cheng

Keyword(s):

Stock Prices ◽

Stock Markets ◽

Abnormal Returns ◽

Strong Form ◽

Market Model ◽

Delayed Response ◽

Chinese Business ◽

Study Methodology ◽

Chinese Stock Markets ◽

The Impact

This paper studies how the stock prices in Chinese stock markets react to the stock recommendations from a Chinese business newspaper Zhong Guo Zheng Quan Bao (China Security). Using event study methodology and market model as a benchmark, we calculate abnormal returns to ascertain the impact of published recommendations. We find that there are no statistically significant long-term abnormal returns associated with the published recommendations. However, there are profitable opportunities if investors act prior to the published recommendations. We also find that the recommendations from the newspaper causes a significant short term movement two days after the publication day, suggesting a delayed response from the investors who act on the recommendation. The delayed response shows the gradual dissemination of the information in Chinese stock markets. In summary, these results indicate that press recommendations of Chinese stocks contain no useful economic information for investors who act on the published recommendations. The possible abnormal returns for investors who buy the stocks before the recommendations are made public are evidence of a market that is strong-form inefficient and the delayed response from investors to the newspaper recommendations is most likely the evidence of a market that is semi-strong-form inefficient.

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Event study methodology in M&A research

Digest Finance ◽

10.24891/df.26.1.4 ◽

2021 ◽

Vol 26 (1) ◽

pp. 4-25

Author(s):

Veronika S. VINOGRADOVA

Keyword(s):

Mergers And Acquisitions ◽

Stock Prices ◽

Statistical Significance ◽

Abnormal Returns ◽

Financial Statement ◽

Event Analysis ◽

Analysis Method ◽

Basic Principles ◽

Study Methodology ◽

Modern Work

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THE IMPACT OF DIVIDEND ANNOUNCEMENT ON STOCK RETURNS AMONG THE TEN TOP COMPANIES IN PAKISTAN

Malaysian Management Journal ◽

10.32890/mmj.23.2019.9684 ◽

2020 ◽

Author(s):

Zubair Tanveer ◽

Muhammad Zul Azri Muhammad Jamil

Keyword(s):

Stock Returns ◽

Insider Trading ◽

Stock Prices ◽

Stock Exchange ◽

Abnormal Returns ◽

Market Abuse ◽

Study Methodology ◽

The Impact ◽

The Relationship ◽

The Empirical Analysis

The study tested the response of stock prices around the dividend declaration dates in Pakistan stock exchange. It estimated the data of 1110 dividends announced by 91 firms of the highest ten active sectors of Pakistan Stock Exchange. To empirically investigate the relationship between stock returns and dividend announcement, the panel regression was employed by creating dummy variables for 61 days around the dividend declaration dates. Cumulative average abnormal returns and average abnormal returns were also stimated around the events with the help of event study methodology. Outcomes of the empirical analysis revealed strong evidence of market abuse in the term of insider trading and supported the argument of the information content hypothesis and semistrong form of efficient market. Moreover, the study also found a robust impact of the probable ex-dividend date. The study recommended that it is a responsibility of stock exchange regulatory authorities, whistleblowers, registered companies, and the investors collectively to detect and punish this white-collar financial crime.

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Baggage Fees and Airline Stock Performance: A Case Study of Initial Investor Misperception

Journal of the Transportation Research Forum ◽

10.5399/osu/jtrf.51.1.2796 ◽

2012 ◽

Vol 51 (1) ◽

Cited By ~ 4

Author(s):

Gerhard J. Barone ◽

Kevin E. Henrickson ◽

Annie Voy

Keyword(s):

Financial Performance ◽

Event Study ◽

Stock Prices ◽

Abnormal Returns ◽

Stock Performance ◽

Study Methodology ◽

The Impact ◽

Fuel Costs ◽

Event Study Methodology

In response to increasing fuel costs, airlines began introducing baggage fees as a new source of revenue, fees which have since been increased. In this study, an event study methodology is used to examine the impact of these announcements on airline stock prices. The results indicate that the initial announcements led to negative abnormal returns for the announcing firm and other competing airlines, as they were interpreted as a sign of industry weakness. However, the results also show that subsequent increases in baggage fees, which had been shown to positively impact the airline’s financial performance, are associated with positive abnormal returns.

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DOES ELECTION IMPACT ON STOCK MARKET RETURNS IN BANGLADESH?

Asian Finance & Banking Review ◽

10.46281/asfbr.v5i1.1256 ◽

2021 ◽

pp. 1-18

Keyword(s):

Stock Market ◽

Stock Returns ◽

Abnormal Returns ◽

Descriptive Statistics ◽

Market Returns ◽

Stock Market Returns ◽

Market Participants ◽

Before And After ◽

The Common ◽

The Impact

This paper investigates the impact of parliamentary general election on the stock market returns by considering the previous fifteen days and the after fifteen days of each of six elections in Bangladesh held between 1991 and 2018. The study analyzed the election effect on stock returns through considering both abnormal returns by choosing 20 stocks as a proxy of portfolio motive of the investors and the broad index returns as a measurement of whole market scenario. The study employed descriptive statistics, t-tests, and F-tests to understand the impact of election by gauging the changes in return series. Descriptive statistics showed very high differences in means, standard deviations, and volatilities. Paired t-tests showed significant differences between the means and F-tests showed significant differences between the variances of the returns during before and after days of these elections. The results were the same for abnormal returns and broad index returns. The impacts of individual election on the returns were also found as the same in most cases. The study has found some very useful insights part of which can benefit the policymakers to reform the policies. The common investors and the financial market participants can also make better investment plan.

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Cybercrime in Europe: surprising results of an expensive lapse

Journal of Business Strategy ◽

10.1108/jbs-12-2019-0235 ◽

2020 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Martin Roškot ◽

Isaac Wanasika ◽

Zuzana Kreckova Kroupova

Keyword(s):

Stock Market ◽

Stock Prices ◽

Abnormal Returns ◽

Cyber Attacks ◽

The European Union ◽

Market Returns ◽

Market Reactions ◽

Stock Market Returns ◽

Content Type ◽

The Impact

Purpose The purpose of this paper is to investigate the impact of ransomware cyber-attacks “WannaCry” and “Petya” on stock prices of publicly traded companies in the European Union. The study analyses a set of case studies related to largest recent cybercrime events, which happened in the first half of 2017. The study answers two questions, what is the impact of cybercrime to public companies? How do cybercrime announcements and publications affect stock prices? Design/methodology/approach Using archival financial data, an event study methodology was used to assess the impact of cybercrime activity on market value of European companies affected during WannaCry and Petya ransomware attacks in 2017. Findings The results suggest that announcements of information breaches because of ransomware exploits have impact on stock market returns. There is evidence of positive investors` reactions to the announcements. Specifically, there was little impact of “Wannacry” ransomware attack on market returns. Although stock market reactions differ by the sector, the market was positively affected in general. Our analysis of the impact of the more aggressive “Petya attack,” aimed at destroying affected data found evidence that such information security breach leads to increased market returns. There were significant abnormal returns starting from the third day of the announcement. These findings contradict previous results and the literature related to the impact of cyber-attacks. Originality/value Contrary to previous findings, the results suggest that ransomware attacks lead to positive market returns. However, cybercrime and other types of cyber-attacks pose serious threats whose implications deserve further investigation. Different attacks may have different consequences and could be potentially damaging to a firm’s reputation. Thus, it is necessary for companies to avoid becoming victim of cybercrime. Information systems should be continuously monitored for vulnerabilities.

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