scholarly journals Dividend Signalling Hypothesis In Emerging Markets: More Empirical Evidence

2013 ◽  
Vol 29 (2) ◽  
pp. 461 ◽  
Author(s):  
Wasim K. Al-Shattarat ◽  
Muhannad A. Atmeh ◽  
Basiem K. Al-Shattarat
Keyword(s):  
Abnormal Return ◽  
Value Relevance ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Expected Returns ◽  
Cumulative Abnormal Returns ◽  
Positive Abnormal Return ◽  
Study Methodology ◽  
Is Value

The main objective of this study is to examine empirically the signalling theory for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2005 to 2010. The sample consists of 183 observations and 132 observations for dividend release sample and no-dividend release sample, respectively. Event Study Methodology (ESM) is applied to examine the market reaction to dividend release announcements. The market model is used to generate the expected returns. Also, the t-test is used to examine the significance of the mean and cumulative abnormal returns. Results from the dividend release sample shows that there is a significant positive abnormal return on the announcement days. Also, it shows that there is an overreaction straight after the announcement day, then a correcting attempt in the post event and then it goes back to normal, which is consistent with the signalling hypothesis. For the no-dividend release sample, the results show no significant abnormal return on and around the announcement days which is again consistent with the signalling hypothesis. Our results are consistent with Al-Shattarat et al. (2012) suggestions that there could be value relevance for dividends rather than dividends change. Our findings show that there is value relevance for dividends and thus supporting the signalling hypothesis.

Market Reaction To Changes In Dividend Payments Policy In Jordan

2012 ◽  
Vol 28 (6) ◽  
pp. 1193
Author(s):  
Wasim K. Al-Shattarat ◽  
Jamal A. Al-Khasawneh ◽  
Husni K. Al-Shattarat
Keyword(s):  
Market Reaction ◽  
Value Relevance ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Expected Returns ◽  
Dividend Payments ◽  
Adjusted Model ◽  
Model Market ◽  
Non Parametric

The purpose of this paper is to examine empirically the signalling theory for a sample of firms listed at Amman Stock Exchange (ASE) during the period 2001 to 2006. The sample consists of 215 observations. The Event Study Methodology (ESM) is employed to examine the market reaction to dividend change announcements. The nave model is used to classify the sample under four sub samples; Dividend Increase, Dividend Decrease, Dividend No Change and No Dividend No Change. The market model, mean adjusted model, market adjusted model, market model adjusted with Scholes and Williams and market model adjusted with Fowler and Rorke models are used to generate the expected returns. Also, the t-test, ZD test and Corrados non-parametric test are used to examine the significance of the mean and cumulative abnormal returns. Overall, the results show that the market reacts positively to dividend increase, dividend decrease and dividend no change announcements. In addition, the results indicate that there is no significant market reaction to dividend no change sample with zero distributions. This result indicated that there is little value-relevance to dividend change announcements. The interpretation of the positive market reaction is related to dividend release announcements rather than dividend changes. Therefore, there is some support to the signalling hypothesis to dividend release. Furthermore, applying thin trading models and non-parametric tests leads to the same conclusion.

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

scholarly journals PENGUJIAN REAKSI PASAR TERHADAP PERISTIWA MERGER DAN AKUISISI DI BURSA EFEK INDONESIA (BEI)

2017 ◽  
pp. 3325
Author(s):  
Rintohan Malau ◽  
Luh Putu Wiagustini ◽  
Luh Gede Sri Artini
Keyword(s):  
Linear Regression ◽  
Mergers And Acquisitions ◽  
Multiple Linear Regression ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Expected Returns ◽  
Sample Material ◽  
A Company

This study aimed to see whether there abnormal returns around the period of mergers and acquisitions, using a market model and the expected returns of 100 days, as well as using the event period is seven days before and seven days after the announcement of mergers and acquisitions. The sample was a company for mergers and acquisitions in Indonesia Stock Exchange during the years 2013-2015, sampling in this study did not consider the corporate Action others besides mergers and acquisitions alone, so it acquired 30 companies as the sample material, the analysis tools used in this research is multiple linear regression with Level of Singnificance by 5%. The results showed that there were no abnormal returns around the period of the study, so it can be said that there is no market reaction around the announcement of mergers and acquisitions as evidenced by a greater significance than 0.05%. Most likely this is because there is no leakage of information during the period of the study.

scholarly journals An Empirical Analysis for Abnormal Returns from Initial Public Offerings (IPOs): evidence of Iranian oil and chemical industries

2013 ◽  
Vol 3 (1) ◽  
pp. 143 ◽  
Author(s):  
Mahdi Filsaraei ◽  
Alireza Azarberahman ◽  
Jalal Azarberahman
Keyword(s):  
Initial Public Offerings ◽  
Capital Market ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Going Public ◽  
Significance Level ◽  
Public Offerings ◽  
Positive Abnormal Return ◽  
Chemical Companies

Purpose: The core purpose of this paper empirically study of the initial public offerings (IPOs) of companies accepted in oil and chemical industries. The paper attempts to answer the question of is there any abnormal return from IPOs in listed companies in Tehran Stock Exchange (TSE).Design/methodology/approach: This research is an applied research, and its design is empirical, which is done by the method of post-event (past information). For the purpose of the study the t-statistic, regression and variance analyses are applied to examine the hypotheses. We use in the analyses a sample of 29 newly accepted Iranian oil and chemical companies listed on TSE for the period of 2001 to 2012. This paper has studied abnormal return and three abnormal phenomena have been considered in capital market. These phenomena consist: (1) underpricing or overpricing of the firm's stock, (2) lower or higher stock return of the firms and (3) Particular period in market for stock transactions volume.Findings: The results support the hypothesis that there is a positive abnormal return to investing in the newly accepted oil and chemical firms for stockholders. It also shown the firm size is the only factor that can affect the stock abnormal return. With considering significance level, investors have to give attention sequentially to other variables such as stock ownership centralization, going public time and stock offering volume.

EFFECT OF BONUS ISSUE ON STOCK PRICES OF COMPANIES QUOTED AT THE NAIROBI SECURITIES EXCHANGE

2017 ◽  
Vol 2 (1) ◽  
pp. 1
Author(s):  
Patrick Maina Gachuhi ◽  
Cyrus Iraya
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Market Model ◽  
Expected Returns ◽  
Policy Makers ◽  
Study Methodology ◽  
The Difference ◽  
Event Study Methodology

Purpose: The purpose of this study was to determine the effect of bonus issue on stock prices of companies quoted at the Nairobi securities exchangeMethodology: The study adopted an event study methodology since the study was concerned with the establishment of the information content of bonus issue announcement on share performance at the NSE. The population of this study was 61 companies listed in the NSE. A sample size of 10 listed companies was focused on as there were only 10 companies which had issued bonuses between 2009 and 2012. The study used secondary data to gather information. The collected secondary data was coded and entered into Statistical Package for Social Sciences (SPSS, Version 20) for analysisResults: The study findings revealed that there was a drastic incline from year 2009 to year 2010 followed by a slight decrease in abnormal returns in the following years, Abnormal returns present the difference between the actual returns and the expected returns over a certain period of time. Study findings from the market model indicated that the market return is a good predictor of stock returns.  ANOVA results indicated that abnormal returns after bonus issue were significantly higher than abnormal returns before bonus issue. ANOVA results also indicated that actual stock returns were significantly higher after bonus issue than before the bonus issuePolicy recommendation: The study recommends the NSE to establish and enhance policies for investing so as to attract and encourage large institutional and foreign investors to participate at the NSE. The study also recommends that policy makers and regulators at the NSE are encouraged to encourage more research on the NSE form of efficiency; this will provide a forum for investors to get the information on the form of efficiency of the market and boost their confidence when investing at the NSE

scholarly journals The Impact Of Index Migrations On Share Prices: Evidence From The Johannesburg Stock Exchange

2013 ◽  
Vol 29 (6) ◽  
pp. 1861 ◽  
Author(s):  
Ryan Kruger ◽  
Francois Toerien
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
International Studies ◽  
Share Prices ◽  
Johannesburg Stock Exchange ◽  
Demand Curves ◽  
Study Methodology ◽  
Top 40 ◽  
The Impact

<p>This article examines the quantum and persistence of abnormal returns (positive and negative) for shares that entered or left the JSE Top 40 Index during quarterly index rebalancing between 2002 and 2013. Using an event study methodology based on the market model, we find evidence of anticipatory trading for both deletions and additions, which is, however, significant only for the former. These abnormal returns are reversed over our window period, which supports international studies indicating downward sloping share demand curves. Our findings imply informational inefficiencies that investors could use to trade profitably in anticipation of index additions or deletions.</p>

scholarly journals PENGARUH PENGUMUMAN PERUBAHAN PERINGKAT OBLIGASI TERHADAP PERILAKU INVESTOR PADA PERUSAHAAN ASING DAN DOMESTIK

2018 ◽  
Author(s):  
Irdha Yusra
Keyword(s):  
Abnormal Return ◽  
Stock Exchange ◽  
Market Model ◽  
Bond Rating ◽  
Foreign Companies ◽  
Positive Abnormal Return ◽  
Event Date ◽  
Rating Changes ◽  
Different Response ◽  
Domestic Companies

The objective of this research is to examine differences behavior investors to bond rating changes in foreign and domestic companies. The event date is the time when PT Pefindo as a rating agency in Indonesia announce the changes of bond rating during 2002-2011. Event study method is used to analyze investor reaction to bond rating changes announcement. The samples are taken by purposive sampling method and the results are 89 observation, 51 upgrade and 7 downgrade for foreign companies, 15 upgrade and 16 downgrade for domestic companies. Market model used to calculate whether there is any abnormal return. Event windows are 21 days which 10 days before the rating announcement, the day of rating announcement, and 10 days after the rating announcement. The variables is average abnormal return. Generally, the were positive abnormal return at bond rating upgrade announcement and there were negative abnormal return at bond rating downgrade announcement. The result is Indonesian Capital Market, especially Indonesian Stock Exchange significantly react to bond rating upgrade and downgrade, for both categories of foreign and domestic companies. This results indicates that investors react positively to the announcement of the change of bond rating companies foreign and domestic. This research also find different response from investors, where the reaction of investors to changes of bond rating from domestic companies higher than to changes of bond rating from foreign companies

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.

scholarly journals Lombok’s Tsunami and Stock Abnormal Returns

2021 ◽  
Vol 10 (1) ◽  
pp. 1-8
Author(s):  
Ani Wilujeng Suryani ◽  
Karina Dian Pertiwi
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Insurance Companies ◽  
Study Approach ◽  
Cumulative Abnormal Returns ◽  
Tsunami Earthquakes ◽  
Tsunami Earthquake

Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss. Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory

scholarly journals The Color of Government Money. Do Investors Differently Value the Investment of Sovereign Wealth Funds?

e-Finanse ◽  
2017 ◽  
Vol 13 (1) ◽  
pp. 25-34
Author(s):  
Dariusz Urban
Keyword(s):  
Event Study ◽  
Information Disclosure ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
London Stock Exchange ◽  
Sovereign Wealth Funds ◽  
Market Reactions ◽  
Cumulative Abnormal Returns ◽  
Study Methodology ◽  
Event Study Methodology

AbstractThe article aims at pointing out the differences in market reactions regarding the announcement of an investment of selected Sovereign Wealth Funds in companies listed on the London Stock Exchange. The research sample consists of 796 market transactions made by four selected Sovereign Wealth Funds. The author employed event study methodology to calculate the average abnormal returns and cumulative abnormal returns for each fund in subsamples. The empirical findings suggest that investors react differently to the information about a fund’s investment. To the best of the author’s knowledge, the literature does not provide any answer as to how the market reacts to information disclosure of individual funds. Therefore, this paper bridges the gap in the literature within this field.

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