scholarly journals An Assessment Of Event Study Methodologies Using Daily Stock Returns

2011 ◽  
Vol 8 (1) ◽  
pp. 78
Author(s):  
Zabihollah Rezaee ◽  
Phil Malone ◽  
Ghassem Homaifar
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Null Hypothesis ◽  
Stock Price ◽  
Abnormal Return ◽  
Foreign Currency ◽  
Price Reactions ◽  
Stock Price Reactions ◽  
Daily Stock Returns ◽  
Adjusted Residual

This paper examines Multinational Stock Price reactions to foreign currency translation, using three alternative residual methodologies. The results reveal that when a crude measure such as Mean Adjusted Return, which makes not explicit risk adjustments is used, the null hypothesis of zero abnormal return is rejected in three out of six events. However, market and risk adjusted residual returns reveal that the null hypothesis of zero abnormal return cannot be rejected.

scholarly journals Shareholder Wealth Effects of Modern Slavery Regulation

2020 ◽  
Vol 66 (11) ◽  
pp. 5265-5289
Author(s):  
Paul Cousins ◽  
Marie Dutordoir ◽  
Benn Lawson ◽  
João Quariguasi Frota Neto
Keyword(s):  
Supply Chains ◽  
Stock Returns ◽  
Operations Management ◽  
Stock Price ◽  
Shareholder Wealth ◽  
Wealth Effects ◽  
Policy Debate ◽  
Modern Slavery ◽  
Price Reactions ◽  
Stock Price Reactions

We examine the shareholder wealth effects of the adoption of the UK Modern Slavery Act 2015 (MSA). The MSA’s Transparency in Supply Chains clause introduced new reporting requirements mandating certain firms to provide an annual statement outlining how they identify and mitigate modern slavery in their business and supply chain. An event study of stock price reactions of UK firms covered by the MSA to eight events associated with its adoption provides no evidence of abnormal stock returns. We do, however, uncover significant cross-sectional differences in stock price reactions, with results suggesting that the MSA provides a competitive advantage to firms with a demonstrated track record of addressing slavery risk. We find no effects for preregulatory corporate social responsibility disclosure levels on stock price reactions. Our findings highlight the economic value of maintaining socially responsible sourcing practices and inform the current policy debate on the importance of greater transparency in corporate supply chains. This paper was accepted by Gad Allon, operations management.

scholarly journals How Political situation affected Major Stock’s Abnormal Return in Indonesia

2021 ◽  
Vol 3 (1) ◽  
pp. 145-158
Author(s):  
Lufthia Sevriana ◽  
Erie Febrian
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Banking Sector ◽  
Macroeconomic Conditions ◽  
Political Situation ◽  
Event Study Method ◽  
Industrial Materials

This study presents data on abnormal stock return movements with simple calculations. The result of deep analysis using event study method from major stocks in each sector, prove that There is negative response by the market to the student demonstration during the end of September 2019 that create abnormal return condition until it gets back to be normal in the middle of October. The sectors studied include the banking sector, construction, infrastructure, consumer needs, media, industrial materials, machinery, mining, and health care. Stock returns in Indonesia with inefficient market conditions are vulnerable to issues. Capital markets tend to be easily influenced by political and macroeconomic conditions, but even though the condition of return is abnormal, investors still have the potential to get favourable results.  Keywords: Stock market, Market efficiency, Event study, Stock Price, Stock Returns

scholarly journals Capital Market Reaction Against Political Events (Event Study of Demonstration 212 Peaceful Action )

2018 ◽  
Author(s):  
Sri Utami Ady
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Capital Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Share Price ◽  
Stock Trading ◽  
Significant Difference ◽  
Before And After

This study aimed to explain the reaction of the capital market (Event study) 212 demonstrations peaceful protest events against the share price of PT Nippon Indosari Corpindo Tbk on December 2016. The study was conducted at PT Nippon Indosari Corpindo Tbk. As one of the companies affected directly the event. The data used the daily closing stock price data, daily stock trading volume, and the number of outstanding shares obtained from the Indonesia Stock Exchange. By using a t test analysis, there were three hypotheses in this study, namely whether the investor obtain abnormal return to their events (H1), whether there was a difference of abnormal return before and after the event (H2), whether there were differences in the volume of stock trading before and after the event (H3). Results of tests made clear that investors did not earn abnormal return to their peaceful protest demonstration event 212, the results of tests performed also explained that there was no significant difference in abnormal stock returns and trading volume before and after the event. This was because the Indonesian people already familiar with the demonstrations that occurred in the country, so that market participants were more calm in dealing with the situation. The reaction of investors to the event in the Indonesian capital market was quite low indicates the level of efficiency of the Indonesian capital market was still weak

Stock price reactions to brand value announcements: Magnitude and moderators

2015 ◽  
Vol 32 (1) ◽  
pp. 34-47 ◽  
Author(s):  
Marie Dutordoir ◽  
Frank H.M. Verbeeten ◽  
Dominique De Beijer
Keyword(s):  
Stock Price ◽  
Brand Value ◽  
Price Reactions ◽  
Stock Price Reactions

scholarly journals Dividend Policy in Tunisia: A Signalling Approach

2018 ◽  
Vol 10 (4) ◽  
pp. 84 ◽  
Author(s):  
Taleb Lotfi
Keyword(s):  
Information Content ◽  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Dividend Policy ◽  
Signaling Theory ◽  
Supporting Evidence ◽  
Dividend Announcements ◽  
Stock Price Reaction ◽  
Do So

The main objective of this study was to establish the stock price reaction to dividend announcements of firms quoted at the Tunisian Securities exchange (TSE). To do so, we develop a traditional event study. Two robust results emerge: First, when we observe the 196 announcements of dividends between years 1996-2004, the result is inconsistent with signaling theory, as long as, no abnormal return was observed on the announcement day (event period). Second, When the overall sample is divided into three sub-group (dividend increase, dividend-no-change and dividend), we observe a significant and abnormal return about -1.242 percent and -1.697 percent respectively on day D(t0-4) and D(t0+4) around the dividend announcement day (Dt0) only for the sub-group of firms that decreases their dividend. This result corroborates prior research in Tunisian context [Ben Naceur and al. (2006); Guizani and Kouki (2011)] that confirm, by using a different approach, the Lintner’s (1956) conclusions which states that Tunisian’ firms generally tend to avoid a dividend decrease (or cuts) and can constitute a supporting evidence of the dividend information content hypothesis in TSE.

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