scholarly journals Examining The Market Reactions To Regulatory Accounting Events

2011 ◽  
Vol 9 (3) ◽  
pp. 36
Author(s):  
Amin Haddad ◽  
Ike Mathur ◽  
Nanda Rangan ◽  
Suresh Tadisina
Keyword(s):  
Event Study ◽  
Accounting Standards ◽  
Market Model ◽  
Proper Treatment ◽  
Estimation Model ◽  
Market Reactions ◽  
Setting Process ◽  
Study Methodology ◽  
Policy Setting ◽  
Event Study Methodology

Evaluation of market reaction to regulatory accounting events such as the accounting standards policy setting process has commonly utilized event study methodology. However, this methodology quite often has resulted in inconsistent and conflicting findings due to partial anticipation of the events being examined and due to nonstationarity of the parameters in the estimation model. A multi-regime market model based methodology that allows for the proper treatment of these problems is proposed and is illustrated with an application in the policy setting process for SFAS No. 8.

scholarly journals Impact of Smoking Ban Fatwa on Indonesian Tobacco’s Company

2013 ◽  
Vol 2 (2) ◽  
pp. 76-86
Author(s):  
Gatot Soepriyanto ◽  
Paulina Santoso
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Tobacco Consumption ◽  
Share Price ◽  
Market Model ◽  
Smoking Ban ◽  
Muslim Population ◽  
Stock Market Return ◽  
Study Methodology ◽  
Event Study Methodology

The objective of this study is to assess the share price reactions to smoking ban fatwa on Indonesia tobacco’s company. We expect that the smoking ban fatwa in the world’s largest Muslim population will hit the tobaccos industry revenues, lower tobacco’s company profit and eventually affect the share price of those firms. We use event study methodology and standard market model to calculate abnormal returns of the tobacco’s firms related to the news of smoking ban fatwa. Our study failed to find a statistically significant effect of smoking ban fatwa on tobacco’s firm stock market return. It suggests that the investors do not see the fatwa as a factor that may control the tobacco consumption in Indonesia – thus it may not affect the tobacco’s firm revenues and profit in the future

Pyro terrorism in Greece? Greek forest fires August 2007 and the impact on Greek banks stocks

2018 ◽  
Vol 21 (2) ◽  
pp. 163-170 ◽  
Author(s):  
Spyridon Repousis
Keyword(s):  
Event Study ◽  
Forest Fires ◽  
Banking System ◽  
Market Model ◽  
Terrorist Attacks ◽  
Content Type ◽  
Study Methodology ◽  
Greek Banks ◽  
The Impact ◽  
Event Study Methodology

Purpose The purpose of this paper is to examine Greek forest fires in August 2007 and statements about terrorism (pyro-terrorism) and the impact on Greek banks stocks. Design/methodology/approach Event study methodology and market model is used in this paper and data of all Greek bank stocks prices listed in Athens Stock Exchange are analysed, before and after 17 August 2007, which is when forest fires took place in Greece. Findings Total number of burned acres during a seven-year period, 2000-2006, was 2,530,883, and during only August 2007, burned acres accounted to 2,059,615. The former Minister for Public Order, Vyron Polydoras, stated the fires may be a result of terrorist attacks, as many of the fires started simultaneously and in places where an arsonist could not be seen. The Minister also stated that the country is facing an asymmetric threat, a military term used for terrorist attacks. The findings of event study methodology and market model show that CAARs were slightly negative but not statistically significant and during event date, and average abnormal return (AAR) was slightly positive at 0.0273 per cent. The event caused no influence on the stock market. Practical implications Results are important for banking system, compliance and regulatory authorities, justice system and politicians. Originality/value The impact of Greek forest fires in August 2007 on Greek banks stocks has not been examined so far.

scholarly journals Will Investors Profit By Following The Stock Recommendations Published In Barrons?

2011 ◽  
Vol 4 (3) ◽  
Author(s):  
Francis Cai ◽  
LianZan Xu
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Recommendations ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Barron's is a weekly financial magazine published by Dow Jones. It’s considered America's premier financial weekly. Every week, Barron’s magazine will include a section “Research Reports,” which contains the analysts’ recommendations. Using event study methodology and market model as a benchmark, we calculate abnormal returns to ascertain the impact of the recommendations published in the Research Reports. We find that there are no statistically significant long-term abnormal returns associated with the published recommendations in Barron’s.

Stock market reactions to voluntary integrated reporting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yuzuka Nakajima ◽  
Yushi Inaba
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Integrated Reporting ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Stock Market Reactions ◽  
Voluntary Adoption ◽  
Event Study Methodology

Purpose This study aims to examine the impact of voluntary adoption of integrated reporting on the stock prices of firms in Japan. Design/methodology/approach The event study methodology was used to analyze the stock market reactions to voluntary integrated report (IR) publication. Abnormal returns were estimated for 1,602 observations of 490 firms publishing IRs in Japan using the market model. The t-test, the Boehmer et al., 1991 test and the generalized sign test examined the significance of the cumulative average abnormal returns (CAARs). Findings The study reveals that the stock market reacts positively to voluntary IR publication by firms, especially in 2019 and 2015. Additionally, it reveals a tendency for higher CAARs around IR publication dates than around corporate social responsibility report publication dates, especially in 2016 and 2015. Research limitations/implications The limitations of this study include the possibility of self-selection bias and omitted variable bias. Practical implications This study suggests that firms can earn higher abnormal returns in the stock market through environmental, social and governance (ESG) disclosure in IRs, corroborating the recently rising investor interest in voluntary integrated reporting in Japan. Originality/value This study contributes to the literature on the value relevance of voluntary adoption of integrated reporting by providing evidence of firms achieving significantly positive abnormal returns around voluntary IR publication dates. There is no published analysis on this topic using multitudes of sample firms using the event study methodology.

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.

Market reactions to the inclusion of people with disabilities

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.

Information Content of Dividends: Evidence from Istanbul

2010 ◽  
Vol 3 (3) ◽  
pp. 126 ◽  
Author(s):  
Ayse Altiok-Yilmaz ◽  
Elif Akben Selcuk
Keyword(s):  
Information Content ◽  
Event Study ◽  
Stock Exchange ◽  
Information Leakage ◽  
Istanbul Stock Exchange ◽  
Event Information ◽  
Study Methodology ◽  
Dividend Increases ◽  
Signaling Hypothesis ◽  
Event Study Methodology

This study investigates the market reaction to dividend change announcements at the Istanbul Stock Exchange. A sample of 184 announcements made by 46 companies during the period 2005 to 2008 is analyzed by using the event study methodology. The results suggest that the market reacts positively to dividend increases, negatively to dividend decreases and does not react when dividends are not changed, consistent with the signaling hypothesis. Also, the results show pre-event information leakage for the decreasing dividends sample.

scholarly journals Is the market swayed by press releases on corporate governance? Event study on the Eurostoxx banks

2018 ◽  
Vol 15 (3) ◽  
pp. 23-31 ◽  
Author(s):  
Marina Brogi ◽  
Valentina Lagasio
Keyword(s):  
Corporate Governance ◽  
Event Study ◽  
Stock Prices ◽  
Investment Decisions ◽  
Press Releases ◽  
European Banks ◽  
Study Methodology ◽  
The Impact ◽  
Governance Disclosure ◽  
Event Study Methodology

Are press releases on Corporate Governance price sensitive? What is the impact of Corporate Governance information on stock prices of banks? This paper addresses these questions by applying an event study methodology on 70 press releases published by the Euro area banks listed on the Eurostoxx banks Index, from 2007 to 2016. Systemic shocks are explored as well idiosyncratic ones. Our results show that investment decisions are significantly but negatively influenced by the disclosure of a press release on corporate governance as if this kind of news leads investors to perceive the banks’ prospects negatively. The best of our knowledge this is the first paper that investigates European banks press releases on corporate governance. Findings are relevant for banks’ management and their disclosure policy. Nonetheless, further research is needed to investigate differences and similarities between an area of governance disclosure and another.

scholarly journals Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (17) ◽  
pp. 2077
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Stock Markets ◽  
Trading Strategies ◽  
Eastern European ◽  
Negative Effects ◽  
Market Reactions ◽  
Study Approach ◽  
Study Methodology ◽  
Stock Market Reactions

This research deals with stock market reactions of Central Eastern and South Eastern European (CESEE) markets to the COVID-19 pandemic, via the event study methodology approach. Since the stock markets react quickly to certain announcements, the used methodology is appropriate to evaluate how the aforementioned markets reacted to certain events. The purpose of this research was to evaluate possibilities of obtaining profits on the stock markets during great turbulences, when a majority of the participants panic. More specifically, the contrarian trading strategies are observed if they can obtain gains, although a majority of the markets suffer great losses during pandemic shocks. The contributions to the existing literature of this research are as follows. Firstly, empirical research on CESEE stock markets regarding other relevant topics is still scarce and should be explored more. Secondly, the event study approach of COVID-19 effects utilized in this study has (to the knowledge of the author) not yet been explored on the aforementioned markets. Thirdly, based on the results of CESEE market reactions to specific announcements regarding COVID-19, a simulation of simple trading strategies will be made in order to estimate whether some investors could have profited in certain periods. The results of the study indicate promising results in terms of exploiting other investors’ panicking during the greatest decline of stock market indices. Namely, the initial results, as expected, indicate strong negative effects of specific COVID-19 announcements on the selected stock markets. Secondly, the obtained information was shown to be useful for contrarian strategy in order to exploit great dips in the stock market indices values.

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