scholarly journals Do Chinese Stock Markets React To The Newspaper Recommendations?

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

<p class="MsoNormal" style="text-justify: inter-ideograph; text-align: justify; margin: 0in 0.5in 0pt; text-autospace: ideograph-numeric; mso-layout-grid-align: auto;"><span style="font-family: &quot;Times New Roman&quot;,&quot;serif&quot;;"><span style="font-size: x-small;">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.</span></span></p>

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.

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

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.

Testing Market Reaction On Stock Market Delisting In Russia

2021 ◽  
Vol 15 (3) ◽  
pp. 14-27
Author(s):  
Елена Моисеевна Рогова ◽  
Maria Belousova
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Global Market ◽  
Public Companies ◽  
Market Participants ◽  
Study Methodology ◽  
Available Information ◽  
The Impact

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.

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>

The stock market’s reaction to accounting information: the cases of Chile and Peru

2016 ◽  
Vol 6 (3) ◽  
pp. 254-268 ◽  
Author(s):  
Mauricio Melgarejo ◽  
Eduardo Montiel ◽  
Luis Sanz
Keyword(s):  
Latin American ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Small Firms ◽  
Accounting Information ◽  
Abnormal Returns ◽  
Earnings Announcement ◽  
Content Type ◽  
The Impact

Purpose – The purpose of this paper is to analyze the stock price and volume reactions around firms’ earnings announcement dates in two Latin American stock markets: Chile and Peru. Design/methodology/approach – This study uses multivariate regression analysis to determine the impact of accounting information on stock prices and volume traded around the firms’ earnings announcement dates. Findings – The authors find that quarterly earnings surprises explain stock abnormal returns and abnormal trading volumes around the earnings announcement dates in the Santiago (Chile) and Lima (Peru) stock exchanges. The authors also find that these two effects are driven by small firms. Originality/value – This is one of the first articles to study the price and volume reactions to accounting information in Latin American stock markets.

scholarly journals Dividends Announcement and Semi Strong Form of Efficiency at The Nairobi Securities Exchange in Kenya

2020 ◽  
Vol 03 (10) ◽  
Author(s):  
Duncan Turere ◽  
◽  
Dr. Tobias Olweny ◽  
Keyword(s):  
Information Content ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Strong Form ◽  
Market Model ◽  
Exchange Market ◽  
Market Prices ◽  
Insurance Sector ◽  
Dividend Announcements ◽  
Agricultural Banking

The objective of this study was to establish the effects of dividend announcement to current market prices at the Nairobi Securities Exchange, with four specific objectives; to determine the information content of dividend announcements, to determine the extent to which prices converge to new values after dividend announcements on a sector by sector basis, to establish the market reaction to announced information and also to establish whether investors can secure excess returns by acting on announced information. A 66 days event timeline was employed from 2005 to 2015 on daily closing stock prices. A sample of 179 dividend announcements from 22 listed companies in 8 sectors were drawn and analysed using an OLS Market Model. Findings of the research conclude that; dividend announcements do have an impact on stock prices for the Agricultural, Banking, Commercial, Construction, Manufacturing and Telecomm Sectors and not for the Energy Sector, Insurance Sector and the Nairobi Securities Exchange Market. It takes more than five days for prices to adjust to their correct values and this makes it possible for market players to profit from the inefficiency by earning abnormal returns. We conclude that the Nairobi Securities Exchange is not semi-strong form efficient.

scholarly journals Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study

2021 ◽  
Vol 18 (2) ◽  
pp. 20-36
Author(s):  
Sanket Ledwani ◽  
Suman Chakraborty ◽  
Sandeep S. Shenoy
Keyword(s):  
Event Study ◽  
Stock Markets ◽  
Human Life ◽  
Abnormal Returns ◽  
Expected Returns ◽  
Observation Window ◽  
Event Window ◽  
Event Date ◽  
Study Methodology ◽  
The Impact

The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.

scholarly journals Stocks Abnormal Returns and Rate of Dividend Announcements

2021 ◽  
Vol 16 (11) ◽  
pp. 33
Author(s):  
Nagendra Marisetty ◽  
M. Suresh Babu
Keyword(s):  
Stock Markets ◽  
Abnormal Returns ◽  
Market Model ◽  
Cash Dividend ◽  
Market Capitalization ◽  
Emerging Stock Markets ◽  
Dividend Announcements ◽  
Developed Stock Markets ◽  
Indian Stock Market ◽  
The Impact

The present research study examined the impact of different dividend rate announcements on stocks prices in the Indian stock market. Stocks selected from S&amp;P BSE 500 index and study period from 2008 &ndash; 2017. The sample used for this study is 1755 pure cash dividend announcements (492 large-caps, 425 mid-caps, and 838 small-caps). Dividend rates are classified into six classifications to test the stocks&#39; abnormal returns to different dividend classifications. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR). The results were observed twenty-one times based on market capitalization and dividend rate wise for a final dividend announcement. The results of the study are not the same for different dividend rate classifications and different market capitalizations. The study found positive abnormal returns on event day in most of the classifications, and it is similar to Litzenberger and Ramaswamy (1982), Asquith and Mullins Jr (1983), Grinblatt, Masulis and Titman (1984), Chen, Nieh, Da Chen, and Tang (2009) and many previous research results studied in major developed stock markets and emerging stock markets. Full sample and small-cap final dividend rate 100 percent to 199 percent average abnormal returns are positively significant, and other final dividend rate classification abnormal returns are positive in most of the observations, but returns are not significant. Large-cap average abnormal returns are more sensitive to different dividend rates, and small-cap reacts positively in all classifications. So, different market capitalization final dividend actions impact on stocks in India varies in different dividend rate classifications.

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.

Sign in / Sign up

Export Citation Format

Share Document