scholarly journals The Impact of Scandalous News in the Automobile Manufacture on Companies from the Same Industry: A Comparative Study on the Chinese and European Markets

2021 ◽  
Vol 17 (23) ◽  
pp. 67
Author(s):  
Anastasia Mews
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Abnormal Returns ◽  
Spillover Effects ◽  
Control Group ◽  
Sales Growth ◽  
Chinese Market ◽  
Cumulative Abnormal Returns ◽  
Before And After ◽  
The Impact

This paper examines the effect of scandalous news on corporate reputation of rival firms from the same industry and investigates the effects’ differences in China and in Europe, providing evidence that scandalous news influences not only the target company itself, but also other companies from the industry. For this purpose, the paper uses the 2015 Volkswagen emissions scandal as a natural experiment. Volkswagen, BMW, Mercedes-Benz, Audi and Porsche were selected as sample companies. To measure reputational spillover effects, cumulative abnormal stock returns and sales growth of the sample companies are calculated and compared before and after the announcement of the scandal. The methodology adopted for estimating stock returns is the event study method, which measures the impact of a specific event on the value of a firm. Stock price data is collected from Bloomberg and used to calculate cumulative abnormal returns of the sample companies. Furthermore, difference-in-differences estimation is used to compare the sample companies’ sales growth before and after the scandal. Volkswagen, Audi, BMW and Mercedes-Benz are included in the treatment group, whereas 29 non-German car manufacturers were selected as the control group. The results show that overall rival companies were affected by the scandal, cumulative abnormal returns declined by 6% and 10% for BMW and Mercedes-Benz respectively, showing the contagion effect. However, the sales growths of these two manufacturers greatly increased, specifically on the Chinese market for Mercedes-Benz and on the European market for BMW, proving dominance of the competitive effect and differences of the reputational spillover effects across countries.

Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

2021 ◽  
pp. 097226292110225
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Returns ◽  
Financial Institutions ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Low Carbon ◽  
Bond Issue ◽  
The Government ◽  
The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES

2020 ◽  
Vol 15 (01) ◽  
pp. 2050002
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Market Model ◽  
Conditional Volatility ◽  
Short Term ◽  
Price Increases ◽  
Cumulative Abnormal Returns ◽  
Price Reversal

The study explores the correlation between the immediate and the longer-term stock returns following large daily price moves. Following the previous literature, which documents a tendency for price reversals after initial large price moves, I suggest that if a large stock price move is immediately followed by a short-term price drift, then it may indicate that the company-specific shock is more completely incorporated in the stock price, significantly increasing the probability of subsequent longer-term price reversal. Analyzing a vast sample of large stock price moves, I document that negative (positive) longer-term stock price reversals after large price increases (decreases) are significantly more pronounced if the latter are immediately followed by relatively high (low) short-term cumulative abnormal returns, that is, by short-term price drifts. The effect remains significant after accounting for additional company-specific (size, market model beta, historical, or conditional volatility) and event-specific (stock’s return and trading volume on the event day) factors.

scholarly journals The Role of Monetary Policy Announcements on Turkish Banks' Stock Returns

2016 ◽  
Vol 6 (1) ◽  
pp. 63-69
Author(s):  
Nida Abdioğlu ◽  
Sinan Aytekin
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Cumulative Abnormal Returns ◽  
Monetary Policy Committee ◽  
The Republic ◽  
The Impact ◽  
Republic Of Turkey

This paper investigates the impact of monetary policy committee decisions of the Central Bank of the Republic of Turkey on the stock returns of the deposit banks listed in Borsa Istanbul Banks Index (XBANK). The cumulative abnormal returns of the banks are calculated for 2008 and 2012. We report that the monetary policy announcements affect cumulative abnormal returns of the deposits banks both in 2008 and 2012. Since the announcement of the monetary policy decisions created abnormal returns, we conclude that the market does not have semi-strong form efficiency.

The influence of title sponsorships in sports events on stock price returns

2015 ◽  
Vol 16 (2) ◽  
pp. 37-56 ◽  
Author(s):  
Masaki Kudo ◽  
Yong Jae Ko ◽  
Matthew Walker ◽  
Daniel P Connaughton
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Study Analysis ◽  
Sports Events ◽  
Price Increases ◽  
Event Date ◽  
The Impact

The purpose of this study was to examine stock price abnormal returns following title sponsorship announcement and event date of NASCAR, the PGA Tour, and the LPGA Tour. For this purpose, the authors used event study analysis where the analysis measures the impact that a specific event has on stock prices by comparing actual stock returns to estimated returns (Spais & Filis, 2008). An event study analysis demonstrated that title sponsors for the LPGA Tour and NASCAR garnered significant stock price increases on both the announcement date and the event date. The moderator tests suggested that high image congruence and high-technology related sponsorships assumed a key role in stock price increases.

scholarly journals Stock price reactions to information about top managers

2021 ◽  
Vol 16 (2) ◽  
pp. 159-169
Author(s):  
Lai Cao Mai Phuong
Keyword(s):  
Board Of Directors ◽  
Stock Price ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Chief Executive ◽  
Share Prices ◽  
Cumulative Abnormal Returns ◽  
Top Managers ◽  
The Board Of Directors ◽  
The Impact

This article uses an event study to investigate the response of a bank’s stock price to information related to these banks’ top managers. In the first event, the Vice Chairman of the founding board of Asia Commercial Bank (ACB) was arrested and the Chief Executive Officer (CEO) of this bank was summoned by the police for questioning. The second event related to the immediate resignation of the Chairman of the Board of Directors of Sacombank (STB) after he received a summons from the investigating police agency. Both of these events happened in Vietnam. The research results showed that unanticipated events (the first event) caused the share prices of both banks to react more strongly, and the impact time was longer than the second event. The first event resulted in the cumulative abnormal returns of ACB and STB being –23.6% and –9.1%. The second event has been found to be directly related to STB, but does not significantly affect this stock, but has a significant effect on the abnormal return of ACB (AR (1) = –4.6%). Asymmetric information, inattention and investor fear of event-related losses may explain this phenomenon.

Dividend Initiations by High-Tech Firms

2008 ◽  
Vol 11 (02) ◽  
pp. 201-226 ◽  
Author(s):  
Michael Lacina ◽  
Zhaohui Zhang
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
High Tech ◽  
Cumulative Abnormal Returns ◽  
Dividend Initiations ◽  
Volume Reaction ◽  
Abnormal Trading Volume ◽  
Investor Reaction

We study the stock price and trading volume reactions to dividend initiations by high-tech firms relative to those by non-high tech firms. We find significant positive cumulative abnormal returns and abnormal trading volume for both high-tech and non-high tech firms surrounding dividend initiations. However, when we control for variables such as size and dividend yield, stock returns and trading volume around dividend initiations are higher for high-tech firms than for non-high tech firms. We also find evidence that stock returns and trading volume for high-tech firms are higher with increases in liquid assets, although the volume reaction to increases in liquid assets is stronger than the return reaction, perhaps indicating clientele shifts. Overall, our findings convey stronger investor reaction to dividend initiations by high-tech firms, especially those with sufficient liquid assets.

scholarly journals The Relationship between Technology Life Cycle and Korean Stock Market Performance

2018 ◽  
Vol 6 (4) ◽  
pp. 88
Author(s):  
BokHyun Lee
Keyword(s):  
Life Cycle ◽  
Augmented Reality ◽  
Stock Returns ◽  
Stock Price ◽  
Abnormal Returns ◽  
Cumulative Abnormal Returns ◽  
Stock Market Performance ◽  
Technology Life Cycle ◽  
The Relationship ◽  
A Company

Through the three industrial revolutions, technology has enabled rapid changes in society. In a capitalist society, capital is invested where there is utility, for example, economic benefit. We intend to determine that the stock price of a company that uses a particular technology will change with the life cycle of the technology in question. Specifically, we filtered companies that mainly deal with augmented reality and are listed in Korea’s KOSDAQ market. We grouped these companies based on detailed technologies that constitute augmented reality. We used the event study method to calculate the stock returns against a benchmark. As a result, in the “Peak of Inflated Expectations” stage, the portfolios of all companies using augmented reality generally show higher returns than the benchmark. However, it is difficult to ascertain whether a return generated based on one of the detailed technologies that make up augmented reality is higher or lower than that of the benchmark. During the “Trough of Disillusionment” phase, there was neither a consistent trend of cumulative abnormal returns (CAR) nor buy-and-hold abnormal returns (BHAR). However, during this stage, there was a positive correlation of average BHAR and average abnormal returns between the entire sample’s portfolio and each detailed technology firm’s portfolio.

scholarly journals Analisis Dampak Shut Down US Goverment Tahun 2018 Pada Bursa Efek Indonesia

2020 ◽  
Vol 13 (1) ◽  
pp. 1-11
Author(s):  
Choirun Nisful Laili
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Paired Sample ◽  
Cumulative Abnormal Returns ◽  
The Us ◽  
Us Government ◽  
Before And After

The purpose of this study was to determine the differences in returns, abnormal returns, and cumulative abnormal returns of shares before and after the US govermet 2018 shut down event. The object of research is companies that belong to the LQ-45 stock group on the Indonesia Stock Exchange. Research uses the type of event study. The results of the study using paired sample t-tests showed no differences in stock returns and abnormal returns for periods before and after the 2018 US government shut down event. For cumulative abnormal returns before and after the 2018 US government shut down event, differences were found.

Is Indonesia Stock Exchange Semi-Strong Form Efficiency?

2020 ◽  
Vol 24 (2) ◽  
pp. 313
Author(s):  
Nelmida .
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Sampling Technique ◽  
Strong Form ◽  
Cumulative Abnormal Returns ◽  
Announcement Date ◽  
Analysis Technique ◽  
Before And After

This study aims to analyze the effect of the announcement of warrant listing on the stock price movement on the Indonesia Stock Exchange (IDX). The data used in this study is secondary data on companies that warrant listing from 2011 to 2018. The number of samples used is 10 with a purposive sampling technique. The analysis technique used in this study is the study of events, by using ten windows before and after the warrant listing. To prove the hypothesis proposed by conducting a t-statistic test. Based on the results of the analysis it was found that there were significant differences an abnormal returns and cumulative abnormal returns before and after the announcement date of the warrant listing on the Indonesia Stock Exchange, and it could be indicated that the Indonesia Stock Exchange was called the semi-strong form efficiency.

Differences of Opinion and Price Reversals: Evidence from the Taiwan Stock Exchange

2015 ◽  
Vol 18 (03) ◽  
pp. 1550015 ◽  
Author(s):  
Chu-Chun Cheng ◽  
Yen-Sheng Huang
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Taiwan Stock Exchange ◽  
Holding Period ◽  
Cumulative Abnormal Returns ◽  
Common Stocks ◽  
Differences Of Opinion ◽  
One Year ◽  
The Impact

This paper examines the impact of differences of opinion (DIFOPN) on long-term price reversals using all of the common stocks listed on the Taiwan Stock Exchange over the period of 1990–2008. We choose winners and losers ranked by their cumulative abnormal returns (CARs) over the three-year formation period. The performance of the winners and losers is evaluated over the subsequent one-year holding periods. The empirical results indicate that DIFOPN are generally positively related to price reversals in the holding period for both winners and losers. When DIFOPN are measured by the financial analysts' forecasts of earnings per share and by the standard deviation of stock returns, the association between DIFOPN and price reversals is significantly different from zero. This relationship is robust when such control variables as market-to-book ratios, size, and beta are included.

Sign in / Sign up

Export Citation Format

Share Document