Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985) as reflecting systematic evaluation mistakes caused by investors overreaction to news related to the firm performance. We found evidence of contrarian strategies profitability for horizons from 3 months to 3 years in a sample of stock returns from BOVESPA and SOMA from 1986 to 2000. The strategies are more profitable for shorter horizons. Therefore, there was no trace of the momentum effect found by Jagadeesh and Titman (1993) for the same horizons with US data. There are remaing unexplained positive returns for contrarian strategies after accounting for risk, size, and liquidity. We also found that the strategy profitability is reduced after the Real Plan, which suggests that the Brazilian stock market became more efficient after inflation stabilization.

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Does Nifty Index Inclusion (still) Convey Information? A Comprehensive Empirical Examination in the Indian Stock Market

Asian Journal of Finance & Accounting ◽

10.5296/ajfa.v11i1.14866 ◽

2019 ◽

Vol 11 (1) ◽

pp. 306

Author(s):

Srikanth Parthasarathy

Keyword(s):

Stock Market ◽

Abnormal Return ◽

Demand Curve ◽

Abnormal Returns ◽

Sample Period ◽

Empirical Examination ◽

Price Effects ◽

Indian Stock Market ◽

Second Period ◽

Index Effect

The objective of this study is to conduct a comprehensive empirical examination of the S&P CNX Nifty index additions, for the complete period (2000 - 2018), first sub period (2000-2009) and second sub period (2010-2018), using both the price and non-price effects and the explanations surrounding them in the Indian stock market. This event methodology is used with three abnormal return computational methods, around the announcement and inclusion dates of index addition, in order to improve the robustness and reliability of the results. The results show that the Nifty index additions are associated with significant permanent abnormal returns in the complete, first and second period. However, the index effect has diminished in the second period. The information related explanations dominate in the complete and first period. The second period finds support for the downward sloping demand curve hypothesis. I extend the existing literature to a hitherto unexplored new sample period (2010-2018) in order to examine the price and non-price effects around Nifty index additions.

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Does US-China Trade War Matter on ASEAN Stock Market: Event-study Approach

SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS ◽

10.29259/sijdeb.v4i3.161-74 ◽

2020 ◽

Vol 4 (3) ◽

pp. 161

Author(s):

Budi Setiawan

Keyword(s):

Stock Market ◽

Event Study ◽

Stock Prices ◽

Financial Stability ◽

Abnormal Returns ◽

Study Approach ◽

China Trade ◽

The Us ◽

Trade War ◽

The Impact

The trade war between the US and China by imposing tariffs has the potential to affect global financial stability. As the largest economy in the world, the US and China had been trading goods and services globally. Then, when these countries have retaliated, the tariff war will affect the global supply chain, international trade, economy, and the stock market. This research examined the effect of the US-China trade war on ASEAN stock prices using an event-study approach. The result shows that the ASEAN stock market has positive abnormal returns during pre-event period (12%). In contrast, ASEAN stock markets shifted to negative abnormal return (-7.4%) in the short-term window, indicating that the stock market is efficient. Stock price reflects the information from the market quickly. However, the impact of the trade war on the ASEAN stock market is insignificant.

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The Effects of Share Repurchase Announcements on Returns in the Malaysia Stock Market

Indonesian Journal of Business Finance and Accounting ◽

10.32455/ijbfa.v1i1.44 ◽

2018 ◽

Vol 1 (1) ◽

pp. 1 ◽

Cited By ~ 1

Author(s):

Tze San Ong ◽

Pei San Ng

Keyword(s):

Stock Market ◽

Abnormal Return ◽

Small Firms ◽

Abnormal Returns ◽

Share Repurchase ◽

Before And After ◽

Positive Abnormal Return ◽

Repurchase Announcements ◽

Signaling Hypothesis ◽

Firm Characteristic

This paper examines the market response surrounding the share repurchase announcements of Malaysia Listed Companies from years 2012 to 2016. One sample T-test was carried out to identify the abnormal return in the range before and after 20 days from share repurchase announcements. The result shows a significant positive abnormal return in the day of repurchase announcements and continuously until day 1 after the announcements. Multiple regression analysis was performed in order to identify the firm characteristic of share repurchase. The finding is supported with information asymmetric, which shows that stock market reacts more favorably through the repurchase announcements by small firms than large firms. This study is consistent with the signaling hypothesis that shows share repurchase announcement can be an effective tool in stabilizing the stock market in Malaysia. The finding of this study acts as a useful tool for managers and investors to improve their decisions on share repurchase announcements in Malaysia. Company’s managers can conduct share repurchase announcements that are able to make the stock market react positively in order to generate positive abnormal returns.

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The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

11th GLOBAL CONFERENCE ON BUSINESS AND SOCIAL SCIENCES - Global Conference on Business and Social Sciences Proceeding ◽

10.35609/gcbssproceeding.2020.11(132) ◽

2020 ◽

Vol 11 (1) ◽

pp. 132-132

Author(s):

Aref Emamian

Keyword(s):

United States ◽

Stock Market ◽

The United States ◽

Real Effective Exchange Rate ◽

Annual Data ◽

Fiscal Policies ◽

Long Run ◽

The Us ◽

Short Run ◽

The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

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