How does market react to corporate spin-offs in Australia?

While numerous studies on spin-off have been done in the US and Europe, little efforts have been directed to research this area of cor-porate finance in Australia. This study investigates how market re-acts to corporate spin-offs in this country. We employ traditional event study methodology and find that market reacts strongly and positively to the announcements of spin-offs. Specifically, the cu-mulative average abnormal return over the 3-day event window is 3.58%. The cumulative average abnormal return for spin-offs by companies that increase their industrial focus is 4.12% and 3.33% for non-focused increasing spin-offs. Nevertheless, the difference between these two subgroups is statistically insignificant. Multivari-ate regressions provide evidence that high pre-leverage firms benefit more from spin-offs.

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Impacts of Unusual Market Activity Announcement on Stock Return: Evidence from The Ace Market in Malaysia

Asian Journal of Finance & Accounting ◽

10.5296/ajfa.v11i2.15234 ◽

2019 ◽

Vol 11 (2) ◽

pp. 169

Author(s):

Dylan Siong-Yain Chen ◽

Venus Khim-Sen Liew

Keyword(s):

Event Study ◽

Abnormal Return ◽

Stock Return ◽

Cumulative Abnormal Return ◽

Market Activity ◽

Average Abnormal Return ◽

Study Methodology ◽

Event Study Methodology

This study examines the effect of Unusual Market Activity (UMA) announcement on stock return in Malaysian market with a sample of 62 companies listed on the ACE market at Bursa Malaysia for the period of 2007-2015. This study employs event study methodology to show that there were few days in which the average abnormal return (AAR) and cumulative average abnormal return (CAAR) are statistically significant. In addition, this study also further investigates the abnormal return (AR) and cumulative abnormal return (CAR) for individual companies. It was found that majority of the stocks returns fell significantly 30 days after the UMA announcement. The magnitude of the fall in returns ranges from 4% to 234%. Hence, it is not advisable for investors to buy stock after UMA announcement.

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The Performance of Two Anchor Domestic Malaysian Banks before and after Acquisition

International Business Research ◽

10.5539/ibr.v10n10p156 ◽

2017 ◽

Vol 10 (10) ◽

pp. 156

Author(s):

Jakpar S. ◽

Tinggi M. ◽

Chong W. T. ◽

Johari A. ◽

Myint K. T.

Keyword(s):

Event Study ◽

Abnormal Return ◽

Time Lag ◽

Financial Ratios ◽

Event Window ◽

Average Abnormal Return ◽

Short Period ◽

Before And After ◽

The Difference ◽

Research Period

This article is undertaken to assess the performance of domestic Malaysian banks before and after acquisition. This paper focuses on two pairs of anchor banks which merged and acquired other minor banks in Malaysia from year 2001 until 2013. The research period is 2 years before and 2 years after the acquisitions. The method being used in this research is financial ratios and event study. Nine selected financial ratios were used in this research to find the difference between pre and post acquisitions. Whereas event study is used to find the abnormal return, average abnormal return, cumulative abnormal return, and t-test hypothesis. The event window in this research is a total of 21 days before and after the acquisitions including the actual day of the event announcement. The results for this research indicate that there was improvement for Hong Leong Bank and EON Bank. RHB Bank on the other hand was outperforming by Bank Utama. There were limitation when carrying out this research such as difficulties to retrieve the needed annual report and historical price to conduct the investigation. The time lag on certain banks performance may need more time to see a better result while others may perform well in short period.

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The Announcement of Sharia Bank’s Conditional Merger Agreement. How Investor Reacted?

Journal of Business Management Review ◽

10.47153/jbmr22.1002021 ◽

2021 ◽

Vol 2 (2) ◽

pp. 136-146

Author(s):

Syamsuddin Syamsuddin ◽

Versiandika Yudha Pratama

Keyword(s):

Event Study ◽

Stock Price ◽

Abnormal Return ◽

Secondary Data ◽

T Test ◽

Event Window ◽

Paired Sample ◽

Average Abnormal Return ◽

Significant Difference ◽

Before And After

This study aims to determine there is a difference in average abnormal return of BRI Syariah before and after the signing of the Conditional Merger Agreement (CMA), which is on October 12th, 2020. This research used event study for method and the data in this study are secondary data in the form of stock price data of BRI Syariah. The event window in this study for 11 (eleven) working days which is 5 (five) days before the event, 1 (one) day when the event occurs and 5 (five) days after the signing of the Conditional Merger Agreement (CMA) BUMN sharia bank. Meanwhile, the estimated period is set for 120 exchange days, namely at t-125 to t-6. Test conducted by paired sample t-test. The results of the paired sample t-test showed that there is no significant difference between the average abnormal return of BRI Syariah shares before and after the signing of the Conditional Merger Agreement. It can be concluded that neither the market nor investors reacted to the signing of the Conditional Merger Agreement (CMA) that occurred at BRI Syariah Bank.

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RENT EXTRACTION PADA PERUSAHAAN DENGAN STRUKTUR KEPEMILIKAN TERKONSENTRASI DI BURSA EFEK INDONESIA

JMM UNRAM - MASTER OF MANAGEMENT JOURNAL ◽

10.29303/jmm.v9i4.625 ◽

2020 ◽

Vol 9 (4) ◽

pp. 404

Author(s):

Ni Ketut Surasni ◽

Hermanto Hermanto ◽

Hermanto Hermanto

Keyword(s):

Event Study ◽

Ownership Structure ◽

Abnormal Return ◽

Market Reaction ◽

Rent Extraction ◽

Concentrated Ownership ◽

Average Abnormal Return ◽

The Difference ◽

Difference Test

This study aims to examine the existence of rent extraction by examining the market reaction to the increase and decrease in dividends. For this purpose, the method used is an event study. Market reaction is measured using cumulative average abnormal return (CAAR). If CAAR is high> CAAR is low. hence rent extraction is proven, dividends are proven to relieve conflict between majority and minority. By using the difference test, it was not proven that high CAAR> low CAAR. These results indicate that investors do not react to increases or decreases in dividends. In companies with a concentrated ownership structure, dividends do not function as a reliever for conflicts between majority and minority. Kata kunci: Concentrated ownership structure, rent extraction, dividends.

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Hotel Stock Price Performance During the Covid-19 Pandemic in Indonesia

International Journal of Social Science and Business ◽

10.23887/ijssb.v5i1.31117 ◽

2021 ◽

Vol 5 (1) ◽

Author(s):

Regina Sandra Kusuma

Keyword(s):

Event Study ◽

Stock Price ◽

Abnormal Return ◽

Stock Return ◽

Secondary Data ◽

Price Performance ◽

Study Methodology ◽

The Relationship ◽

Event Study Methodology

This study aims to analyze the Indonesian hotel stock price performance during the pandemic of Covid-19 by testing the effect of Covid-19 pandemic on stock return and abnormal stock return. The data were collected from secondary data at www.finance.yahoo.com, Indonesian hotel companies stock period from 26 February 2020 to 2 March 2020 during the pandemic of Covid-19. Further, the data were analyzed by using Event Study Methodology to examine the effect of Covid-19 pandemic on Indonesian hotel stock return and abnormal return. The result of this study finds that there is stock reaction after the announcement of Covid-19 pandemic in Indonesia during 15 days after the announcement. Also in this research, can be found a relationship between the stock condition with the pandemic. This research can be used as a reference for investors for their investments by looking at the relationship between the Indonesian hotel companies stock and pandemic of Covid-19.

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Measuring the effects of Bitcoin forks on selected cryptocurrencies using event study methodology

Industrija ◽

10.5937/industrija48-26003 ◽

2020 ◽

Vol 48 (2) ◽

pp. 21-36

Author(s):

Nenad Tomić

Keyword(s):

Quantitative Analysis ◽

Event Study ◽

Abnormal Return ◽

Quantitative Research ◽

Statistical Significance ◽

Negative Effects ◽

Current Topic ◽

Study Methodology ◽

A Current ◽

Event Study Methodology

The objective of the study is to determine whether the Bitcoin forks have produced significant effects on the cryptocurrency market. The event study methodology is used in this paper in order to determine the statistical significance of the abnormal return of leading cryptocurrencies after three Bitcoin forks. The forks were viewed as three isolated events, with the estimations windows and the event windows constructed separately for each of them. There were statistically significant negative effects related to the creation of Bitcoin Gold and Bitcoin SV. Contrary to expectations, there was no statistically important effect throught out the most famous Bitcoin forking and emergence of Bitcoin Cash. Although cryptocurrencies are a current topic, the literature lacks quantitative research dealing with price changes. Without quantitative analysis, it is difficult to conclude whether the return change is a consequence of a statistically significant event The analysis would therefore provide the tool to determine the statistical significance of their impact on the market. A small number of observed cryptocurrencies is the main limitation of this research. Future researches could cover a wider scope of the market and include other famous cases of forking, for example, the Ethereum forks.

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Stock Spams: Another Kind Of Stock Prices Manipulation

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v29i1.7557 ◽

2012 ◽

Vol 29 (1) ◽

pp. 79 ◽

Cited By ~ 7

Author(s):

Taoufik Bouraoui ◽

Mohamed Mehanaoui ◽

Bouchaib Bahli

Keyword(s):

Event Study ◽

Stock Prices ◽

Market Reaction ◽

Font Size ◽

Event Window ◽

Parametric Test ◽

Study Methodology ◽

Penny Stocks ◽

The Impact ◽

Event Study Methodology

This research investigates the market reaction to an information-based manipulation called stock spams. The impact is focused on the liquidity variable which is measured by Amivest ratio. Using the event study methodology on a sample of penny stocks for the period February 2006 through October 2008, our findings suggest positive and significant abnormal liquidities for stocks targeted by manipulators during the event window. Robustness checks were performed using a non-parametric test. These results support the thesis that this kind of manipulation is a very flourishing business that manipulators exploit by simply purchasing stocks at low prices and selling them at higher prices.

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Impact of Vendor Selection on Firms’ IT Outsourcing

Journal of Global Information Management ◽

10.4018/jgim.2012040102 ◽

2012 ◽

Vol 20 (2) ◽

pp. 25-43 ◽

Cited By ~ 10

Author(s):

Jae-Seung Han ◽

Sang-Yong Tom Lee

Keyword(s):

Information Technology ◽

Market Value ◽

It Outsourcing ◽

Vendor Selection ◽

The Us ◽

Key Factor ◽

Study Methodology ◽

The Difference ◽

The Impact ◽

Event Study Methodology

Information technology (IT) outsourcing is often used as a cost-saving strategy for firms. In IT outsourcing, the choice of vendor is a key factor determining success. This study examines the impact that the choice of IT vendor has on firms’ IT outsourcing in Korea. The authors empirically analyzed the impact of certain characteristics of IT vendors on the market value of client firms in Korea using the event study methodology. First, the authors found that IT outsourcing announcements significantly increased the market value of firms. The authors also found that the market response to high asset-specific services of the IT vendor was significantly greater than the response to low asset-specific services. The authors’ results also showed that the effect of Korean vendors was greater than that of foreign vendors. However, the difference between IT outsourcing to large vendors and small vendors in Korea was not significant, in contrast to the US. The information provided in this study can be used by client firms to select better IT vendors and by IT vendors to develop strategies to survive the rapidly changing IT outsourcing market in Korea.

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BANKING STOCK ABNORMAL RETURN ANALYSIS OF PRE AND POST MERGER AND ACQUISITION IN INDONESIA

JEMBATAN ◽

10.29259/jmbt.v17i1.10857 ◽

2020 ◽

Vol 17 (1) ◽

pp. 13-24

Author(s):

Rivanny Astricia ◽

Isni Andriana ◽

Reza Ghasarma

Keyword(s):

Mergers And Acquisitions ◽

Government Policy ◽

Abnormal Return ◽

Abnormal Returns ◽

Merger And Acquisition ◽

Paired Sample ◽

Significant Difference ◽

Study Methodology ◽

The Difference ◽

Event Study Methodology

The number of mergers and acquisitions (M&A) in Indonesia is growing because of government policy and also their usefulness as a corporate tool to pursue strategic growth and profit. This study aims to analyze the abnormal returns of banking industries pre and post-merger and acquisition in Indonesia. Using a sample of 7 M&A deals in Indonesia from 2018 to 2019, the event study methodology used in this study is Paired Sample T-Test to tell the difference between pre and post abnormal returns. The data that use for calculating is -30 until +30 of Merger and Acquisition. The result shows that from 7 mergers and acquisition there is only one bank that has a significant difference while the rest does not have a significant difference pre and post the event. This research hopefully can be used for further research, useful for investment practitioners.

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Investor Reactions on Emitents Who Published Corporate Sukuk Listed in Indonesia Stock Exchange

HASANUDDIN JOURNAL OF BUSINESS STRATEGY ◽

10.26487/hjbs.v2i2.337 ◽

2020 ◽

Vol 2 (2) ◽

pp. 93-103

Author(s):

Kasman Damang ◽

Eka Afnan Troena ◽

Muhammad Ali ◽

Abdul Hamid Habbe

Keyword(s):

Event Study ◽

Abnormal Return ◽

Trading Volume ◽

Market Reaction ◽

Stock Exchange ◽

Volume Activity ◽

Average Value ◽

Average Abnormal Return ◽

Before And After ◽

The Difference

This study applied an event study approach (event study). The event tested the announcement of Sukuk emissions and market reactions as indicated by the existence of a significant Abnormal Return on the date of Sukuk emissions and it changed within the activity of Stock Trader of the Corporation Sukuk Issuer. Observation period between 2009-2018, there was 129 Sukuk emissions in Indonesia Stock Exchange. The number of samples taken was 26 emissions of Sukuk which make emissions from 12 issuers that met the set criteria. Data were analyzed using descriptive statistical analysis, independent t-test, t-paired test, and regression analysis. Furthermore, the data were processed using IBM SPSS for Windows Software. The results showed that there was a difference in Average Abnormal Return (AAR) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a positive market reaction on Average Abnormal Return (AAR) before the announcement of Sukuk emissions. There was a positive market reaction on Average Abnormal Return (AAR) after the announcement of Sukuk emissions. There were differences in the Average Trading Volume Activity (ATVA) before and after the announcement of Sukuk emissions. However, the average value of the difference was not statistically significant. There was a significant market reaction on Average Trading Volume Activity (ATVA) before the announcement of Sukuk emissions. There was a significant market reaction of Average Trading Volume Activity (ATVA) after the announcement of Sukuk emissions. Furthermore, this study also found that Sukuk to Equity Ratio (SER) had a positive effect, but not significantly on the level of Return on Assets (ROA), Return on Equity (ROE), and Earning per Share (EPS), but it was not significant. These insignificant effects of SER on the issuer's ROA, ROE and EPS were caused by the relatively small proportion of Sukuk value compared to the value of assets and company equity.

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