Abnormal Returns in Small Firm Portfolios

1981 ◽  
Vol 37 (2) ◽  
pp. 52-56 ◽  
Author(s):  
Marc R. Reinganum
Keyword(s):  
Small Firm ◽  
Abnormal Returns

scholarly journals Ownership Control And Small Firm Anomalities

2011 ◽  
Vol 3 (1) ◽  
pp. 48
Author(s):  
David S. Krause
Keyword(s):  
Small Firm ◽  
Large Firm ◽  
Statistical Significance ◽  
Abnormal Returns ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Stock Portfolios ◽  
Common Stocks ◽  
Ownership Control

Tests using the Capital Asset Pricing Model show that during the 1981 through 1983 period, a portfolio of common stocks composed of owner-controlled firms significantly outperformed a group of manager-controlled firms, even after adjusting for systematic risk. Small capitalization stocks were also shown to have generated large abnormal returns compared to large firm stock during this period. Interestingly, the statistical significance of both the ownership control and small firm effects was not reduced when the other effect was controller. The implications of these results for investors are that large excess returns may be earned by tilting stock portfolios towards owner-controlled, small capitalization firms.

scholarly journals Effects of ambiguity in market reaction to changes in stock recommendations

2017 ◽  
Vol 14 (2) ◽  
pp. 226-241
Author(s):  
Mei-Chen Lin ◽  
Chen-Yang Lin ◽  
Ming-Ti Chiang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Small Firm ◽  
Market Reaction ◽  
Abnormal Returns ◽  
Positive Influence ◽  
Analyst Recommendations ◽  
Stock Recommendations ◽  
Negatively Associated ◽  
Positive Effects

This study uses analyst recommendations and three ambiguity proxies, namely ambiguity in fundamentals, ambiguity in information and market ambiguity, to examine market reaction to recommendation changes in the Taiwanese stock market. The authors find that analysts’ recommendation changes have positive effects on subsequent buy-and-hold abnormal returns when market ambiguity is moderate. When ambiguity in fundamentals is low, recommendation changes have a positive influence on smaller firms. The effect of ambiguity in information on stock returns is associated with market ambiguity; market ambiguity is negatively associated with abnormal returns for firms with moderate ambiguity in fundamentals. Investors in a small firm rely more on analyst recommendations.

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

2018 ◽  
Vol 1 (1) ◽  
pp. 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.

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

Dividend Changes, Abnormal Returns, and Intra-Industry Firm Valuations

CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 17-19
Author(s):  
S. Brooks Marshall
Keyword(s):  
Abnormal Returns
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