scholarly journals The Impact of Divestment Announcements on the Share Price of Fossil Fuel Stocks

2019 ◽  
Vol 11 (11) ◽  
pp. 3122 ◽  
Author(s):  
Truzaar Dordi ◽  
Olaf Weber
Keyword(s):  
Stock Prices ◽  
Fossil Fuel ◽  
Statistical Tests ◽  
Price Change ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Short Term ◽  
Share Prices ◽  
The Impact

Several prominent institutional investors concerned about climate change have announced their intention or have divested from fossil fuel shares, to limit their exposure to the industry. The act of fossil fuel divestment may directly depress share prices or stigmatize the industry’s reputation, resulting in lower share value. While there has been considerable research conducted on the performance of the fossil fuel industry, there is not yet any empirical evidence that divestment announcements influence share prices. Adopting an event study methodology, this study measures abnormal deviations in stock prices of the top 200 global oil, gas, and coal companies by proven reserves, on days of prominent divestment announcements. Events are analyzed independently and in aggregate. The results make several notable contributions. While many events experienced short-term negative abnormal returns around the event day, the effects of events were more pronounced over longer event windows following the New York Climate March, suggesting a shift in investor perception. The results also find that divestment announcements related to campaigns, pledges, and endorsements all have a significant effect over the short-term event window. Finally, the results control for the general underperformance of the industry over the estimation window, attesting that the price change is caused by divestment announcements. Several robustness tests using alternate expected returns models and statistical tests were conducted to ensure the accuracy of the result. Overall, this study finds that divestment announcements decrease the share price of the fossil fuel companies, and thus, we conclude that ‘divestors’ can influence the share price of their target companies. Theoretically, the result adds new knowledge regarding the efficacy of the efficient market hypothesis in relation to divestment.

How does capital market respond to Certified Emission Reductions (CERs) announcements in India

2019 ◽  
Vol 45 (7) ◽  
pp. 950-965 ◽  
Author(s):  
Praveen Kumar ◽  
Mohammad Firoz
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Share Price ◽  
Emission Reductions ◽  
Content Type ◽  
Share Prices ◽  
The Mean ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to analyze the relationship between Certified Emission Reductions (CERs) information and a firm’s stock prices. Design/methodology/approach The present study is based on 193 CERs announcements by Indian firms over a 13-year period 2005–2017. The event study methodology is used to examine the impact of CERs announcements on a firm’s share prices. Findings The study suggests that the issuance of CERs did not produce any significant abnormal return. More specifically, the outcomes of event study shows that over a two-day event window from the event day to the day after the event (i.e. days 0 to 1), the mean and median of AARs are −0.25 and −0.34 percent, respectively. The abnormal returns on day 1 are not statistically significant as per the t-test. Moreover, the mean and median of abnormal returns after one day (−1) are negative, indicating that investors react negatively to CERs announcements. However, the mean and median of CAARs over both the two-day (i.e. days −1 to 0 and days 0 to +1) and three-day (i.e. days −1 to +1) event windows are positive, but not statistically significant based on the t-test. Research limitations/implications The findings of the study are quite comprehensive, relatively used only market-based criteria of a firm’s financial performance, e.g., share price, at times, inhibits generalizing the results. Originality/value To the best of the author’s knowledge, the present study is a first of its kind to investigate the relationship between the CERs information and a firm’s stock prices.

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.

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

STUDY OF THE IMPACT OF INTERNATIONAL FINANCIAL CRISIS ON TAIWAN’S GAME INDUSTRY AND INVESTORS

2018 ◽  
Vol 4 (2) ◽  
pp. 13-18
Author(s):  
Bi-Huei Tsai
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Video Game ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Economic Recovery ◽  
Market Reactions ◽  
Game Industry ◽  
The Impact

Purpose of study: This study investigates the change of stock returns during the Lehman Brother’s announcement of bankruptcy in 2008 for the Taiwanese listed video game companies. We further explore the change of stock returns for the Taiwanese listed video game companies after Taiwan’s economy recovers from Lehman Brother’s bankruptcy. Methodology: This study utilizes the event study method to statistically test abnormal returns so as to understand whether the Lehman Brother’s bankruptcy-related event affects stock prices and whether securities prices reflect Lehman Brother’s bankruptcy-related information. Main Findings: The results show a significant negative abnormal rate during Lehman Brother’s declaration of bankruptcy on Sep. 15, 2008. Investors were affected by the financial crisis caused by Lehman Brother’s bankruptcy and fully reflected on the stock prices of that day. In addition, our results show that video game companies have significantly positive returns when most Taiwanese electronics firms stop no-pay leave on March 31, 2009. It represents investors were encouraged by this information and fully reflected on the stock prices. Implications: The results support the efficient market hypothesis. The pattern of CARs experiences a constant increase and displays the apparent price rise during the announcement of no-pay leave stop. The positive abnormal returns are accompanied by the economic recovery. Originality/Novelty: This investigation for the first time chooses the stop of no-pay leave as the indicator of economic recovery from financial crisis. Our analysis novel explores the impact of the financial crisis and the economic recovery on the game industry simultaneously and the results show significantly different market reactions between the occurrence of the financial crisis and economic recovery.

scholarly journals Impact of Accounting Information on Share Price: Empirical Evidence from Pakistan Stock Exchange

2016 ◽  
Vol 3 (1) ◽  
pp. 124
Author(s):  
Muhammad Asif ◽  
Kashif Arif ◽  
Waqar Akbar
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Explanatory Power ◽  
Accounting Information ◽  
Time Frame ◽  
Share Price ◽  
Share Prices ◽  
The Impact ◽  
The Relationship

Purpose—The purpose of this paper is to examine the relationship between accounting information and share price. In order to achieve this, a model that includes specific accounting ratios (earning per share, book value per share, capital employed per share and operating cash flow per share) and shares a price is developed. Design/methodology/approach—The data were collected from the companies listed in KSE-30 index. The time frame spans from 2006 to 2013 and OLS regression models were used to examine the relationshipsFindings—The resulting evidence suggest that accounting information parameters have significant influence on share price and they have joint explanatory power in determining stock prices. This research finds the consistent results with pervious empirical researches.Originality/value—The present study adds to the existing literature by examining the impact of accounting information on share prices within the context of an emerging capital market such as Pakistan Stock Exchange using KSE-30 companies. This is believed to be the first study which considers the aforementioned issues in the Pakistan’s capital market environment.

scholarly journals On the Impact of Dividend Payments on Stock Prices - an Empirical Analysis of the German Stock Market

2021 ◽  
Vol 16 (1) ◽  
pp. 255-269
Author(s):  
Konstantin Melching ◽  
Tristan Nguyen
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Signaling Theory ◽  
Share Price ◽  
Dividend Payment ◽  
Share Prices ◽  
Dividend Payments ◽  
Time Period ◽  
German Stock ◽  
The Impact

Abstract This paper examines the relation between dividend payments and stock prices of all firms in the German prime standard DAX 30 in the time period from 2012 to 2019. The irrelevance theory introduced by Miller and Modigliani states that dividend payments must not have an impact on stock prices in a perfect market. In contrast, the signaling theory and the dividend puzzle indicate that dividend payments are likely to have a profound impact on the stock price. According to our findings the ex-dividend decrease of stock prices was significantly smaller than the dividend payment. Nevertheless, the results support the impact of the dividend payment on the share price. Firstly, the existence of the ex-dividend markdown is a proof that dividend payments cause share price losses. Secondly, the study explains in particular that high dividend payments result in high share prices over the examined period. Thirdly, our analysis demonstrates a positive correlation between the dividend and the stock price development according to the signaling theory. Considering the above- mentioned results, we can conclude that the share price of a company is highly affected by the decision making of the company regarding the dividend policy.

scholarly journals Underestimating risk leading to the collapse of a market leader in tourism

2022 ◽  
Vol 132 ◽  
pp. 01011
Author(s):  
Jana Janíková ◽  
Marek Vochozka ◽  
Martin Votava
Keyword(s):  
Stock Prices ◽  
Negative Impact ◽  
Moving Average ◽  
Share Price ◽  
Travel Agency ◽  
Effect Analysis ◽  
Share Prices ◽  
Cause And Effect Analysis ◽  
Market Leader ◽  
The Impact

The topic of this paper, underestimating risk leading to the collapse of the market leader in tourism, is demonstrated on the example of the British travel agency Thomas Cook, which at one time was one of the oldest and largest travel agencies in the world. The aim of this paper is to analyze the development of the stock prices of Thomas Cook from May 13, 2018 to May 19, 2019 and the factors that had an impact on the share price of this company in the monitored period. The base source of data are the share prices of the travel agency Thomas Cook in the specified period from May 13, 2018 to May 19, 2019 published by MarketWatch. A statistical description of time series is used, a moving average trend line is displayed, and a cause-and-effect analysis evaluating the impact of the published information on the value of Thomas Cook’s stocks is carried out. The general lesson for companies resulting from this contribution is that every negative event, announcement or piece of information has a negative impact on the value of a company’s shares and a collapse could happen even to the leader of a given industry. The collapse of Thomas Cook provides lessons for companies doing business in tourism, so that in the event of a planned merger, a suitable company is selected, the company’s funds are under control and development trends in the field are monitored.

scholarly journals Impact of splits on stock splits ratios around announcement day: empirical evidence from India

2020 ◽  
Vol 17 (3) ◽  
pp. 345-359
Author(s):  
Anjali Gupta ◽  
Purushottam Kumar Arya
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Stock Splits ◽  
P Value ◽  
Share Prices ◽  
Stock Split ◽  
Percentage Basis ◽  
The Impact

Stock split should not have any impact on share prices, and there should be no value creation. The purpose of this study is to find any impact of stock splits announced in India between 1999 and 2019 on stock returns. The study aims to find differences in the impact of stock splits on stock returns with differences in stock split ratios. To examine the impact, the study includes 224 splits and adopts the standard event study methodology to find results. The presence of an abnormal return around split announcement day is the main factor, which determines the impact of stock split on the stocks. Average Abnormal Returns and Cumulative Average Abnormal Returns on percentage basis, z-test and p-value are used to statistically analyze the impact on stock prices around the announcement day of splits. These tests are used across different window periods (e.g., 20 days, 10 days and 5 days) around the event day (announcement day) to check if the impact of the event continues or decreases over time. The results point to a significant positive impact of stock splits on the returns of stock around the day the split was announced. The results also show that the impact is stronger for stock splits with ratios 10:1 (2.72 percent) and 10:2 (2.14 percent). It can be suggested that 10:1 and 10:2 are the most popular split ratios that receive maximum ongoing response to splits in the announcement window.

scholarly journals Empirical Testing of the Response of Czech Stock Market to Downgrades of Greek Credit Rating in the Light of the Efficient Market Hypothesis

2018 ◽  
Vol 9 (1) ◽  
pp. 57-71 ◽  
Author(s):  
Petr Seďa ◽  
Juan Antonio Jimber del Río ◽  
María De los Baños García-Moreno García
Keyword(s):  
Stock Market ◽  
Credit Rating ◽  
Statistical Tests ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Empirical Testing ◽  
Efficient Market ◽  
Nonparametric Statistical ◽  
The Impact ◽  
Analytical Approaches

Empirical testing of the linkages between macroeconomic news and asset price movements in terms of response to released macroeconomic information have been a subject of many investigations using different testing methods. The objective of this paper is to study the impact of announcements of Greek credit rating downgrades on the prices of the most liquid assets quoted in the Czech stock market. This issue is tightly related to semi-strong form of the efficient market hypothesis, which is one of possible analytical approaches when analyzing behaviour of assets in financial markets. The reaction of the Czech stock market is assessed in relation to seven announcements of Moody´s rating agency regarding changes of credit rating of Greek government bonds in the period 2009–2012. For the purpose of this paper, the event study methodology is applied. The basic idea of this statistical method is to determine values of abnormal returns, which can be defined as a difference between actual and equilibrium returns. In order to calculate equilibrium returns, the Capital Asset Pricing Model (CAPM) is used. The differences between actual and equilibrium returns are then verified with a help of selected nonparametric statistical tests. Namely, the exact sign test and the Wilcoxon signed-rank test are utilized. Based on results of nonparametric statistical tests, the null hypothesis of information efficiency of the Czech stock market is conclusively rejected.

Momentum Effect: Empirical Evidence from Karachi Stock Exchange

2012 ◽  
Vol 51 (4II) ◽  
pp. 449-462 ◽  
Author(s):  
Habib-ur-rahman Habib-ur-rahman ◽  
Hasan M. Mohsin
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Abnormal Return ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
General Tendency ◽  
Short Term ◽  
Holding Period ◽  
The Past ◽  
Contrarian Strategies

Capital market efficiency and the prediction of future stock prices are the most thought-provoking and ferociously debated areas in finance. The followers of traditional financial theory strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, economist and the journalists are of the view that general tendency of individuals is to overreact to the information. De Bondt and Thaler (1985) studies this view of experimental psychology that whether such behaviour matters at the market level or not. They found out that stock prices will overreact to information, and suggested that contrarian strategies buy the past losers and sell the past winners, earn abnormal returns. They extended the holding period from 3 to 5 years and provide the evidence of long term returns reversal. Jegadeesh (1990) and Lehmann (1990) supported the evidence of return reversal in short term, i.e. from one week to one month. They suggested that the contrarian strategies having holding period of one week to one month earned the significant abnormal return. Lo and Mac Kinalay (1990) objected on the ground that a major portion of this abnormal return, reported by Jegadeesh (1990) and Lehmann (1990), is due to the delayed reaction of stock prices to common factors rather than to overreaction. Some other researchers pointed out some other reasons of this abnormal stock returns i.e. short-term pressure on stock prices and absence of liquidity in the market rather than overreaction.

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