scholarly journals Announcement Effects of Convertible and Warrant Bond Issues with Embedded Refixing Option: Evidence from Korea

2020 ◽  
Vol 12 (21) ◽  
pp. 8933
Author(s):  
Yongsik Kim
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Shareholder Value ◽  
Abnormal Returns ◽  
Market Response ◽  
Macroeconomic Conditions ◽  
Announcement Effects ◽  
Cumulative Abnormal Returns ◽  
Percentage Points ◽  
Bond Issues

This study examines the announcement effects of convertible and warrant bond issues with embedded refixing option in Korea from January 2001 to December 2018. Refixing option denotes an adjustment right of the conversion price embedded in equity-linked debt when the underlying stock price falls under conversion price. I find statistically significant declines of 2.6 to 2.7 percentage points in cumulative abnormal returns for the inclusion of a refixing clause and especially further declines of 6.2 to 6.3 percentage points during the period from 2016 to 2018. This result implies that the market’s concerns about the dilution of existing shareholder value due to the exercise of the refixing rights are reflected in the market response. I further find that the degree of negative market response varies according to the changes in macroeconomic conditions and the stock exchange on which the issuing firms are listed. The findings are robust after controlling for the effect of firm-, issue-, and market-specific characteristics.

scholarly journals Stock price reaction to cash dividend announcements in Vietnam

2017 ◽  
Vol 24 (02) ◽  
pp. 74-89
Author(s):  
Truong Nguyen Xuan ◽  
Huong Dao Mai ◽  
Anh Nguyen Thi Van
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Cash Dividend ◽  
Share Prices ◽  
Price Reaction ◽  
Cumulative Abnormal Returns ◽  
Stock Price Reaction ◽  
The Uk

This study attempts to investigate the stock price reaction to divi-dend announcements using data of Vietnamese listed firms on Hochiminh Stock Exchange (HOSE). Standard event study meth-odology has been employed on a sample of 198 cash dividend an-nouncements made in 2011. The results show that stock prices react significantly and positively to the announcements of cash dividends, including both dividend increasing and dividend decreasing events. It is also plausible that cumulative abnormal returns exhibit an in-creasing trend before announcement yet a decreasing trend after announcement dates. More specifically, we find positively signifi-cant cumulative abnormal returns of around 1.03% on announce-ment dates; other larger windows also demonstrate positive abnor-mal returns of around 1.3%. In addition, cash dividends have differ-ent effects on share prices of firms from different industries. These results support the signaling hypothesis and are also consistent with prior findings of empirical research done on more developed mar-kets, i.e. the US and the UK.

scholarly journals Lombok’s Tsunami and Stock Abnormal Returns

2021 ◽  
Vol 10 (1) ◽  
pp. 1-8
Author(s):  
Ani Wilujeng Suryani ◽  
Karina Dian Pertiwi
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Insurance Companies ◽  
Study Approach ◽  
Cumulative Abnormal Returns ◽  
Tsunami Earthquakes ◽  
Tsunami Earthquake

Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss. Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory

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.

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 Insider Trading and the Classification of Seasoned Equity Offerings: Evidence from Taiwan

2017 ◽  
Vol 9 (5) ◽  
pp. 58 ◽  
Author(s):  
Han-Ching Huang ◽  
Hsiu-Hsin Chiu
Keyword(s):  
Insider Trading ◽  
Abnormal Returns ◽  
Seasoned Equity Offerings ◽  
Growth Potential ◽  
Equity Offerings ◽  
Announcement Effects ◽  
Cumulative Abnormal Returns ◽  
Long Run ◽  
The Impact

This paper investigates whether insider purchasing or selling before Season equity offerings (SEO) announcement have the impact on the cumulative abnormal returns (CAR) around SEO announcement in Taiwan. We find that there are negative announcement effects around the SEO announcement, which is not consistent with the argument that there are usually positive announcement effects around the SEO announcement in Taiwan. Moreover, long-run abnormal returns following SEOs are negative. Therefore, the motivation of SEO has changed from investment to overvaluation.. Although there is net buying prior to SEO announcement, the outside investors still regard SEO announcement as a signal of overvaluation instead of growth potential.

scholarly journals The Determinants of the Stock Price Performance of Analyst Recommendations

2019 ◽  
Vol 15 (11) ◽  
pp. 25
Author(s):  
Yaling Lin ◽  
Liang-Chien Lee ◽  
Tsung-Li Chi ◽  
Chen-Chang Lo ◽  
Wai-Shen Chung
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Firm Characteristics ◽  
Cross Sectional ◽  
Insider Ownership ◽  
Taiwan Stock Exchange ◽  
Price Performance ◽  
Abnormal Performance

This study examines the cross-sectional determinants of the price reaction to analysts’ recommendations disseminated through various type of media and for firms listed in Taiwan stock markets. We measure abnormal returns using the market model of event study. Based on the type of media (traditional media/social media) and the type of exchange (Taiwan Stock Exchange (TWSE)/Taipei Exchange (TPEx)), we classify the combined sample observations into four samples and run quantile regressions to investigate whether the relation will be uniform across various quantile levels. Our results show that the relation between firm characteristics and cumulative abnormal returns is not homogeneous across various quantiles of abnormal returns. Our evidence indicates that in general the relation tends to be stronger for firms at higher performance quantile levels and tends to be more pronounced for TWSE firms. The strongest relation is found for the Traditional/TWSE sample, where the abnormal returns are positively related to insider ownership and prior-period earnings, and negatively related to institutional shareholding and price-to-book ratio for firms in the highest abnormal performance quantile.

Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market

2019 ◽  
Vol 19 (1) ◽  
pp. 7-32
Author(s):  
Kaveri Krishnan ◽  
Sankarshan Basu ◽  
Ashok Thampy
Keyword(s):  
Financial Crisis ◽  
Stock Price ◽  
Credit Rating ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Abnormal Returns ◽  
Market Response ◽  
Stock Price Reaction ◽  
The Difference ◽  
The Global Financial Crisis

This article analyses the differential market response to credit rating revisions in the pre- and post-global financial crisis (GFC) period using data from India. By reviewing the stock price reaction to the announcement of long-term rating changes during the period 1996–2015, the study finds evidence that the stock price reacted less to rating announcements after the GFC of 2008. However, the difference in the cumulative abnormal returns before the GFC and after the GFC is not statistically significant. JEL codes: G240, G010, G140

ISO Certification and Abnormal Return of Stock Price — The Study of the Taiwan Stock Market

2001 ◽  
Vol 04 (02) ◽  
pp. 109-126 ◽  
Author(s):  
Jo-Hui Chen
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Standard Series ◽  
Taiwan Stock Exchange ◽  
Specific Effects ◽  
Stock Value ◽  
Iso Certification ◽  
Medium Firms

This paper extends ISO certification research by investigating whether a stock value is influenced by the announcement of its ISO registration with respect to the firm size, industry, and ISO standard series on the Taiwan Stock Exchange. The results show that receiving ISO registration influences abnormal returns. The market reacts favorably to both small and large firms but has no reaction to medium firms in terms of a firm's capital. We also observe significant positive market reaction for Plastics and Textiles. A beneficial implication is that investors may benefit more from their investment endeavors if they can properly examine the specific effects.

Sign in / Sign up

Export Citation Format

Share Document