scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

scholarly journals New listings share price behaviour on the Johannesburg Stock Exchange

1989 ◽  
Vol 20 (4) ◽  
pp. 195-203 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Stock Exchange ◽  
Secondary Market ◽  
Share Price ◽  
First Year ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Increases ◽  
Risk Characteristics ◽  
One Year ◽  
Offering Price

The objective of this paper is to determine the price behaviour of new listings on the JSE during the period 1985-1987. The results clearly indicate that those investors who acquired new issues at the initial offering price attained significant short-term benefits in the form of a new issues premium followed by an after-market performance generally supportive of an efficiently operating market. Investors who acquired new issues subsequent to the initial offering earned negative returns (adjusted for market risk as well as systematic risk) during the first year of investment. The investigation reveals that new issues with very large price increases immediately subsequent to their offering do not have returns significantly different from new issues as a whole during the period up to one year following the listing. Investors in the secondary market, on balance, overestimated the return potential and/or underestimated the risk characteristics of new listings on the JSE.

scholarly journals The Impact Of Index Migrations On Share Prices: Evidence From The Johannesburg Stock Exchange

2013 ◽  
Vol 29 (6) ◽  
pp. 1861 ◽  
Author(s):  
Ryan Kruger ◽  
Francois Toerien
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
International Studies ◽  
Share Prices ◽  
Johannesburg Stock Exchange ◽  
Demand Curves ◽  
Study Methodology ◽  
Top 40 ◽  
The Impact

<p>This article examines the quantum and persistence of abnormal returns (positive and negative) for shares that entered or left the JSE Top 40 Index during quarterly index rebalancing between 2002 and 2013. Using an event study methodology based on the market model, we find evidence of anticipatory trading for both deletions and additions, which is, however, significant only for the former. These abnormal returns are reversed over our window period, which supports international studies indicating downward sloping share demand curves. Our findings imply informational inefficiencies that investors could use to trade profitably in anticipation of index additions or deletions.</p>

scholarly journals Significant changes in dividend policy and insider trading activity on the Johannesburg Stock Exchange

1991 ◽  
Vol 22 (4) ◽  
pp. 75-82 ◽  
Author(s):  
Narendra Bhana
Keyword(s):  
Insider Trading ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Policy Changes ◽  
Trading Activity ◽  
Johannesburg Stock Exchange ◽  
Timing Ability

The objective with this article was to determine whether insider trading related to unannounced dividend policy changes provided abnormal returns for shares listed on the Johannesburg Stock Exchange (JSE). The results indicate that insiders as a group seem to exhibit 'remarkable timing ability'. Significant changes in insider trading activity were detected during the six-month period prior to the resumption (omission) announcement. Company insiders trading prior to dividend changes announcements earned consistently large positive abnormal returns (avoid large negative abnormal returns). It is recommended that company insiders be required to make public the market positions they take in their company's shares. This can be expected to reduce the abnormal returns derived from insider trading and will also contribute towards improving the efficiency of the JSE.

IPOs in New Zealand

2018 ◽  
pp. 591-620
Author(s):  
Huong Dang ◽  
Michael Jolly
Keyword(s):  
New Zealand ◽  
Initial Public Offerings ◽  
Stock Exchange ◽  
Short Term ◽  
Public Offerings ◽  
Sales Forecast ◽  
Average Return ◽  
Book To Market Ratio ◽  
One Year

This chapter examines the performance of 96 initial public offerings (IPOs) listed on New Zealand Stock Exchange (NZSX) during the 25-year period from July 1991 to June 2015. The NZX Gross All Index and two portfolios of matched peers based on sector/industry and either sales forecast or book-to-market ratio are constructed as benchmarks. Compared with three benchmark portfolios, IPO firms outperform in the short term (one year) but underperform in the medium- and long-term investment horizons (three to five years). The authors conduct three subsample analyses to examine the association between differences in valuation multiples (E/P, EBITDA/EV, and P/S) and long-term returns. The findings are consistent with the general consensus of superior returns from value investments: IPOs with above-median earnings ratio (E/P and EBITDA/EV) and below-median P/S exhibit higher cumulative average return (CAR) than IPOs with below-median earnings ratio and above-median P/S.

scholarly journals The share market reaction to the arrival of unanticipated information: A test of the Uncertain Information Hypothesis to determine the efficiency of the Johannesburg Stock Exchange

1995 ◽  
Vol 26 (2) ◽  
pp. 41-48 ◽  
Author(s):  
Narendra Bhana
Keyword(s):  
Stock Exchange ◽  
Alternative Hypothesis ◽  
Strong Support ◽  
Efficient Market Hypothesis ◽  
Initial Reaction ◽  
Uncertain Information ◽  
Share Prices ◽  
Johannesburg Stock Exchange ◽  
Information Hypothesis ◽  
Price Adjustments

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange (JSE) overreacted to the arrival of unanticipated information during the period 1975-1992. In this article, a modified version of the Efficient Market Hypothesis called the Uncertain Information Hypothesis (UIH) is tested in order to explain the response of rational, risk-averse investors to news of a dramatic financial nature. The findings demonstrate that regardless of whether the news was good or bad, the average pattern of price adjustments after the initial reaction was significantly positive. Because the volatility of the share prices was also shown to rise significantly after both unanticipated good and bad news, the incremental returns to shareholders can be interpreted as compensating investors for bearing the added risk associated with uncertainty. The results provide strong support for the UIH. The findings do not support the alternative hypothesis that investors consistently overreact to unexpectedly large price changes. It would appear that the JSE reacts to uncertain information in an efficient, if not instantaneous manner.

scholarly journals Post Listing IPO Returns and Performance in India: An Empirical Investigation

2021 ◽  
pp. 1-20
Author(s):  
Ramesh Chandra Babu ◽  
Aaron Ethan Charles Dsouza
Keyword(s):  
Empirical Analysis ◽  
Abnormal Return ◽  
Design Methodology ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Market Returns ◽  
Short Term ◽  
Ipo Performance ◽  
And Performance ◽  
The Impact

Objectives: (a) To analyse the performance of Indian IPOs in the short term. (b) To determine the significance of abnormal return of the IPOs. (c) To study the impact of over-subscription, profit after tax, promoters’ holdings, issue price and market returns on IPO performance. Design/ Methodology/Approach: This research paper is based on empirical analysis. All the 52 IPO’s listed in the NSE (National Stock Exchange, India) during the year 2018 to 2020 were considered for the study.

scholarly journals The efficiency of the Italian stock exchange: market reaction following changes in recommendations

2008 ◽  
Vol 5 (2) ◽  
pp. 434-448 ◽  
Author(s):  
Enrico Maria Cervellati ◽  
Antonio Carlo Francesco Della Bina ◽  
Pierpaolo Pattitoni
Keyword(s):  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Event Studies ◽  
Public Access ◽  
Exchange Market ◽  
Short Term ◽  
The Public ◽  
New Information ◽  
Peculiar Case

The main objective of this paper is to examine the market reaction to the recommendation changes issued by financial analysts. We study the peculiar case of Italy where analysts have to send their reports to the Stock Exchange Commission and the Stock Exchange the same day they give it to their clients. Reports are available on the Stock Exchange website. Our dataset includes about 5,200 reports issued on the 117 IPO firms that went public on the Italian Stock market between 1st January 1998 and 31st December 2003. We calculate abnormal returns and abnormal volumes associated with the dissemination of the reports and perform two short-term event studies: the first associated with the “report date”, the second one with regard to the “public access date”, i.e. when the report is freely and publicly available on the Stock Exchange website. The event study related to the public access date show very different results. We do not find statistically significant average abnormal returns around this date, indicating that the market efficiently does not react to the mere publication of the report on the Stock Exchange website, since prices already included the effect of the recommendation change at the report date, i.e. when the new information was given to analyst’s private clients. It remains to be investigated if the abnormal returns before the report date are due to the effect of news different from the recommendation change or if they show a violation of the Italian regulation.

scholarly journals Divestitures and shareholder wealth in the long-run – the South African case

2014 ◽  
Vol 11 (4) ◽  
pp. 569-578 ◽  
Author(s):  
Emily Nichols ◽  
Andrew Rosenberg ◽  
Akios Majoni ◽  
Samson Mukanjari
Keyword(s):  
South Africa ◽  
South African ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Shareholder Wealth ◽  
Johannesburg Stock Exchange ◽  
Cumulative Abnormal Returns ◽  
Announcement Date ◽  
Long Run ◽  
The Impact

This study examines the impact of divestitures (spin offs and sell offs) on shareholder wealth for the parent firms listed on the Johannesburg Stock Exchange over the period 1995-2011. The study also makes a comparison of the wealth created by spin offs versus sells offs. We found significantly negative cumulative abnormal returns over the 250 and 500 days respectively, post-announcement date. This result persisted for the whole sample and for the two subsamples of spin offs and sell offs even after running the test excluding the data during and after the financial crisis of 2008. The results suggest that, in general, divestitures in South Africa destroy shareholder value in the long run and sell offs are a better choice of divestitures compared to spin offsю

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