THE IMPACT OF THE CUMULATIVE ABNORMAL RETURN ON DIVIDEND ANNOUNCEMENT

2011 ◽  
Author(s):  
Adel A. Sharkas
Keyword(s):  
Abnormal Return ◽  
Cumulative Abnormal Return ◽  
The Impact

scholarly journals Can Rumor Clarification Eliminate the Effects of Rumors?

2020 ◽  
Vol 11 (1) ◽  
pp. 48-62 ◽  
Author(s):  
Peinan Ji ◽  
Xiangbin Yan ◽  
Guang Yu
Keyword(s):  
Stock Returns ◽  
Event Study ◽  
Abnormal Return ◽  
Listed Companies ◽  
Cumulative Abnormal Return ◽  
Negative Sample ◽  
The Impact

This article analyzes the effects of rumor and official rumor clarification on Chinese stock returns under different rumor conditions using an event study. The results are based on a sample of 832 rumor clarification announcements from China Listed Companies spanning the period of 2015 to 2017. The results show that the average cumulative abnormal return after the rumor event is significantly positive in the positive rumor sample and neutral sample, and significantly negative in the negative rumor sample. After the clarification announcements, we find the announcements effective for the positive and neutral rumor sample, but not in the case of the negative sample. However, by comparing different clarification times of each sample, we find that the earlier the clarification time is, the smaller the impact on the companies in positive and negative rumor examples.

Econometric Assessment of the Impact of the Buyer Company’s Financial Position on the M&A Effectiveness (in the Pharmaceutical Industry)

2020 ◽  
Vol 2020 (1) ◽  
pp. 62-80
Author(s):  
Mariya Shtefan ◽  
Viktoriya Shubina
Keyword(s):  
Pharmaceutical Industry ◽  
Growth Rates ◽  
Abnormal Return ◽  
Econometric Model ◽  
Cumulative Abnormal Return ◽  
Financial Leverage ◽  
Financial Position ◽  
Net Profit ◽  
The Impact ◽  
Econometric Assessment

This article provides the assessment of the impact of the buyer company’s financial position on the M&A effectiveness on the base of the pharmaceutical industry. We have estimated this correlation using OLS method and data for the period from 2005 to 2017. As a result, the hypothesis about the dependence of the M&A efficiency from the buyer company’s financial state has been confirmed. The developed econometric model have showed that more than 80% of variation of the cumulative abnormal return, received as a result of the transaction, is explained by growth rates of revenues and net profit, assets, current liquidity, autonomy and financial leverage, return of sales and assets at the transaction time.

Determinants of Cumulative Abnormal Return: A Dynamic Approach

GIS Business ◽  
2017 ◽  
Vol 12 (3) ◽  
pp. 33-41
Author(s):  
Kuchal Jubna
Keyword(s):  
Significant Relationship ◽  
Abnormal Return ◽  
Large Body ◽  
Cumulative Abnormal Return ◽  
Dividend Yield ◽  
Dynamic Approach ◽  
Market Conditions ◽  
Dynamic Relationship ◽  
The Impact

There is a large body of finance literature that has tested and validated dividend policy decisions mainly focused on the effect of the dividend announcement and the impact it has on the post announcement drift. But very few studies have tested the determinants of the cumulative abnormal return (CAR) surrounding the dividend announcement and to find the role of economic adversity in explaining the change in CAR. The present study investigates the role of change in dividend under both adverse and favorable market conditions. Using the data of S&P CNX 500 companies the study examines the role of dividend yield and EPS in explaining cumulative abnormal return over a period of seven years. Using VAR methodology the study examined the determinants of CAR surrounding the dividend announcement and the dynamic relationship between the variables. The results of the study showed that during adversity, dividend yield is the major factor explaining CAR. Variables like EPS, volume and price explain the CAR when there is no economic adversity. The study found that there is a significant relationship between abnormal return and its determinants.

scholarly journals Pengaruh Political Connection terhadap Cumulative Abnormal Return dan Trading Volume Activity pada Pemilihan Presiden 2019

2021 ◽  
Vol 1 (1) ◽  
pp. 83-95
Author(s):  
Eldam Pradana ◽  
◽  
Sudrajat Sudrajat ◽  
Pigo Nauli ◽  
Yuliansyah Yuliansyah ◽  
...  
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Quantitative Methods ◽  
General Election ◽  
Political Connection ◽  
Cumulative Abnormal Return ◽  
Volume Activity ◽  
Significant Difference ◽  
Before And After ◽  
The Impact

Abstract Purpose: This study aimed to identify the impact of Political Connection on Cumulative Abnormal Return (CAR) and Trading Volume Activity (TVA) for companies that associate with political figures in the presidential election of 2019. Research methodology: This study used quantitative methods, with a population of 25 companies on the Indonesian stock exchange, through daily stock prices. Result: This investigation showed no significant difference in the Cumulative Abnormal Return between before and after the announcement of the Constitutional Court. Then, there was no significance value on Trading Volume Activity and Cumulative Abnormal Return between before and after the announcement of General Election Commissions. Limitations: In this study, the limitation is observation time which is only 36 days. The number of samples is limited, which only 25 companies with the scope of research of companies that have affiliations with the winners of the 2019 general election. Contribution: This research implicates companies affiliated with politics. This is in the 2019 general election against the winners of the general election in 2019.

The economic consequences of voluntary environmental reporting on shareholder wealth

2006 ◽  
Vol 3 (2) ◽  
pp. 1 ◽  
Author(s):  
Ruslaina Yusoff ◽  
Shariful Amran Abd Rahman ◽  
Wan Nazihah Wan Mohamed
Keyword(s):  
Abnormal Return ◽  
Listed Companies ◽  
Shareholder Wealth ◽  
Environmental Information ◽  
Economic Consequences ◽  
Share Price ◽  
Cumulative Abnormal Return ◽  
Environmental Reporting ◽  
Financial Report ◽  
Significant Difference

This study was carried out to examine the economic consequences ofvoluntary environmental reporting on shareholders' wealth among Malaysian Listed Companies that voluntarily disclosed environmental information in their financial report. One hundred andfifty two (152) companies of Bursa Malaysia (MSE) had been identified as a sample in the current study. Seventy six (76) companies were classified as environmental reporting companies while the remaining companies were classified as non-environmental reporting companies. The classification was done in order to determine the differences between share price, profitability and market equity for both types of companies. The study hypothesizes that voluntary environmental reporting leads to an improvement in the shareholders wealth. However, the results show that there is no significant difference between cumulative abnormal return for environmental and non-environmental reporting companies. Based on the results obtained, it can also be concluded that profitability and size of the companies do not have any significant roles in deciding whether or not to produce environmental reporting companies.

Impact of the OMRR Operation in Fighting the Adverse Effects of COVID-19 on the Chinese Stock Market: An Event Study

2021 ◽  
Vol 16 (3) ◽  
pp. 495-520
Author(s):  
Lin Guo ◽  
◽  
Xufei Zhang ◽  
Songlei Chao ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Return ◽  
Fiscal Policies ◽  
Chinese Stock Market ◽  
Open Market ◽  
Monetary Policies ◽  
Technology Industry ◽  
The Impact ◽  
China’S Economy

The outbreak of the COVID-19 epidemic has had an adverse effect on China's economy. This paper uses the event study method to test and measure the impact of the open market reverse repo (OMRR) operation on the Chinese stock market. The results show that the OMRR operation generates a positive daily abnormal return and a positive daily cumulative abnormal return on average for all stocks. The impact is larger for non-state-owned enterprise (non-SOE) firms than for SOE firms, stocks of non-Hubei provinces than those of the Hubei province, and for stocks of the information transmission and technology industry than those of other industries. We suggest that our government implement more prudent monetary policies and more proactive fiscal policies.

scholarly journals Analisis Reaksi Pasar Terhadap Pengumuman Merger dan Akuisisi Pada Perusahaan Akuisitor yang Terdaftar di BEI

2018 ◽  
pp. 1870
Author(s):  
Ika Putri Adnyani ◽  
Gayatri Gayatri
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Sampling Method ◽  
Stock Exchange ◽  
Cumulative Abnormal Return ◽  
Test Results ◽  
Volume Activity ◽  
Paired Sample ◽  
Analysis Technique ◽  
Before And After

This research is conducted on all acquisition companies that conduct acquisitions listed on Indonesia Stock Exchange 2011-2016 period. Sampling method using purposive sampling. The number of samples of this research is 50 companies. The market reaction in this study used abnormal return and trading volume activity. The testing of information content will be done by looking at differences in cumulative abnormal return and the average trading volume of shares five days before and five days after the announcement of the acquisition. Data analysis technique used is paired sample t-test. Based on the test results, found there are significant differences in the abnormal return of the acquirer company before and after the announcement of the acquisition. However, there is no difference in trading volume activity of the acquirer's stock before and after the acquisition announcement   Keywords: acquisitions, stock market, abnormal return, trading volume activity

scholarly journals PENGARUH PENERBITAN SUKUK TERHADAP REAKSI PASAR (SURVEY TERHADAP PERUSAHAAN-PERUSAHAAN YANG MENERBITKAN OBLIGASI SYARIAH YANG TERDAFTAR DIBURSA EFEK INDONESIA SELAMA TAHUN 2015)

2019 ◽  
Vol 4 (3) ◽  
pp. 496-503
Author(s):  
Mulya Iskandar ◽  
Ridwan Ridwan
Keyword(s):  
Stock Returns ◽  
Abnormal Return ◽  
Research Method ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Secondary Data ◽  
Cumulative Abnormal Return ◽  
Market Reactions ◽  
Independent Variables ◽  
The Relationship

This study aims to determine how the influence of a sukuk instrument issuance on market reactions listed on the Indonesia Stock Exchange (IDX) during 2015. The research method used in this study is quantitative research. Quantitative research contains a relationship between cause and effect. The type of data used is secondary data, data collection used by the author is to know the relationship between two or more variables. The object to be examined in this study is the total value and rating of the issuance of Islamic bonds (sukuk) companies as independent variables and cumulative abnormal return shares of companies that issue Islamic bonds (sukuk) listed on the Indonesia Stock Exchange in 2015. The results of this study indicate the value of sukuk bond issuance and sukuk bond issuance ratings jointly affect stock returns. The value of issuing sukuk bonds partially affects stock returns and the rating of bond issuance has an effect on return.

scholarly journals CAN RAINMAKERS JUSTIFY THEIR PAY? THE ROLE OF INVESTMENT BANKS IN REIT M&AS

2021 ◽  
Vol 25 (4) ◽  
pp. 254-266
Author(s):  
Weiwei Zhang ◽  
Tiezhu Sun ◽  
Patrick Han Lin Goh ◽  
Zilong Wang ◽  
Nick Mansley
Keyword(s):  
Event Study ◽  
Value Creation ◽  
Abnormal Return ◽  
Prima Facie ◽  
Investment Banks ◽  
Cumulative Abnormal Return ◽  
Event Study Method ◽  
Contemporary Practice ◽  
The Prestige

This study explicitly rejects the prima facie proposition that the top-tier investment banks are capable of delivering supernormal value creation to the shareholders of a REIT acquirer in a corporate acquisition. Using the event study method, we find that REIT acquirers advised by market-leading investment banks suffer an average cumulative abnormal return of −4.41% following the M&A announcement, whereas REIT acquirers advised by non-top-tier investment banks only suffer an average cumulative abnormal return of −1.49%. The evidence shows that the contemporary practice of employing investment banks based on the prestige of the advisory firms could potentially result in value-destroying M&As for the REIT acquirers.

The Arab Spring and the International Defense Market

2020 ◽  
pp. 1-19
Author(s):  
Jeroen Klomp
Keyword(s):  
Political Violence ◽  
Abnormal Return ◽  
Arab Spring ◽  
Substantial Part ◽  
Dynamic Panel Model ◽  
Panel Model ◽  
Stock Market Return ◽  
The One ◽  
The Arab Spring ◽  
The Impact

Abstract The aim of this study is to analyze the impact of the political violence during the Arab Spring on the stock market return of international defense firms. The direction of this impact is not directly straightforward as the civil unrests influence the expectations of investors in two opposite ways. On the one hand, investors might expect that when the peaceful demonstrations were turned into violent events, the Arab governments involved will start acquiring more military-strategic goods to repress the protests or send a strong signal of power to ensure their stay in office. However, on the other hand, when the popular protests escalated, investors, perhaps, became more concerned about the possible imposition of international military sanctions against the Arab Spring countries to restore peace and protect human rights. The main empirical findings of a dynamic panel model clearly confirm this pattern and point out that when the Arab Spring originated, the abnormal return of international defense stocks starts to rise immediately. However, in the course of time, the concerns of the introduction of arms embargoes become stronger and eventually start to dominate, causing the abnormal return to fall again, while the idiosyncratic risk began to fall due to enhanced diversification. It turns out that firm-specific factors can explain a substantial part of the effect found. For instance, the reaction of investors to the Arab Spring is significantly larger for firms that produce predominantly military goods.

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