scholarly journals A Study on the Effect of Resizing Tick Size on Stock Prices Using the Event Study Method

2021 ◽  
Vol 7 (2) ◽  
pp. 37-48
Author(s):  
Hiroyuki Maruyama ◽  
Tomoaki Tabata ◽  
Takaaki Hosoda
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Tick Size ◽  
Event Study Method

scholarly journals Food and beverage stocks responding to COVID-19

2021 ◽  
Vol 18 (3) ◽  
pp. 359-371
Author(s):  
Lai Cao Mai Phuong
Keyword(s):  
Decision Making ◽  
Event Study ◽  
Stock Prices ◽  
Policy Implications ◽  
Market Theory ◽  
The Third ◽  
First Case ◽  
Event Study Method ◽  
Food And Beverage ◽  
Efficient Market Theory

This paper investigated how food and beverage (F&B) stocks react to COVID-19. The event study method was applied to four events including the first and second events, were the first COVID-19 positive patients detected in the largest and second-largest economic center of Vietnam. The third and fourth events are related to strong measures to prevent the spread of COVID-19: the nationwide lockdown at the beginning of the second quarter of 2020, and the lockdown of Danang at the beginning of the third quarter of 2020. The results show that the reaction of F&B stock prices to events supports the semi-strong form of efficient market theory. The strong and lasting negative reaction of F&B stocks to the first event can be explained by surprise (first case in Vietnam) and Hochiminh city’s economic engine driving role in the development of Vietnam’s economy. The study finds that heuristic decision-making from nationwide lockdowns (suppression of supply chains during lockdowns) can explain the sub-sector of farming-fishing-ranching products reacted more strongly to the lockdown event in Danang. Based on the research results, this paper provides some policy implications for managers and notes for securities investors.

The impact of COVID-19 outbreak on Borsa Istanbul: an event study method

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yunus Karaömer ◽  
Songül Kakilli Acaravcı
Keyword(s):  
Financial Markets ◽  
Event Study ◽  
Stock Prices ◽  
Significant Contribution ◽  
Event Data ◽  
Content Type ◽  
Unusual Event ◽  
Event Study Method ◽  
Research Gap ◽  
The Impact

PurposeThis study aims to research how the outbreak of coronavirus disease 2019 (COVID-19) impacts the selected sector price indices in Borsa Istanbul (BIST), Turkey.Design/methodology/approachThe authors use the event study method because it is a useful method as stock prices and market instantly reflect the effect of such an unusual event. Data are retrieved from the https://www.investing.com/.FindingsThe authors find that selected sectors are impacted by the COVID-19 outbreak. The banking and transportation sectors, on the announcement of first death, were impacted negatively, while the telecommunication and food –beverage sectors were impacted positively. The transportation and banking sectors experience an obvious downturn after the spread of COVID-19, while the food–beverage and telecommunication sectors experience an obvious upturn after the spread of COVID-19. Besides, the most adversely impacted sector is banking.Originality/valueThis study bridges the research gap and adds significant insights to the existing literature. The main contribution of this study to the existing literature is the unexpected outbreak impacts on financial markets, especially on BIST. It is also expected that this study will make a significant contribution to analysts, researchers and policymakers.

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.

Market reactions to the inclusion of people with disabilities

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Claudia Araceli Hernández González
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
People With Disabilities ◽  
Market Reactions ◽  
Content Type ◽  
Study Methodology ◽  
Research Advance ◽  
The Impact

PurposeThis study aims to provide evidence of market reactions to organizations' inclusion of people with disabilities. Cases from financial journals in 1989–2014 were used to analyze the impact of actions taken by organizations to include or discriminate people with disabilities in terms of the companies' stock prices.Design/methodology/approachThis research is conducted as an event study where the disclosure of information on an organization's actions toward people with disabilities is expected to impact the organization's stock price. The window of the event was set as (−1, +1) days. Stock prices were analyzed to detect abnormal returns during this period.FindingsResults support the hypotheses that investors value inclusion and reject discrimination. Furthermore, the impact of negative actions is immediate, whereas the impact of positive actions requires at least an additional day to influence the firm's stock price. Some differences among the categories were found; for instance, employment and customer events were significantly more important to a firm's stock price than philanthropic actions. It was observed that philanthropic events produce negative abnormal returns on average.Originality/valueThe event study methodology provides a different perspective to practices in organizations regarding people with disabilities. Moreover, the findings in this research advance the literature by highlighting that organizations should consider policies and practices that include people with disabilities.

The Event Study Method in Logistics Research

2018 ◽  
Vol 8 (1) ◽  
pp. 57-79 ◽  
Author(s):  
Lincoln C. Wood ◽  
Jason X. Wang
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
External Factors ◽  
Cross Sectional ◽  
Design Considerations ◽  
Managerial Decisions ◽  
Alternative Approach ◽  
Research Designs ◽  
Event Study Method ◽  
Management Changes

Logistics researchers often want to understand how particular management changes or external factors influence a firm. While this can be accomplished using operational or survey data, the authors outline an alternative approach using the event study method where inferences are made with the estimated magnitude and direction of abnormal returns. The calculated abnormal returns can be used as a dependent variable in a cross-sectional regression to understand which managerial decisions may affect these outcomes. As the method remains little used by logistics researchers, the authors outline key assumptions and design considerations. They review recent articles and provide suggestions for logistics researchers improve the rigor of their research designs. This article aims to provide an overview of the method for logistics and supply chain researchers with a focus on developing the capability to design an effective study and to evaluate research articles to assess methodological weaknesses that may lead to untrustworthy results.

scholarly journals Is ESG Relevant to Electricity Companies during Pandemics? A Case Study on European Firms during COVID-19

2022 ◽  
Vol 14 (2) ◽  
pp. 852
Author(s):  
Florin Teodor Boldeanu ◽  
José Antonio Clemente-Almendros ◽  
Ileana Tache ◽  
Luis Alberto Seguí-Amortegui
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Initial Phase ◽  
Negative Impact ◽  
Abnormal Returns ◽  
Negative Influence ◽  
Electricity Sector ◽  
Renewable Electricity ◽  
Study Approach

The electricity sector was negatively impacted by the coronavirus disease (COVID-19), with considerable declines in consumption in the initial phase. Investors were in turmoil, and stock prices for these companies plummeted. The aim of this paper is to demonstrate the significant negative influence of the pandemic on abnormal returns for the electricity sector, specifically for traditional and renewable companies and the influence of ESG scores, using the event study approach and multi-variate regressions. Our results show that the pandemic indeed had a negative impact on the electricity sector, with renewable electricity companies suffering a sharper decline than traditional ones. Moreover, we find that ESG pillar scores affected electricity companies differently and are sector-specific. For renewable electricity companies, the returns were positively influenced by the environmental ESG scores and negatively by governance ESG scores.

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.

scholarly journals Harga Saham Sebelum dan Sesudah Stock Split

2020 ◽  
Vol 3 (2) ◽  
pp. 390-395
Author(s):  
Junita Putri Rajana Harahap ◽  
Murni Dahlena Nasution
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Method ◽  
Price Difference ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
A Company

The stock split causes the stock price to be cheaper so that it will attract potential investors to buy the stock. This research was conducted to determine when it is time for a company to do a stock split, information available on the capital market can be used by investors for consideration before investors make a decision to invest in shares. The study aims to determine the changes that occur in stock prices before and after the stock split policy by the company. The research method used in this research is event study research with a quantitative approach. This study examines how significant the stock price difference is after a stock split policy. The sample used in this study were all companies that carried out the 2016-2018 stock split policy. The results of research on companies that become samples have shown that the average stock price before the announcement of the stock split policy has no significant difference with the average stock price after the announcement of the stock split policy Keywords : Stock Price, Stock Split

scholarly journals Is the market swayed by press releases on corporate governance? Event study on the Eurostoxx banks

2018 ◽  
Vol 15 (3) ◽  
pp. 23-31 ◽  
Author(s):  
Marina Brogi ◽  
Valentina Lagasio
Keyword(s):  
Corporate Governance ◽  
Event Study ◽  
Stock Prices ◽  
Investment Decisions ◽  
Press Releases ◽  
European Banks ◽  
Study Methodology ◽  
The Impact ◽  
Governance Disclosure ◽  
Event Study Methodology

Are press releases on Corporate Governance price sensitive? What is the impact of Corporate Governance information on stock prices of banks? This paper addresses these questions by applying an event study methodology on 70 press releases published by the Euro area banks listed on the Eurostoxx banks Index, from 2007 to 2016. Systemic shocks are explored as well idiosyncratic ones. Our results show that investment decisions are significantly but negatively influenced by the disclosure of a press release on corporate governance as if this kind of news leads investors to perceive the banks’ prospects negatively. The best of our knowledge this is the first paper that investigates European banks press releases on corporate governance. Findings are relevant for banks’ management and their disclosure policy. Nonetheless, further research is needed to investigate differences and similarities between an area of governance disclosure and another.

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