Abnormal Returns
Recently Published Documents


TOTAL DOCUMENTS

1134
(FIVE YEARS 616)

H-INDEX

48
(FIVE YEARS 12)

2021 ◽  
Vol 16 (11) ◽  
pp. 33
Author(s):  
Nagendra Marisetty ◽  
M. Suresh Babu

The present research study examined the impact of different dividend rate announcements on stocks prices in the Indian stock market. Stocks selected from S&P BSE 500 index and study period from 2008 – 2017. The sample used for this study is 1755 pure cash dividend announcements (492 large-caps, 425 mid-caps, and 838 small-caps). Dividend rates are classified into six classifications to test the stocks' abnormal returns to different dividend classifications. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR). The results were observed twenty-one times based on market capitalization and dividend rate wise for a final dividend announcement. The results of the study are not the same for different dividend rate classifications and different market capitalizations. The study found positive abnormal returns on event day in most of the classifications, and it is similar to Litzenberger and Ramaswamy (1982), Asquith and Mullins Jr (1983), Grinblatt, Masulis and Titman (1984), Chen, Nieh, Da Chen, and Tang (2009) and many previous research results studied in major developed stock markets and emerging stock markets. Full sample and small-cap final dividend rate 100 percent to 199 percent average abnormal returns are positively significant, and other final dividend rate classification abnormal returns are positive in most of the observations, but returns are not significant. Large-cap average abnormal returns are more sensitive to different dividend rates, and small-cap reacts positively in all classifications. So, different market capitalization final dividend actions impact on stocks in India varies in different dividend rate classifications.


2021 ◽  
Vol 13 (10) ◽  
pp. 139
Author(s):  
Nagendra Marisetty ◽  
M. Suresh Babu

This research primarily aims to study the impact of dividend announcements on the stock price of companies listed in the Indian stock market. Incidental to the study, it is necessary to understand whether the market trends have any role in affecting the changes in share prices due to dividend announcements. The companies listed on the stock market are diverse in terms of the industry, market capitalization, and performance. We analyze the S&P BSE 500 index stocks, which declare cash dividend every year without fail for ten years from 2008 – 17. Total 1755 sample was tested for dividend announcement and sample divided into large, medium, and small sample sizes based on the market capitalization of the stocks to test the market trend effect. Event methodology market model used to calculate the abnormal returns on the dividend announcement day. The present research study examined the impact of dividend announcements on stocks in the Indian stock market. The results observe in twenty-four times based on market capitalization wise and market trend-wise dividend announcements. The results of the study are not the same for all dividend announcement observations. The study found positive abnormal returns on event day in most of the dividend announcement observations and it is similar to Litzenberger and Ramaswamy (1982), Asquith and Mullins Jr (1983), Grinblatt, Masulis, and Titman (1984), Chen, Nieh, Da Chen, and Tang (2009) and many previous research results studied in major developed stock markets and emerging stock markets. Full sample, large-cap, and small-cap final dividend average abnormal returns are positively significant only in bull market trend (period 2) similar to Below and Johnson (1996) and other market trends final dividend announcement abnormal returns are positive in most of the observations, but returns are not significant. Average abnormal returns are sensitive to market trends, especially abnormal small-cap returns more vulnerable to market trends.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Minhua Yang ◽  
Vikash Ramiah ◽  
Vijay Pereira ◽  
Yama Temouri ◽  
Abhishek Behl

PurposeThis paper documents and links firm- and country-level outcomes to the United Nations Sustainable Development Goals (UNSDGs) by portraying how the Chinese economy has fared during the COVID-19 crisis. It does so by shedding light on the factors that determine the effectiveness of health policies implemented in China.Design/methodology/approachUnlike the prior literature, in which lagging performance measures are used, the authors use leading indicators with event study methodology to develop effectiveness scores and identify the determinants of effectiveness, including financial variables, firm infection, geographical location of the spread, travel bans, lockdown periods, policies of home quarantine, health innovations and other innovative measures undertaken by the Chinese authorities.FindingsThe detailed disaggregated results show many dimensions where abnormal returns are indeed associated with various health policies and that the effectiveness, influenced by firm size, profitability, firm infection and location. The results remain robust when the authors control for various event windows and models and provide evidence of a strong UNSDG link, which the authors draw up a list.Research limitations/implicationsApart from the quantitative analysis approach, future studies can complement and add further insights by utilizing qualitative research approaches.Practical implicationsThe results offers robust evidence for policy-makers and firm managers on how a crisis of such proportions and subsequent health policies is affecting different firms and why.Social implicationsThe study shows how COVID-19 health policies open a new dimension in terms of energy demand reduction and lower emissions, factors linking to the UNSDGs.Originality/valueThe study is the first to show detailed disaggregated results across many dimensions where abnormal returns are indeed associated with various health policies and that the effectiveness, influenced by firm size, profitability, firm infection and location.


Author(s):  
Mustafa ÖZYEŞİL

The aim of this study is to comparatively analyze the backtest performances of trading disciplines applied in various portfolio baskets (Bist 30, 50 and 100) for different investment periods (short term – ytd and long term). According to the results of the analysis, it has been determined that in all trading disciplines, the investor has a higher return than the benchmark indicator in a 5-year term, that is, they can earn abnormal returns. Also, the return in the 5-year term is much higher than the 1-year and YTD returns. In the P / E & MA model, the Bist - 50 index in the 5-year period and the Bist - 100 index in the 1-year period provide the maximum return, while according to the P / E model, the Bist-30 and Bist -50 indices provide optimum returns in all maturity options. Based on these findings, it can be expected that if the trading disciplines used in this study are applied in a long term such as 5 years and on the portfolio basket consisting of Bist-30 and Bist-50 industrial stocks, it will maximize returns. In terms of risk and return, in YTD period, the sharpe and treynor ratios of the model portfolio formed in all trading disciplines except M /B trading discipline were lower than in 1 year in the 5-year investment period. This situation arose due to the increased risk of the portfolio as a result of the extended maturity and is in line with our expectations.


2021 ◽  
Vol 14 (9) ◽  
pp. 433
Author(s):  
Su-Chen Yu ◽  
Kuang-Hsun Shih

With the rapid advancement in technology, Taiwan’s integrated circuit (IC) design companies have made a mark in the international semiconductor industry but are unable to independently develop the key core technologies they need. Therefore, strategic alliances, competition and cooperation have become a means for enterprises to quickly obtain patents and capture the market. However, listed companies upstream and downstream of Taiwan’s supply chain have been facing patent infringement lawsuits in recent years. This research mainly aims to provide investors with investment strategies when companies face patent litigation, analyze the abnormal returns on the underlying stocks through the event research method, and use the cross-sectional multiple regression model to explore the changes in different factors based on the results. The empirical results show that positive abnormal returns are generated before and after a company faces patent litigation and the cumulative abnormal rewards are all positive and significant after the incident, which indicates that the company may still have an opportunity to make a profit when facing patent litigation, which can be used as a reference for investors.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Qingzhong Ma ◽  
David A. Whidbee ◽  
Wei Zhang

PurposeThis paper examines the extent to which noise demand and limits of arbitrage affect the pricing of acquirer stocks both at the announcement period and over the longer horizon.Design/methodology/approachAn event study approach was adopted to measure announcement-period cumulative abnormal returns. Long-horizon returns are measured using buy-and-hold abnormal returns (BHARs), calendar time portfolios (CTPRs), and subsequent earnings announcement period abnormal returns. Main methodologies include ordinary least squared (OLS) regressions, Logit regressions, and portfolio analysis.Findings(1) Acquirer stocks with high idiosyncratic volatility (the proxy for the security level characteristic most directly associated with limits to arbitrage) earn higher announcement-period abnormal returns. (2) The return pattern reverses over the subsequent longer horizon, resembling news-driven transitory mispricing. (3) The mispricing is greater when deal and firm characteristics exacerbate the limits of arbitrage, and it weakens over time. (4) Transactions by higher idiosyncratic volatility acquirers are more likely to fail.Originality/valueLimits of arbitrage theory have been tested mostly in information-free circumstances. The findings in this paper extend the supporting evidence for limits of arbitrage explaining mispricing beyond the boundaries of information-free circumstances.


2021 ◽  
Vol 36 (3) ◽  
pp. 462-490
Author(s):  
Son Tung Ha ◽  
Thi Hong Hanh Pham ◽  
Thi Nguyet Anh Nguyen

We examine the stock market performance of Vietnam’s listed firms in response to the country’s approval of the Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP). Employing an event study methodology, we first calculate the abnormal returns of all listed Vietnamese firms around the CPTPP’s approval date. Then, we attempt to link these abnormal returns to firms’ characteristics. We find evidence that the announcement of the CPTPP’s approval is associated with positive abnormal returns for Vietnam’s listed firms. We also find considerable heterogeneity in the magnitude and pace of the impacts of the CPTPP’s approval on market returns across Vietnam’s two stock exchanges. However, we fail to reject the null hypothesis that the market did not react to the CPTPP’s approval at the sectoral level.


2021 ◽  
Vol 10 (8) ◽  
pp. 779
Author(s):  
I Gusti Agung Egitha Satria ◽  
I Putu Yadnya

Ketersediaan informasi yang relevan pada suatu pasar modal khususnya pada sekuritas yang diperdagangkan sangatlah penting bagi investor, sehingga pasar modal dapat dikatakan efisien. Karakteristik investor dapat mengakibatkan pergerakan harga saham. Investor yang bersifat irasional dalam berinvestasi dapat menyebabkan terjadinya makret overreaction. Penelitian ini bertujuan untuk menganalisis keberadaan market overreaction pada IDX 30 periode penelitian 2016-2019. Pengambilan sampel pada penelitian ini menggunakan teknik purposive sampling dan mendapat sampel sebanyak 17 dari 45 populasi perusahaan yang terdaftar pada indeks IDX 30 selama 8 semester. Penelitian ini menggunakan abnormal returns winner, loser, dan loser-winner sebagai variabel penelitian. Pengujian statsitik untuk menguji perbedaan kumulasi rata-rata abnormal return saham winner, loser, dan loser-winner dengan menggunakan uji one sample t-test. Hasil penelitian ini menemukan gejala market overreaction pada ACAR portofolio winner, loser, dan ACAR loser-winner yang ditunjukkan dengan adanya pembalik harga (Price Reversal) pada setiap ACAR, namun pengujian signifikansi one sample t-test menunjukkan market overreaction yang terjadi tidaklah signifikan, yang ditunjukkan oleh t-hitung < t-tabel.                      Kata kunci: Market overreaction, Efisiensi Pasar, Price Reversal, Anomali Winner-Loser


Author(s):  
Fernando Henrique Taques ◽  
Nelson Areal ◽  
Leonardo Fernando Cruz Basso

The object of the research is to assess whether organizations’ ability to innovate may be able to explain abnormal returns to firms by composing risk factor models. Using R&D investment indicators and published patents from a global sample of companies for the period 1992 to 2018, the 3-factor, 4-factor and 5-factor risk models were applied. Partly the case is that increased investment in innovation contributes to better sales performance and, consequently, excess returns. Regarding the rolling-regression method, the results show few scenarios in which the ability to innovate is an explanatory factor for financial performance.


Sign in / Sign up

Export Citation Format

Share Document