abnormal returns
An empirical study on abnormal returns of listed companies of Chinese pharmaceutical industry
... the abnormal returns of the two pharmaceutical companies are significantly different ， the stock portfolio is significantly superior to the cash, and the longer the holding periods, the more obvious the ...
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Deviation from Optimal Level of Cash Holdings and Cumulative Abnormal Returns
... Abstract The Present study investigates the relationship between deviation from optimal level of cash holdings and future performance in 188 active accepted firms of Tehran Stock Exchange (TSE) during 2003-2012. To do ...
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AN INVESTIGATION INTO LONG-RUN ABNORMAL RETURNS USING PROPENSITY SCORE MATCHING
... long-run returns often use decile breakpoints using NYSE ...long-run abnormal returns starting from the month of February for 12, 36, and 60 months using the methods described ...
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Effect of Capital Structure on Cumulative Abnormal Returns in the Companies Listed in T.S.E
... a confidence level of 99 percent. The can be said is linear regression model. The most effective variables are in the model. First, financial leverage, Secondly Beta and afterwards is price relative to book value of ...
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Dividend & Repurchase Disclosures and their Effect on Cumulative Abnormal Returns
... found returns in the month of announcement and the dividend change to be significantly positively related with the exception of initial dividend ...day abnormal returns to be related to dividend ...
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The Effect of Equity Returns of Shares Holders and Firm Size On Abnormal Returns On In IPO
... is abnormal fluctuation which this is the result of informational content of ...and abnormal return methods in firms which accept ...positive abnormal return and a negative relation exists between ...
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A STUDY ON DIVIDEND ANNOUNCEMENT AND ABNORMAL RETURNS OF POPULAR SECTORAL INDICES OF NSE
... Investors try to keep themselves abreast with latest information which they gather from corporate announcements. On the basis of this information, investment strategies are given the shape and decisions are made. ...
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Does capital market reaction to non-economic factors generate abnormal returns?
... Joanna, L.H. & Stephenson, E.F. (2013) analyzed whether the Costa Concordia sinking affected to the stock price of the ship’s operator, Carnival Cruise Lines. In order to accomplish their research aim, they collected ...
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Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"
... low returns (Ritter, 1991; Loughran and Ritter, ...firm returns. Finally, the skewness bias arises because abnormal returns are not normally ...firm returns are skewed to the right ...
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IMPACT OF STOCK SPLIT ANNOUNCEMENT ON MARKET PERFORMANCE OF STOCKS: A STUDY WITH REFERENCE TO MANUFACTURING INDUSTRIES IN INDIA
... excess returns (AAR) for each relative day t are calculated across the ...cumulative abnormal returns (CAAR) are the sum of the average excess returns over event ...
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The Existence of Accrual Anomaly Phenomena in Indonesia Capital Market
... (negative) abnormal returns in the ...significant abnormal return score of 10.4%. The abnormal return happens because the accruals and cash flows are negatively ...an abnormal return ...
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Returns On Large Stock Price Declines And Increases In The South African Stock Market: A Note On Market Efficiency
... To define ARs, both the market-adjusted-model and the market-model are used. The usage of the market- model is motivated by the work of Brocket, Chen, and Garven (1999). Their results suggest that the classical event ...
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An examination of stock split and special dividend announcements in relation to market timing opportunities, business cycles, and monthly patterns : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, School of Economics and Finance, College of Business, Massey University
... raw returns in matched non- splitting firms are positive even though they are significantly lower than the positive raw returns for splitting ...model, abnormal returns become negative three ...
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DIVIDEND ANNOUNCEMENTS AND THE ABNORMAL STOCK RETURNS FOR THE EVENT FIRM AND ITS RIVALS
... average abnormal returns of event firms around 21 days ...average abnormal return was negative during nine days before announcement date and it was negative for six days after dividend announcement ...
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The effect of the disclosure of financial information quality on the relationship between abnormal earning and abnormal stock returns in Tehran Stock Exchange
... stock returns and variables accounting profit (0/31), abnormal returns (0/96), profit unusual accounting (0/29 and the quality of disclosure (0/11) are at 1% level ...variables abnormal ...
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Are the Announcements Regarding Macroeconomic Fundamentals Responsible for Changes in the Dynamics of Stock Markets? CEE vs Developed Markets
... The abnormal and cumulative abnormal returns follow the previously explained paradigm and exhibit a low sensitivity towards the announcements included in the ...for abnormal and cumulative ...
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Impact of demonetization on shareholders` wealth: case of India
... cumulative abnormal returns were compared with the paired t-test for robustness and the results are presented in Table ...abnormal returns. And this impact of demonetization on cumulative ...
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Insider trading around earnings announcements:implications for information dissemination in financial markets
... announcements abnormal returns on the trading activity of insiders and short ...adjusted abnormal returns. Returns are adjusted for the corresponding 5x5 size and book to market ...
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Determinants and financial consequences of the method of payment in corporate acquisitions
... Cumulative abnormal returns to bidders over the period -40 to -1 days by the method of payment Pairwise comparison of the bidder's abnormal return over the period -40 to -1 days for diff[r] ...
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Stock Price Reactions on NASDAQ Stock Exchange for Special Dividend Announcements
... significant abnormal returns statistically and dividend has no content of information for stocks’ prices and returns ...no abnormal returns generated by the announcement of cash ...
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