Calculating abnormal returns: The market model
Business alliances – a study of abnormal returns in the Nordic stock market
... the abnormal stock market return of a given firm during a specific ...stock market effect of the business alliance announcements given that the stock market behaves at least ...stock ...
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An Analysis of Investment Strategies and Abnormal Returns in the Vietnam Stock Market
... The main results of this paper show that there exist disparities in winners and losers stocks under E/P, B/M, and momentum effects. In fact, the BMI portfolios exhibit no excess return over the short term for almost ...
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Determinants of Abnormal Returns
... 17 that, the time period can be split into two sub-periods to look at effects of the financial crisis. In this thesis, the period 2005 till June 2007 will be addressed by the pre-crisis period. The during-crisis period ...
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The Abnormal Performance of Bond Returns
... futures returns and the business ...futures returns and economic activity should give us some insight as to whether the predictable movements in futures returns result from rational variation in the ...
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Abnormal Stock Market Returns around VIX Volatility Peaks : Is there evidence for abnormal return around volatility peaks?
... bear market, in the thesis the algorithm are used in a different context, determine phases of the volatility index, ...of abnormal return is not find in the literature when using phases of rising and ...
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Does capital market reaction to non-economic factors generate abnormal returns?
... cause market to react that makes investors affected and eventually influence to their investment ...the market in the first and second periods are in semi-strong form efficiency that is reflected by how ...
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The effects of a change in market abuse regulation on abnormal returns and volumes: Evidence from the Amsterdam stock market
... stock market behaviour surrounding news announcements for larger ...the market into different industries suggests that especially the technology sector has become cleaner, with no significant changes found ...
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Abnormal stock market returns to announcements of M&A banking deals in Greece 1996-2013
... significant abnormal returns for both bidding and target banks, a query is raised on whether the market is a Ƭǯperformance or M&Asǯ
a determinant of the ...small market like ...
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Investor sentiment and bidder announcement abnormal returns
... cumulative abnormal returns and the sentiment in the interval period between the merger announcement and three days after ...the market capitalization of bidders on the merger announcement, Public is ...
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Determinants of Abnormal Returns on the Ghana Stock Exchange
... the abnormal returns in Table ...the market instantaneously incorporated and adjusted stock prices before, during and after the dividend initiation ...efficient market, the stock prices will ...
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Fundamental Signals, Future Earnings, and Abnormal Returns
... stock market performance attempts to find associations between aggregate accounting performance measures, particularly measures of earnings, and market ...
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WHY ARE ABNORMAL RETURNS AFTER INSIDER TRANSACTIONS
... If market participants have relatively more information about large firms and firms with good analyst coverage, insiders in these firms should have less potential to trade on superior ...for market ...
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The Effect of Equity Returns of Shares Holders and Firm Size On Abnormal Returns On In IPO
... in market (or named as hot periods of primary public offerings in financial literature) and fluctuation of price measuring less than reality proportional to the market ...the market) and they ...
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The Relationship of the Content of the Market Value in the Explanation of Abnormal Stock Returns of Listed Companies in Tehran Stock Exchange
... and abnormal stock returns, positive and significant relationship between the ratio of book value to market, and the fact that there is no significant relationship between accruals and ...
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The Impact of the Abolition of tax credit on ex-dividend day abnormal returns in the united kingdom (uk) market
... sion model. The tax-induced change is incorporated in this model by using an interactive zero-one dummy (Post Fi- nance Act 1997) for whether or not the observation declines during the Post FA 97 ...
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COMFORT: A common market factor non-Gaussian returns model
... asset returns via a conditional multivariate distribution with dy- namics governed by a process which has features of both GARCH and stochastic volatility ...asset returns have their individual advantages, ...
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Dividend & Repurchase Disclosures and their Effect on Cumulative Abnormal Returns
... Normal returns can be modelled by either the constant mean return model or the market ...assumes returns of a stock to be constant through time, while the latter assumes the stock to have ...
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Financing Method and Abnormal Returns in Corporate Mergers and Acquisitions
... The acquisitions regarding buyers in the industrials industry and targets in the materials industry have not been extensively studied in previous literature and do not provide direct aid in interpreting the results of my ...
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Strategic sustainability and financial performance: Exploring abnormal returns
... Exploring abnormal returns Mollet, Janick Christian ; von Arx, Urs ; Ilic, Dragan Abstract: The ongoing empirical debate about whether SRI is associated, if anything, with subpar or surpassing financial ...
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An investigation of abnormal returns in distress exchange : a Norwegian case
... lost market value because of poor performance, they are inefficient producers, and they are likely to have high financial leverage and cash flow ...of market-based economy, if the liquidation value of a ...
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