Download or read book A Stock Split Event Study Using Sector Indices Vs Cdax and Some Extensions of the Standard Market Model written by David Bosch and published by GRIN Verlag. This book was released on 2011-08 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2009 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Humboldt-University of Berlin (Institut für Bank und Börsenwesen), course: Seminar of Banking and Financial Markets, language: English, abstract: There are many theories in literature which try to examine possible reasons for a stock split. While a stock split seems to be just a cosmetic corporate event, it is often claimed that the motivation to carry out a stock split is to signal future profitability or to bring the share price to a preferred trading-range. Additionally there are many papers published, where the impact of a stock split on liquidity and institutional ownership is examined. Some results of these studies are briefly discussed in the Literature Review. Most researchers calculate their abnormal returns with the market model by using the most common index in their economy. In this paper, I check whether sector-indices fit the data better than the CDAX does. In some cases, the sector-indices describe the stock returns better. Another topic of event studies that researchers of the finance area often deal with is whether the assumptions of the market model established by Fama, Fisher, Jensen and Roll (1969) do hold for daily stock returns. I will discuss some of the weaknesses when applied to financial time series and I present two models which can improve the efficiency of the model.
Download or read book I Just Did 400 Million Event Studies A Study of Market Model Robustness and Deterioration in Times of Crisis written by Mark Youhan Chen and published by . This book was released on 2014 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the financial crisis, stock returns became more correlated, increasing the R-square of market models estimated during that time. However, the overall increase in volatility also increased the standard error of these models. As a result, conventional event studies tend to find too many significant days, especially when looking further out of sample. In particular, I find that on the average day in September 2008, over 45% of stocks on the S&P 500 showed significant returns at the 5% level based on a market model estimated over the year ending September 2007. As such, I propose calculating new critical values (“RADS” critical values) using the distribution of the t-statistics of excess returns for a particular event study date and market model sample, such that only 5% of stocks in the index would be regarded as “significant”. These critical values, when calculated from S&P 500 companies, may also be applicable to other markets. In particular, I find that applying S&P 500 RADS to event studies on FTSE 100 companies leads to a tighter distribution of the proportion of companies with significant returns on each day around 5% regardless of the time period or the number of days the event is outside the market model sample, and results in a more meaningful determination of significance.
Download or read book Stock Market Reactions to the Announcements and Executions of Stock Splits and Reverse Stock Splits written by Pawel Jamroz and published by . This book was released on 2016 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to analyze the stock market investors reactions to the events of announcement and execution of stock-splits and reverse stock-splits carried out on Warsaw Stock Exchange (WSE) during the period 2004-2012. The study puts the emphasis on the differences between market reactions to standard stock-splits and reverse stock-splits. The results presented in this paper are based on the methodology of event study. The studied data sample consists of 45 instances of stock-splits and 6 instances of reverse stock-splits that took place on WSE in the specified period of time. Results obtained suggest no statistically significant reaction to the events of: split announcement, split execution and reverse split execution and a statistically significant (mostly negative) reaction to the event of reverse split announcement. Although some anomalies can be observed on close inspection of the data, in general the obtained results can be interpreted as evidence of investors' rationality with regards to events connected with stock-splits on the WSE.
Download or read book The Effects of Forward Stock Split Announcements on Stock Price Performance An Event Study Analysis of S P 500 Companies written by Steffen Maxim Hübener and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the effects of forward stock split announcements on the stock price performance of S&P 500 firms listed on the New York Stock Exchange (NYSE) or the NASDAQ Stock Exchange Global Select Market (NASDAQ) in the US between January 1, 2000, and June 1, 2023. In an event study, abnormal returns, their significance, and an evaluation of the effect of independent variables on cumulative abnormal returns are analyzed. These results are then linked to previous findings in the academic literature. The results reveal the presence of abnormal returns within the event window for certain cases, although the effects of the examined independent variables within the multivariate regression present a less conclusive picture. The independent variables examined include the stock split factor, analyst recommendation means, firm size, and ETF ownership. This study demonstrates that the relationships identified in samples with companies of varying sizes cannot be directly applied to large-cap companies of the S&P 500. Moreover, the variables that can be directly influenced by company management only show statistical significance in a few cases, indicating a more complex relationship at hand.
Download or read book Quantitative analysis of large stock market crashes written by Victor Odour and published by GRIN Verlag. This book was released on 2014-02-05 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Document from the year 2011 in the subject Business economics - Investment and Finance, grade: A, California State University, East Bay, language: English, abstract: The objective of this study is to structure a dependable model to forecast the timing of entry and exit from the stock markets by using multivariate linear regression analysis. The study uses major macroeconomic indicators such CPI, PPI, GDP, MEI as independent variables and the S&P 500 index value as the dependent variable. The sample consists of 30 years of monthly data. This study includes four different loss scenarios in the S&P 500 index value and analyzes the data to see if the losses can be absorbed or if further losses will occur. This report discusses the practical implications of using regression analysis and how it is used to predict the market movements. This paper concludes that our regression model can help an investor to anticipate market movements and thus make appropriate buy and sell decisions.
Download or read book Tick Size and Limit Order Execution written by Tom M. Arnold and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Evidence of Stock Split When Uncertain Event Window is Identified written by Arnat Leemakdej and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stock split is a popular practice in many markets despite the fact that it does not fundamentally change the value of the firm. Many past evidences supported the liquidity hypothesis and found positive abnormal return around stock split date. However, all studies employed traditional event studies methodology and defined the event date as either the announcement date or effective date. Drawback of the traditional method is the incapability to detect the impact when the event date is uncertain. This paper uses the new approach called EVARCH that can uncover the event window from the data. In addition, it takes the possible impact of stock split on stock's systematic risk and variance into account. New evidence from the Stock Exchange of Thailand during 2001-2005 reveals that there is no significant positive abnormal return. However, the study finds that the corporate might use stock split as a 'signal' of future capital increase to alleviate negative impact.
Download or read book An Empirical Note on US Stock Split Announcements 2000 2009 written by Xiaoqi Li and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article analyses the market reaction to stock splits announcements, using a unique US sample over the period 2000 to 2009. Our event study finds a significantly positive Cumulative Average Abnormal Return (CAAR) around the announcement date. Liquidity increases lead to higher stock price changes, which supports the liquidity improvement hypothesis. Further, firm size and abnormal returns are inversely related, which is in line with the attention hypothesis.
Download or read book The Market Reaction to Stock Splits Evidence from Germany written by Christian Wulff and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the market reaction to stock splits, using a set of German firms. Similar to the findings in the U.S., I find significant positive abnormal returns around boththe announcement and the execution day of German stock splits. I also observe an increase in return variance and in liquidity after the ex-day. Apparently, legal restrictions strongly limit the ability of German companies to use a stock split for signaling. I find that abnormal returns around the announcement day are consistently much lower in Germany than in the U.S. Further, I find that abnormal returns around the announcement day are not related to changes in liquidity, but (negatively) to firm size, thus lending support to the neglected firm hypothesis. On the methodological side the effect of thin trading on event study results is examined. Using trade-to-trade returns increases the significance of abnormal returns, but the difference between alternative return measurement methods is relatively small in short event periods. Thus, the observed market reaction cannot be attributed to measurement problemscaused by thin trading.
Download or read book Long horizon Event Study Methodology and Seasoned Equity Offering Performance in the Pacific Rim Financial Markets written by Prem George Mathew and published by . This book was released on 1999 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-horizon event studies are used to determine the long-term impact of events or announcements on security prices. Inferences from these event studies on the performance of a security are made with the assumption that the underlying model is well-specified. Recent studies, however, through simulation experiments, have shown that the use of the OLS market model results in an overrejection of the null hypothesis of no abnormal performance. The primary purpose of this study is to examine methodological issues related to long-horizon event studies using the OLS market model with data from the Japanese, Korean, Hong Kong and Taiwanese financial markets. Test specification and power of five parametric test statistics are analyzed through simulation experiments. The primary finding is that if the variance estimator of a test statistic is appropriately adjusted for the length of the event period, the test statistic is well-specified. Test statistic specification is also analyzed by examining the robustness of results of long-horizon seasoned equity offerings performance across three test statistics. Consistent with the simulation experiment results, the study of long-horizon SEOs also indicates that the variance estimator adjustment is crucial. A secondary purpose of this study is to examine long-horizon performance of firms issuing seasoned equity in these four markets. Firms issuing equity in the Japanese and Hong Kong markets generate negative and significant abnormal returns which is similar to the findings for U.S. firms issuing equity. Korean and Taiwanese SEOs, however, generate insignificant long-horizon abnormal returns. Differences in the organizational and regulatory structures in these countries provide some explanation for the differences in findings.
Download or read book Sector Index Returns and the Market written by Bradley T. Ewing and published by . This book was released on 2014 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reliance on stock market sector indexes for investment makes it essential to understand how various sectors behave relative to the market. Of particular importance is whether these relationships have changed over time. This paper examines the risk/return characteristics of five S&P sector indexes in pre- and post-1987 stock market crash periods. The results suggest that, relative to the market, the volatility of some sectors may change following major events. Index investing should not be thought of as a totally passive strategy. In light of these changing relationships, financial planners should make sure clients revisit investments, especially following major economic events.
Download or read book The Informational Content of Implied Volatility Around Stock Splits written by Brandon Julio and published by . This book was released on 2005 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research has been mixed with respect to whether option implied volatility reflects market expectations about future realized volatility for the underlying asset. This paper uses a previously documented volatility increasing event, the stock split, to investigate the informational content in implied volatility around stock split announcements. We find that the time series profile of implied volatility around stock splits is consistent with the predictions of standard option pricing theory. Option market participants appear to revise their forecasts of future realized volatility permanently upward at the split announcement. In addition, we find that changes in implied volatility at the split announcement provide informative forecasts of changes in realized stock volatility at the ex-date. However, these forecasts are biased and inefficient as other known, firm-specific variables improve the forecasts of changes in realized volatility. The use of intra-daily realized volatility estimates rather than those based on daily observations significantly reduces the bias in predictive regressions.
Download or read book Further Evidence on the Impact of Stock Splits on Trading Liquidity written by Józef Rudnicki and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock splits have attracted the attention of academicians and practitioners for a long time. Many debates revolve around these often called "cosmetic” events that do not bring about any direct valuation implications. In spite of their simplicity and theoretically no motivation for any potential reaction this corporate event exerts influence on various stock's characteristics like liquidity, rates of return, shareholders' base etc. Considering the time period 2000-May 2011 the author examines the behavior of share volume following the stock splits of companies listed on the New York Stock Exchange and reports a 1-percent significant deterioration of this proxy of liquidity. Additionally, the greatest amplitude of abnormal changes in liquidity is observed during two trading sessions around the actual stock split although there is provided no new information to the market through the physical split of the shares outstanding since it is well-known in advance. The results obtained are indicative of the fact that splitting the stock as opposed to liquidity and/or trading range hypotheses on splits leads to liquidity deterioration what, in turn, should result in greater liquidity risk faced inter alia by brokers and/or market makers who may be willing to compensate for this unfavorable corollary of the corporate event at issue and, as a result, to charge higher transaction costs in the form of e.g. greater bid-ask spreads. On the other hand, shareholders, both existing and prospective, are likely to demand higher compensation for increased risk by requiring greater returns on such stocks.
Download or read book Event Studies with Crypto Asset Returns written by Ryan Amsden and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides the first empirical evidence of how the unique properties of crypto-asset returns impact event-study test performance. Employing a simulation approach with actual price data from 1877 unique crypto-assets over the period of January 1st, 2015 to June 30th, 2018 reveals that both parametric procedures and non-parametric procedures often result in significant statistical errors. In the presence of event-day clustering, only the Generalized Rank T-Test is both powerful and well specified. To estimate abnormal returns, the market-model with a value-weighted index produces test statistics with distributions closest to expectation. The empirical evidence provided by the simulation then used in the first ever crypto-asset based event-study. Specifically, the event study investigated allegations of insider trading by the worlds largest crypto-asset exchange Binance.com. A total of 44 unique listing announcements during the period of September 2017 to June 2018. produce a statistically significant two day return of 13.6% (CAR(0,1)). However, the GRANK-T test fails to reject the null hypothesis of no insider trading during the three days preceding the announcements. Guidance and future applications of event-studies with crypto-asset returns are discussed.
Download or read book Market Liquidity written by Christoph G. Rösch and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Report on Financial Structures written by European Central Bank and published by . This book was released on 2002 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dividend Policy and Corporate Governance written by Luis Correia da Silva and published by OUP Oxford. This book was released on 2004-02-26 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividends are not only a signal about a firm's prospects under asymmetric information, but they can also act as a corporate governance device to align the management's interests with those of the shareholders. Dividend Policy and Corporate Governance is the first comprehensive volume on the relationship between dividend policy and corporate governance, and examines in detail empirical studies and current theories. Reviewing the interactions between dividend policy and other corporate governance mechanisms, it compares results for the UK and the US with those for other countries such as France, Germany, and Japan, and provides new empirical evidence on corporate governance in continental Europe and its impact on dividends. Focusing on one of the main representatives of this system, Germany, it highlights major differences between the dividend policies of German firms and those of UK or US firms. Conventional wisdom states that German dividends are lower than UK or US dividends, yet on a published-profits basis the exact converse is true. In addition, the authors demonstrate a link between corporate control structures and dividend payouts, report evidence that the existence of a loss is an additional determinant of dividend changes, and demonstrate that the tax status of the controlling shareholder and the firm's dividend payout are not linked. The conclusions reached in this book have important implications for the current debate on corporate governance, making it invaluable for academics, finance professionals, regulators, and legal advisors.
