The winner-loser anomaly: recent evidence from Greece

This article finds evidence of significant reversals in returns over the medium term in Greek stocks. In contrast with previous research, return reversals are more pronounced for past winners, suggesting that the market overreacts to a greater extent to good news. These contrarian returns are particularly elevated when portfolios are formed using quartiles and during tranquil and bull markets. The optimum contrarian strategy involves skipping the first 6 months of the holding period and implementing the contrarian strategy for a period of 18 months, as returns exhibit continuation followed by reversal. The profitability of the contrarian investment strategy is robust to adjustments for risk and seasonalities. It is the tranquil times and not the crisis/volatile times that generates a significant and profitable contrarian strategy. The recent credit crisis and resulting stock market falls, resulted in extreme movements in some Greek stocks and testing of the contrarian strategy problematic, especially when portfolios are decile ordered. Our findings also highlight the importance of survivorship bias and also suggest that contrarian strategies that just use market beta may be ill-equipped to take into consider extreme market movements, illiquidity and short-sales constraints.     

Non-tradable Share Reform and Tradable Shareholders＇ Wealth： An Event Study Analysis

On April 29, 2005, the reform of non-tradable shares was started. 46 companies were selected as the first and second batches of non-tradable share pilot reform, and among them 45 pilot companies finished their non-tradable share reform. This study examines the abnormal stock returns of the 45 pilot companies finishing their non-tradable share reform to determine whether tradable shareholders gain profits from this non-tradable share reform. By employing event study analysis, we find that tradable shareholders do gain profits from the non-tradable share reform. The average abnormal return of the 45 pilot companies was 10.62% on the resumption trading day after they finished their non-tradable share reform, which was statistically significant. We also find that the average abnormal return of high-compensation package group is significantly higher than that of low-compensation package group.     

企业R&D投资与市场收益关系——基于国家认定企业技术中心的数据

研发投资是企业自主创新能力的根本体现,出于投资者对研发型企业潜在增长能力、赢利能力和发展空间的高预期,研发型企业一般存在市场超额收益,企业研发密度与市场收益正相关。本文以国家认定企业技术中心为样本对这一问题作了研究。实证结果表明,国家级企业技术中心所属单位的市场平均收益高于市场组合的平均收益,整体上市的国家级企业技术中心单位比部分上市的国家级企业技术中心单位具有更高的市场收益。同时,这些结论也得到收益增长幅度指标的证实。     

股权分置改革的效应研究--来自深市中小企业板的实证

股权分置改革的效应研究采用事件研究方法。事件研究是一种重要的研究方法,通过对事件发生前后一段时间内股票价格变化的研究,既可以估计某一特定事件的影响程度,也可以检验市场的有效性程度。笔者采用事件研究方法来研究股权分置改革对深圳股市中小企业板的影响,得出结论：股权分置改革事件对深圳股市中小企业板短期内股价走势有显著影响,深圳股市尚未达到半强式有效。     

Political Stock Markets and Unreliable Polls

A political stock market (PSM) clearly beat the polls in predicting the outcome of a Swedish referendum on whether or not Sweden should join the European Union. In fact, polls were unable to make such predictions since the number of undecided respondents always far exceeded the observed YES/NO margin. However, an obstacle to PSMs serving as a superior forecasting instrument is that they can be sensitive to price distortions - by interest groups that may wish to effectuate, and pay for, such distortions - or forecast competitions tied to PSM trade gains, the latter of which was tested here.     

The impact of mergers on acquiring firm shareholder wealth: The 1905–1930 experience

From the standpoint of investors successful acquisitions increase profitability and stock Contemporary studies find acquiring firm shareholders earning small gains before and large losses after consolidation. Using modern financial market procedures, we examine a portfolio of 191 acquiring firms from 1905 to 1930 to determine the impact on firm owners of early industrial acquisitions in the United States and the effect of institutional changes on takeover gains. Acquisitions from 1905 to 1930 raised shareholder wealth by more than 3 percent, an increase exceeding gains from more recent mergers. Stock price continued to rise after completion for acquisitions before World War I, but fell dramatically for acquisitions during the oligopoly merger wave of the late 1920s.We would like to thank Patrick Byrne and Tara Nussman for help in collecting the financial data, Ralph Nelson for permitting us to use his and Carl Eis's worksheets on merger activity from 1905 to 1930, and George Bittlingmayer, Malcolm Burns, David Gulley, Stephen Grubaugh, Lori Leeth, John Matsusaka, Dennis Mueller, Rexford Santerre, Scott Sumner, Tugrul Temel, and Nikhil Varaiya for their helpful comments.     

The effect of debt capacity on the long-term stock returns of debt-free firms

This article examines the long-term stock market performance of debt-free firms with high and low levels of debt capacity to see whether they are different. We use Fama and French’s (1993) three-factor and Carhart’s (1997) four-factor models to examine the subsequent 1, 2, 3, 4 and 5-year stock returns of firms that stayed debt free for 3- and 5-year periods. We measure debt capacity as the expected asset liquidation value of a firm, which is proxied by the firm-level tangibility measure defined by Berger, Ofek, and Swary (1996). We find that regardless of the level of debt capacity, zero-debt firms generate positive abnormal returns in the long run after controlling for key risk factors. We also find support for the notion that preserving debt capacity in the form of higher tangibility reinforces the positive abnormal returns over and above the effect of a zero-leverage policy.     

Information in stock prices: the case of the 2016 U.S. presidential election

On the day before the 2016 U.S. presidential election, the odds of Hillary Clinton winning the presidency, according to political prediction markets, were above 90%. Surprisingly, Donald Trump won the Electoral College handily. In this study, we examine how movements in specific stock prices foreshadowed the eventual outcome. Specifically, we conduct a series of standard event-study tests focused on pharmaceutical companies, which became a focal point during the presidential campaign. Results show that while stocks of pharmaceutical companies significantly underperformed the market prior to the election, prices substantially increased beginning three days before the election outcome. This increase is both statistically significant and economically meaningful and robust to various event-study methodologies. These results suggest that some sectors of the stock market seemed to anticipate the election outcome.     

How stock markets react to regulatory sanctions? Evidence from France

Our study of how the stock market reacts to sanction announcements by the French financial regulator from 2004 to 2017 finds that the market reacts negatively when a sanction is announced in the press. Cross-sectional regression models show that the penalties are too low to influence market reactions. Our results suggest that after the financial crisis of 2008, a plethora of news on financial wrongdoings has desensitized markets to announcements of sanctions against large companies.     

股权分置改革效应模型及实证分析

Based on the sample of 939 Chinese listed companies in the 40 former reformed batches, this paper investigates the effect of Chinese split share structure reform and its impact factors. First, considering Chinese split share structure reform as an event, an effect model is set up by means of the event study method, which takes abnormal return rate as a basic indicator to measure the reform effect. Further, in order to look for the impact factors on the reform effect, the empirical comparing analysis for different batches, different trading posts and different boards are done. These results show that the reform has positive effects on Chinese stock market and increases value of the listed companies. There is higher transformable return rate in the reform batches which include more Chinese listed companies with high quality performances. The shareholders who are in Shenzhen Stock Exchange market get higher transformable return rate than the shareholders who are in Shanghai Stock Exchange market. SME board has higher transformable return rate than the main board.     

Do central bank foreign exchange interventions affect market expectations?

The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate.     

Which drives abnormal returns,over- or under-reaction? Studies applying longitudinal analysis

This article combined both cross-sectional and time-series longitudinal analysis to identify that factor anomalies are driven by either over-reaction or under-reaction. The basic principle is, first, use a factor to form 10 portfolios in the t quarter, then observe the average prices and returns of the 10 portfolios for the previous four quarters and for the following four quarters as well. Samples in this study contain all stocks listed in the US from 1990 to 2010. The empirical evidence shows that the reason for the abnormal returns of value (book-to-price ratios, earnings-to-price ratios, sales-to-price ratios), scale and liquidity factors is over-reaction. Meanwhile, the reason for the abnormal returns of growth factors (return on equity, return on assets and revenue growth rate) is under-reaction. The results provide significant policy implications. The anomaly returns of the value, scale and liquidity factors last longer and are more appropriate to be employed for long-run investment while the growth factors are better suited for short-run investment. Furthermore, a more profitable stock-selection strategy can be formed by simultaneously considering the above two types of factors to capture both of these two sources of anomaly returns.