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1.
    
We analyse, by means of appropriate event studies, the returns following seasoned equity offering announcements made by western European banks between 2008 and 2014. Consistently with the pertinent literature on non-financial companies, we find that shareholders experience negative returns. We highlight that the same occurs for bondholders, although not surprisingly to a smaller extent. Overall, our results show that seasoned equity offering announcements play an important signalling role also in the banking industry, despite the tight regulation and supervision by banking authorities, which should in principle reduce the impact on pricing of the information asymmetries about banks’ financial conditions.  相似文献   

2.
    
Using monthly data for 2005–2014 time period, this article documents the relationship between lagged stock returns and trading volume. We show that the dispersion of stock returns in a market portfolio positively affects future trading volume. We also show that extreme negative returns lead to high future trading volume while extreme positive returns have little effect on future trading. Dividing our sample into several sub-samples based on the Standard Industrial Classification (SIC) divisions leads to similar results for most of the SIC divisions.  相似文献   

3.
限售股流通与股价效应关系的实证研究   总被引:3,自引:0,他引:3       下载免费PDF全文
冯玲 《技术经济》2008,27(9):98-104
本文运用事件研究法对限售股上市流通的股价效应进行了实证研究。研究结果袁明:限售股的上市流通带来负的股价效应;样本公司的特征及股票的交易特性显著影响股价效应;在累积超额收益率为正的样本中,累积超额收益率与净资产收益率负相关,与区间日均股票换手率、股票每股收益正相关;在累积超额收益率为负的样本中,累积超额收益率与IPO到限售流通股上市流通的时间、账面市值比、区间日均成交量负相关。  相似文献   

4.
Theoretical considerations appear to support the conjecture that stock returns are positively related to growth in the long run. However, the empirical literature does not give unanimous support to the theory. Based on a stochastic general equilibrium model it is argued that the long-run relationship between stock returns and per capita income growth is ambiguous and depends on output volatility. Using a century of data for 20 Organization for Economic Co-operation and Development (OECD) countries it is shown that the relationship between stock returns and growth is positive over the period 1916–1951, in which output volatility was persistent. Outside this period no relationship between stock returns and growth is found. These findings are consistent with the predictions of the theoretical model.  相似文献   

5.
During the first 8 months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis, Juncker, and Schulz) on intraday stock returns in Germany, Greece, and the euro area during the period of 1 January 2015–19 August 2015. We show that positive statements indicating that a Grexit is less likely lead to higher returns, and negative statements to lower returns. The overall impact of negative statements is more pronounced. The cumulative absolute effects on stock returns are sizeable as the statements contribute to a variation of up to 58 percentage points in the ATHEX. These large effects are of particular relevance as our study only captures an 8-month snapshot of the Greek Government debt crisis.  相似文献   

6.
    
We investigate the impact of the outcome of the EU referendum (Brexit) on various sectors of the British economy over the period June–July 2016. Using the event study methodology, we assess the effects of Brexit, relative to what had been anticipated, as measured by abnormal returns (ARs). The results show that the banking and travel and leisure sectors were affected negatively, with a cumulative AR of ?15.37% for the banking sector. We observe that Brexit has a mixed effect on ARs with apparent sector-by-sector differences.  相似文献   

7.
上市公司股权激励的短期财富效应研究   总被引:4,自引:0,他引:4  
2006年1月至2008年1月我国共有60多家上市公司采取了股权激励的方案。采用事件研究法对这些上市公司股权激励案例进行实证研究发现,在选定的时间窗口内,总样本的股权激励活动会引起显著的股东短期财富效应变化。分类研究发现,股票期权的激励形式引起的财富效应大于限制性股票的形式,但是,高比例的股权激励并不一定产生较高的财富效应。另外,成长性也是投资者关注的因素之一。成长性高的公司的股价上升幅度较成长性低的公司大。  相似文献   

8.
The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.Research supported by Deutsche Forschungsgemeinschaft (DFG); I am grateful to Ralf Runde for preparing the data and to Gerd Ronning and an anonymous referee for helpful criticism and comments.  相似文献   

9.
Abstract

In this study, I make an effort to formulate a trading rule that would make use of some systematic interday patterns in individual stocks’ opening returns. I analyze intraday price data on all the stocks that were S&P 500 Index constituents during the period from 1993 to 2012. I document that if the general market direction of the previous day's opening session is controlled for, then a stock's opening return tends to be higher if, on the previous trading day, its opening return was relatively high (either positive, or higher than the same day's opening market return) and its open-to-close return was relatively low (either non-positive, or lower than or equal to the same day's open-to-close market return). Finally, for the sampling period, I construct two different investment portfolios involving a long position in the stocks on the days when, according to the findings, their opening returns are expected to be high and a short position in the stocks on the days when, according to the findings, their opening returns are expected to be low. Both portfolios are found to yield significantly positive returns, providing evidence for the practical applicability of the documented patterns in opening stock prices.  相似文献   

10.
Mahmod Qadan 《Applied economics》2013,45(31):3347-3366
This study presents a first attempt at investigating whether the international co-movements of real economic activity conform to the same international co-movements of financial activity. This study tests the international co-movements of real economic activity, on the one hand, and financial variables such as stock returns, interest rates, inflation rates and risk premiums, on the other hand. We employ a dynamic correlation model on data from OECD countries for the period 1980–2010. Our findings demonstrate that international stock markets co-react in accordance with the underlying international economic forces. We also document three other results. First, the correlation among countries with respect to real economic activity is statistically positive, but the level of this correlation is lower than that of financial variables. Second, there is a significant increase over time in the international correlation level with respect to the financial variables. Finally, the creation of the Euro Monetary Union and the adoption of an inflation targeting policy in many countries have increased the international correlation of all of the financial variables tested. The article concludes with two implications from these findings: (1) predictions in the context of international portfolio diversification, and (2) policy making at the fiscal and monetary levels.  相似文献   

11.
Haze pollution has become the most important environmental issue in China in recent years. Using the data of PM2.5 concentration and stocks of listed companies located in Beijing between 2010 and 2014, this article investigates the effects of haze pollution on stock performances. Empirical results indicate that haze pollution has significant negative effects on stock returns and significant positive effects on stock volatilities, through the channel of investors’ mood. Furthermore, the effects of haze pollution on stock returns emerge gradually and the effects of haze pollution on stock volatilities weaken gradually over time during a trading day.  相似文献   

12.
Using an event study approach, we seek to estimate the value investors placed on Steve Jobs by investigating the stock market reactions to his death. In the three-day window surrounding his death, the estimated cumulative abnormal returns are ?5.76%. Given the market capitalization of Apple at the time, it can be inferred that investors valued Steve Jobs at 20 billion dollars. While tragic, the news about Jobs’ death is greeted favourably by Apple’s competitors. The competitors appear to be convinced that, without Steve Jobs, they can compete with Apple better.  相似文献   

13.
    
This study is aimed to identify the impact of credit rating announcements on the stock returns in stock markets and for this purpose, four different sectors of Pakistan stock exchange were selected and from each of these four sectors, different business organizations were selected, i.e. total 32 business organizations were selected. The credit rating announcement data were collected for these 32 business organizations belonging to four different sectors. Totally 101 credit rating announcements were selected and the time period for which the credit rating warnings were selected include last three years period, i.e. from 2014 to 2016. The collected data were analysed by calculating abnormal returns for each of the selected security and average abnormal returns, and cumulative average abnormal returns were calculated for four different sectors. Event study methodology was applied, and t-test and t-stats value were calculated and results were analysed on the basis of t-statistics. The results of analysis identified that credit rating announcements have a significant impact on stock prices and investors and other market participants are earning abnormal returns during two-day period after the announcements are made. In addition, these abnormal returns were either negative or positive, depending upon the nature of credit ratings announced. If the credit rating announced was upgraded, investors enjoyed positive abnormal returns while in case when credit rating announcements were downgraded, then investors bear negative abnormal returns. Finally, the findings of the study identified the applicability of random walk hypothesis on the Pakistan Stock Exchange and Pakistan Stock Exchange confirms the efficient market hypothesis with its semi-strong form of efficiency.  相似文献   

14.
冯乾 《财经研究》2016,(8):62-73
掌握主权信用评级变动的市场影响及其传染机制,对于投资者、国家金融安全及政府采取应对措施来说都意义重大。文章采用事件研究法,以1990-2013年全球48个经济体发生的评级事件和每日股指收益率数据为样本,实证研究了事件国评级变动对非事件国股票市场的影响及其传染渠道,结果表明:(1)评级下调会对股票市场产生显著为负的超额收益,但评级上调产生的超额收益不显著;(2)股票市场可以提前预测评级下调事件,但不能预测评级上调事件;(3)季风效应对评级调整的市场传染有一定的解释力;(4)净传染效应基本不显著,这说明评级事件的市场传染应该有经济基础,而不是由投资者心理预期这类非基本面因素造成的;(5)溢出效应可以较好地解释评级的市场传染,是评级变动影响市场及传染的主要渠道。文章的结论深化了我们对评级调整如何影响股票市场及其传染渠道的认识,也为中国防范国外主权信用评级变动风险提供了有益启示。  相似文献   

15.
While numerous studies have investigated the relationship between oil volatility and stock returns, it is surprising that little research has examined the quantile dependence and directional predictability from oil volatility to stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries. We address this issue by using the cross-quantilogram model proposed by Han et al. (2016). The empirical results show that, overall, oil volatility has a directional predictability for the stock returns in BRICS countries. When the oil volatility is in a low quantile (lower than its 0.1 quantiles), it is less likely to show either a large loss or a large gain in the stock market. In contrast, there is an increased likelihood of either large loss or a large gain in the stock market when the oil volatility is in a high quantile (higher than its 0.9 quantiles). The directional predictability from the oil volatility to stock returns depends on the net position of oil imports and exports of these BRICS countries in the oil market. The net oil exporters (Russia and Brazil) are less likely to have large gains and large losses in the stock market than are the net oil importers (India, China, and South Africa) when the oil volatility is in a low quantile. The net oil exporters are more likely to have large gains and large losses than are the net oil importers when the oil volatility is in a high quantile. The results are robust to change in the variable of oil volatility and the sample interval.  相似文献   

16.
    
This study utilises the stock market data provided by the Australian Equity Database to analyse the long-run relationship between Australian stock returns and key macroeconomic variables over the period 1926–2017. To measure the diverse risk factors in the stock market, we examine the possible determinants in four main categories: real, financial, domestic and international. Our results reveal that historical stock returns are strongly connected to financial and international factors as compared to real and domestic factors. Both the 1973–1974 OPEC Oil Price Crisis and 2007–2008 Global Financial Crisis had dampening effects on stock returns. There is a positive association between the US and Australian stock markets in the long-run. These findings on stock market dynamics and their linkages with domestic and international macroeconomic policy changes in the long-run have important implications for traders and practitioners.  相似文献   

17.
刘璐  洪剑峭  张新 《经济管理》2020,42(5):158-172
本文基于2014—2018年发布的沪深两市A股上市公司深度研究报告,考察了分析师报告中关于估值方法的描述,探究分析师估值模型的选择是否会对其投资意见的信息含量产生影响。研究发现,分析师采用绝对估值模型能够提高评级调整的市场反应,具有一定的增量价值。进一步分组检验发现,在公司成长性较高、不确定性较大、券商实力较弱、分析师之间的竞争程度较高的情况下,使用绝对估值模型对于提高分析师评级调整的信息含量作用更大。本文的研究结论对于理解分析师估值过程的价值和有效性以及分析师研究报告信息含量的影响因素具有重要意义,并为投资者如何使用和评价分析师研究报告提供了一定的参考。  相似文献   

18.
    
This paper explores how elections impact stock markets across diverse political institutions. I argue that electoral and party systems impact the fragmentation, credibility, and predictability of electoral information, influencing levels of uncertainty resolved by elections and leading to distinct stock market reactions. First, elections in majoritarian electoral systems produce larger cumulative abnormal returns (CARs) than elections in proportional representation systems. Second, the weaker institutionalized a party systems is, the larger are the CARs around elections. Third, these two institutional variables interact. Elections in majoritarian (proportional representation) systems with weak (strong) party system institutionalizations will have particularly large (small) CARs. I formally derive these propositions, conduct event studies of the impact of 87 elections on SMs in 21 countries from 1999 to 2016, and analyze four case studies.  相似文献   

19.
    
This article investigates the impact of microstructure factors on asset pricing in some African stock markets. We use data on stocks listed on the Johannesburg Stock Exchange, the “Bourse Régionale des Valeurs Mobilières, and the Nigeria Stock Exchange, and we consider international portfolio management from 2000 to 2014. Generalized least square and fixed effect are estimation methods used to highlight the effect of microstructure variables on expected return. At the same time, panel smooth transition regression (PSTR) modeling is considered to identify the thresholds in this effect. The results show that liquidity and to a lesser extent the number of trading days are the most common significant microstructure variables for all the studied markets. However, other variables’ effects on the return are specific to the considered stock markets. Furthermore, the PSTR estimator reveals that the impact of indicated factors on asset pricing is not linear because it produces a double threshold between return and microstructure.  相似文献   

20.
Recent empirical work suggests a predictive relationship between stock returns and output growth. We employ quarterly data from a panel of 27 countries to test whether stock returns as useful in predicting growth. Unlike previous research, our approach allows for the possible non-linear effect of recessions on the growth-return relationship. There is strong evidence to suggest that a linear model would be misspecified and provide potentially misleading inference. Using a switching regression approach, we find evidence that returns are most useful in predicting growth when the economy is in recession.First version received: November 2002/Final version received: April 2003This paper benefited greatly from discussions with Kalvinder Shields, Mark Harris, Pete Summers, and Vance Martin. Two anonymous referees provided useful comments on an earlier version of the paper for which we are grateful. The usual disclaimer applies to any errors and omissions. Funding from The University of Melbourne greatly assisted in the completion of this paper.  相似文献   

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