Do Reverse Stock Splits Benefit Long-term Shareholders?

This paper examines the market response of the reverse stock splits by using the effective date to trace the abnormal returns after reverse splits over the period of 1981 to 2010:3. The findings show that the short-term behavior of the abnormal returns on the effective date is negative and highly significant for all firms. The abnormal returns on the effective month are negative and highly significant. As expected, the cumulative abnormal returns are negative and significant at 10?% level over the period of +1 to +12?months. However, the cumulative abnormal returns from month +13 to month +36 are significantly positive. Our findings also support that institutional investors show confidence by increasing mean holdings of reverse splits of large capital stocks.     

危机事件的溢出效应:同质混合还是异质共存?——来自“3Q大战”的实证研究

文章以"3Q大战"为例,从竞争关系和社会距离两方面对危机事件的溢出效应进行了探讨,并首次证实了溢出效应具有异质性。具体而言,在竞争关系方面,竞争公司在危机事件中获得了正的累积超常收益而表现为竞争效应,而非竞争公司的累积超常收益则为负而表现为传染效应;在社会距离方面,距离最远的对立阵营在危机事件中获利,而中立阵营和联盟阵营则受损。文章不仅弥补了现有研究只关注混合的溢出效应的不足,也为未来深入探讨溢出效应的影响因素提供了经验证据。     

New Evidence of Psychological Barrier from the Oil Market

The authors examine how stock returns were affected when the oil price reached the psychological barrier of US$100 per barrel for the first time in history. Using an event study approach, 4 key results emerge. First, the authors show that a psychological barrier event in the oil market does affect stock returns. Second, they show that a psychological barrier event in the oil market is a source of return drift—a phenomenon well explained and understood with respect to nonoil news events. Third, the psychological barrier affects small/medium-sized stocks and not large stocks. Last, the authors show that successful trading strategies can be devised based on the information that the oil price psychological barrier significantly impacts the market and that it contributes to return drift.     

Does Social Media Get Your Attention?

The author investigates how social media affects stock prices and post–earnings announcement drift in response to companies’ quarterly earnings announcements. Using quarterly earnings data as well Twitter and StockTwits data, the author utilizes Twitter volume and a residual methodology to generate an attention proxy that is orthogonal to the growth of Twitter accounts. The author finds that the new attention brought by social media after the earnings announcements positively affects the cumulative abnormal returns. Further, even companies reporting bad news can still have positive immediate cumulative abnormal returns if they attract enough attention from investors after an earnings announcement. The new attention effects are different in both magnitudes and statistical significance between social media popular and unpopular industries.     

Abnormal returns before acquisition announcements: evidence from Europe

Acquisition announcements influence the stock price of target firms, providing an opportunity for insiders to obtain significant abnormal returns. We study the presence of positive abnormal returns before the announcement date, in target firms, quoted in Euronext markets (Belgium, France, The Netherlands and Portugal) from 2001 to 2007. We investigate whether the pre-announcement run-up of prices can be explained by rumours in the media and the percentage of capital previously owned by the bidding firm, among other factors. We examine cumulative abnormal returns in an event window of 60 days prior the acquisition announcement, with the event date adjusted for the previous disclosure of news about the acquisition, in the media. We compute a run-up index, and find that there are abnormal positive returns before the announcement date, confirming previous studies. We find that a significant part of the run-up is explained by: (i) market anticipation triggered by legitimate sources of information, namely, rumours in the media about the possibility of an acquisition bid and (ii) the percentage of capital previously owned in the target firm, by the bidding firm.     

Germany's New Insider Law: The Empirical Evidence after the First Year

Abstract. This paper investigates insider trading activities in German stocks during the first year following implementation of the new Insider Law on 1 July 2002. It can be observed that insiders act as contrarian investors. They buy stocks after prices have fallen and sell stocks after prices have risen. In general, insider trades are very profitable. A typical stock purchased by an insider yields an abnormal return of almost 3 per cent during the 25 days following the transaction. In contrast, a typical stock that has been sold by insiders achieves an abnormal return of nearly −3 per cent over the same time period. Outsiders who copy the transactions of insiders can achieve nearly the same abnormal returns. Abnormal returns remain substantial even after transaction costs. The results suggest that prices of stocks in which insiders trade do not seem to be semi-strong efficient.     

噪音交易与股价过度波动:理论与中国经验分析

中国股市股票价格的波动性过大,引起这种现象的一个重要原因是噪音交易的存在和频繁发生。本文采用事件分析法,随机抽取了上海A股市场的近200种股票作为样本,通过构建正反馈交易的"涨幅组合",对噪音交易者投资的累积异常收益率进行检验。结果表明:股市过度波动与噪音交易频繁有密切的联系;噪音交易者通常要承受巨大的风险,但其投资收益率一般情况下却为负。     

累积投票制与投资者保护

 基于近年来频发的个股崩盘现象,本文运用2013-2018年上市公司的数据,对大股东减持前的业绩预告信息进行分析,探究业绩预告、大股东减持与股价崩盘风险之间的内在联系,并针对不同市场环境和股份性质进行实证检验。结果表明,上市公司倾向于在减持前公布积极业绩预告。其在一定程度上提高股价崩盘现象的发生率,在熊市和民营公司中作用更加明显,消极业绩预告影响不显著。本文的研究丰富了信息披露与股价反应的相关文献,对投资者和监管部门做出决策具有一定的启示意义。     

Return patterns of South Korean stocks following large price shocks

This study tests the market efficiency of the South Korean stock market by examining returns on stocks of the constituents of the KOSPI 50 from 2000 to 2014 following large 1-month price decreases and increases. An exponential GARCH (EGARCH) event study framework is used to analyse the stock returns. The results show that large price shocks, positive and negative, are likely to be followed by positive market returns. Moreover, the results show an increase in the beta of stocks in the years following a large price shock. The overall results therefore support the Uncertain Information Hypothesis. However, beginning in 2008, return patterns more closely reflect those hypothesised by the Efficient Market Hypothesis, possibly due to increased participation by international investors. The observed returns following large price increases and decreases can be partially explained by changes in the Korean won to US dollar exchange rate and the trading behaviour of foreign investors.     

Returns of Small Growth Stocks: An Empirical Analysis

I investigate the mean reversion tendency of small growth stocks. Using a carefully articulated research design employing established and empirically tested principles, my findings should support or refute the anecdotal evidence that small growth stocks make superior investments. The primary motivation for the study springs from the documented differential preference among investors for value and growth stocks. Despite evidence that value stocks tend to outperform growth stocks, investors retain strong interest in growth stocks. Yet in examining the performance of Business Week’s (BW), smaller capitalization companies (called “Hot Growth Companies”) with respect to the overall financial market, Bauman et al. [2002] found positive excess returns in the pre-publication period but negative excess returns in the post-publication period. A limitation of their study is that their analyses relied on only three criteria: sales, BW rank and return on capital, which do not represent completely a firm’s financial health. I replicate Bauman et al.’s study but use a more robust and representative variable set to test the mean reversal hypothesis — Forbes’ financial criteria — and I focus on six variables. In the current study, I look at 4,200 companies listed in Forbes from 1980 to 2000. The results of the expanded study substantiate Bauman et al.’s [2002] study showing that there are positive excess returns in the pre-publication period, but negative excess returns in the post-publication period. An expanded future study will look at five additional variables to see if they make a significant difference on the effects of the returns of small growth stocks.     

The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market

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.     

When Do Opening Stock Returns Tend to be Higher?

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.     

The impact of 11/13 Paris terrorist attacks on stock prices: evidence from the international defence industry

This study explores the effect of the Paris terrorist attacks on the stock returns and the volatility for the most important companies in the global defence industry. To this end, it employs the General Autoregressive Conditional Heteroscedasticity methodology. The findings clearly indicate that this terrorist event has a positive impact on both the returns and the volatility of these stocks.     

The Role of Industry Effects in Simultaneous Reversal and Momentum Patterns in One-Month Stock Returns

When stocks are ranked by returns in one month, the portfolio of loser stocks tends to outperform the portfolio of winner stocks in the subsequent month. Yet industry portfolios tend to display momentum. We develop a model of information diffusion among agents with constrained information processing ability that reconciles these well-documented phenomena. We test whether this model or the overreaction hypothesis is consistent with the data. Additionally, a trading strategy based on the model outperforms strategies based on overreaction and on industry momentum. The strategy produces abnormal returns while controlling for market–risk and the size, book value, January, momentum, and liquidity effects.     

心理还是实质:汶川地震对中国资本市场的影响

本文通过汶川地震这一独特自然事件,用公司与震中距离来衡量地震导致的投资者负面情绪(如焦虑和恐惧),研究汶川地震对中国资本市场造成的影响。与现有文献关于投资者情绪能够影响股票收益率的研究相一致,本文发现地震后12个月内(2008.6—2009.5),距离震中越近的公司,股票收益率越低。在控制了风险因素后,震中500公里以内的股票收益率显著为负,平均为每月-3%左右,而500公里以外的股票收益率不显著。并且公司与震中距离每增加1000公里,其年收益率平均升高3%。进一步分析发现,该现象地震前不存在,与系统风险的变化无关,并且不能由地震造成的实质经济损失来解释。总之,本文的研究表明汶川地震导致的投资者负面情绪能够影响股票收益率。     

Overflow effect of credit rating announcements on stock exchange based on event study

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.     

Integrating graphing assignments into a money and banking course using FRED

Over the course of one semester, six empirical assignments that utilize FRED are used to introduce students of money and banking courses to the economic analysis required for the conduct of monetary policy. The first five assignments cover the following topics: inflation, bonds and stocks, monetary aggregates, the Taylor rule, and employment. Students learn to gather and analyze data using the concepts and theories covered during lectures. The sixth homework is a short paper in which students synthesize the data from the previous assignments to make a policy recommendation for the upcoming Federal Open Market Committee meeting. The overarching purpose of this exercise is to prepare students for the College Fed Challenge, and, more generally, to introduce them to economic data and policy analysis.     

Information Transmission Through Rumors in Stock Markets: A New Evidence

The authors provide new evidence of the influence of false rumors based on Taiwan's stock market. The results indicate significant patterns of abnormal returns and trading volumes surrounding the event day and that the rumors seem to be disseminated in the stock market before appearing in newspapers. The results also indicate asymmetry: Investors hearing a positive rumor about a stock may tend to buy the stock, prompting a price run-up until the rumor dies away, while negative rumors usually have greater and longer negative impacts on stock returns than positive rumors do. The presence of a daily price limit is negatively correlated to the size of abnormal returns and abnormal trading volumes on the event day, and the abnormal trading volumes are more sensitive to the price limit surrounding the event day. Finally, firm managers might receive rumor information earlier and then conduct stock trading before the rumor's announcement.     

Short sale constraints,disperse pessimistic beliefs and market efficiency — Evidence from the Chinese stock market

In the Chinese stock market, the regulatory agency lists qualified stocks on announcement date and permits investors to sell short on the effective date, a practice that allows us to directly study the impact of short sale constraints. Applying an event study to 511 additions, between February 2010 and August 2013, of individual stocks to the list of securities qualified for short sale, we find that short sale constraints cause individual stocks to be overpriced and that such overvaluation is exclusively related to distortions associated with pessimistic beliefs. In addition, we observe lower volatility, skewness and extreme value frequency of stock returns after short sale constraints are lifted. This implies the emergence of a more appropriate distribution of returns and improved market efficiency at the individual stock level as the range of securities qualified for short selling expands.     

基金"重仓股"特征及可预测性研究

基于对1999-2004年我国封闭式基金重仓持有股票的收益结构特征、财务和非财务特征以及重仓股的可预测性研究,结果表明:重仓股在季度末基金持股信息披露前后的累积超常收益(CAR)分化显著,在信息披露之前[-75,-15]内有显著正的CAR,而在信息披露之后[15,75]内有显著负的CAR;重仓股具有明显的可识别特征,基金表现出一定的择股能力;重仓股具有较强的可预测性,Logit模型的预测结果总正确率达到92.9%,通过预测的股票组合可以获得显著正的CAR。