Partners of USEPA Climate Leaders: an Event Study on Stock Performance

This research utilized an event study method to assess how the stocks of publicly traded companies responded before and after announcing their partnership with the United States Environmental Protection Agency (USEPA) Climate Leaders program. Although the stocks exhibited an average non‐significant positive abnormal return of 0.56% on the day of the announcement, the cumulative abnormal returns for the stock prices of the firms for two of the three event windows showed statistically significant negative returns. These results suggest that these firms' public announcements of joining the USEPA Climate Leaders partnership did not have a positive impact on stock performance. While no immediate financial benefit was found in this research, the practices implemented by these firms to reduce their greenhouse gas emissions may still bode well for long‐term corporate earnings and attractiveness to investors. Copyright © 2011 John Wiley & Sons, Ltd and ERP Environment.     

Building a valuable event log for process mining: an experimental exploration of a guided process

The digitalisation of business processes has led to the new opportunity of investigating process executions by using process mining. The complex preparation step of building an event log is often perceived as a technical task, although business considerations should be involved. In this paper, we examine via an experimental study whether and how a guiding procedure supports the performance of this task. Our findings provide insights into the parts played by business and technical considerations in this task and suggest that procedural guidance positively impacts the process of building an event log and its outcome.     

Regional income convergence in Indochina 1970–2015?

Real incomes have been increasing relatively fast in the Indochina region but there are still large differences in income levels between the six member countries. Based on the various sources of national accounts data, it seems that the low-income countries have experienced the highest growth rates. Time series tests of convergence, in this case catching-up to the relatively high-income level in Malaysia, confirm that Cambodia, Myanmar, Thailand and Vietnam have narrowed the income gap during the last two decades.     

高职院校图书馆考证考级文献资源库建设刍议

针对哈尔滨职业技术学院图书馆考证考级文献资源库的建设,分析图书馆考证考级特色资源库建设的重要性,探讨图书馆在创新服务上如何满足学院师生们的需求,总结建立考证考级资源库的实践经验,以满足当前我院图书馆读者对文献的需求。     

When Bad Things Happen to the Endorsers of Good Products

We investigate how a firm's financial performance (as measured by stock returns) is influenced when celebrity endorsers become involved in undesirable events, i.e., events that have a deleterious effect on the spokespersons. We find that the stock market reaction to these events is negatively related to spokesperson blameworthiness. The lower (higher) the culpability, the higher (lower) the stock return. Interestingly, it is only those firms associated with spokespersons having high culpability that tend to experience losses in stock market value. In contrast, we find that events rated at or below the mean level of blameworthiness are associated with positive stock market returns.     

Do aggressive orders affect liquidity? An evidence from an emerging market

This paper investigates how aggressive orders affect spreads and trading activity measures on the stock market. Based on a sample of stocks listed on the Warsaw Stock Exchange this study finds that spreads and trading activity measures increase significantly when aggressive orders are executed, but quickly revert to initial levels. The reaction to these orders on the bid and ask side of the market is similar. The effect of aggressive orders differ depending on the size of the firms. Trading activity measures such as volumes or number of transactions increase stronger for bigger than for smaller stocks, while spreads increase more for smaller firms than for bigger ones. These findings enrich the understanding of liquidity dynamics especially on the emerging markets where liquidity is an important price formation factor.     

THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS

We provide general results for the dependence structure of running maxima (minima) of sets of variables in a model based on (i) Markov dynamics; (ii) no Granger causality; (iii) cross-section dependence. At the time series level, we derive recursive formulas for running minima and maxima. These formulas enable to use a "bootstrapping" technique to recursively recover the pricing kernels of barrier options from those of the corresponding European options. We also show that the dependence formulas for running maxima (minima) are completely defined from the copula function representing dependence among levels at the terminal date. The result is applied to multivariate discrete barrier digital products. Barrier Altiplanos are simply priced by (i) bootstrapping the price of univariate barrier products; (ii) evaluating a European Altiplano with these values.     

How the Change of CEO Affects Chilean Companies' Stock Returns

ABSTRACT

This article uses the event study methodology to analyze the effects on Chilean companies' stock returns caused by the change of CEO. We find that when the change occurs after a period of poor performance, it is associated to significant positive abnormal stock returns. In certain cases, the abnormal returns accumulate to 6% over the seven-day period following the announcement. The study also shows that the observed abnormal returns have increased since the market regulating agency obligated companies to communicate changes in top management within three days of their ocurrence.

RESUMEN. Este artículo emplea la metodología de estudio del evento para analizar los efectos que un cambio de CEO provoca en los retornos de las acciones de las empresas chilenas. Descubrimos que cuando el cambio ocurre después de un período de pobre desempeño, el mismo está asociado a importantes retornos positivos anormales sobre las acciones. En algunos casos, los retornos anormales se acumulan en un 6% a lo largo de un período de siete días después del anuncio. El estudio también muestra que los retornos anormales observados han aumentado considerablemente, desde que la agencia reguladora del mercado obligó a las empresas a comunicar los cambios que efectuaban en su alta esfera ejecutiva dentro de los tres días de ocurrida.

RESUMO. Este artigo usa a metodologia de estudo de eventos para analisar os efeitos sobre os retornos de açóes de empresas chilenas causados pela mudança de CEO. Constatamos que, quando ocorre após um período de desempenho fraco, a mudança é associada a retornos de açóes anormais positivos significativos. Em certos casos, os retornos anormais acumulados chegam a 6% no período de sete dias após o anúncio. O estudo também mostra que os retornos anormais observados aumentaram depois que as agências reguladoras do mercado obrigaram as empresas a comunicarem mudanças na alta administraçáo até três dias após sua ocorrência.     

Is it a Timing or a Probability Effect? Four Simulations and an Application of Transition Rate Models to the Analysis of Unemployment Exit

Among the applications of event history analysis, in the last 10 years the lion's share has been played by proportional transition rate model. This type of models suffers from a major draw-back: it does not allow us to distinguish whether a covariate affects the event timing (the event occurs sooner/later) or the overall probability of the ultimate event occurrence (the chances of occurrence are constantly higher/lower). Thus, a positive/negative effect of a covariate found using a proportional transition rate model might reflect an acceleration/deceleration in the timing of the event and/or a high/low probability of the ultimate event occurrence (Yamaguchi, 1992). This paper shows how this problem can be reformulated in terms of the proportionality/non proportionality of the covariate effects. A twofold solution to disentangle the timing/probability problem is presented: this solution consists of a test of the proportionality of the covariate effects and a computation of the survival function at the end of the time interval studied. Two applications are discussed. The first one is based on four simulated processes. The second is based on an analysis of unemployment exit in Italy, with particular attention being paid to the effects of unemployment benefits. In the conclusion, implications for future applications of event history analysis are discussed.     

Stock market reactions to announcements of the board of directors: evidence from Italy

The board of directors plays an important role in corporate governance. It is an internal mechanism that controls and monitors the actions of managers and aligns the utility functions between corporate owners and managers. The board of directors performs multiple functions that concern, for example, the replacement of the managers, financial policy, the preparation of strategic plans and other actions that affect the performance of the company. The board plays an important role since on the one hand it controls the actions of management and on the other it advises the management regarding the strategies to be adopted. In this study, 100 announcements regarding the appointment of the board of directors of 100 Italian listed companies during the period 2012–2014 are investigated. The results show a positive reaction within 20 days around the announcement date. In four of the six time windows, cumulative abnormal returns (CARs) are positive and statistically significant. The positive reaction of the market would appear, however, to be linked more to the composition of the board of directors than to the size of the board of directors.