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Stock exchanges indices and abnormal returns in the crisis condition
Journal of International Studies, 2012 openaire
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An examination of long-term abnormal stock returns following stock dividends
2011 International Conference on E-Business and E-Government (ICEE), 2011With 185 months Chinese capital market data, this paper proves that the Fama-French Three-Factor Model has an excellent explanation on the cross-sectional variation in average stock returns. Furthermore, the examination of long-term abnormal stock returns following stock dividends based on the three-factor model and zero-investment portfolio model ...
Ling Chunhua, Zhou Wei
exaly +3 more sources
Crowdsourced Employee Sentiment and Abnormal Stock Returns
SSRN Electronic Journal, 2022Previous literature has found crowdsourced employee sentiment obtained from Glass-door.com is related to stock returns. Evidence has shown this data can suffer from some abnormalities which may limit its usefulness. To account for these discrepancies, we
Mary J Becker +2 more
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An Abnormally Abnormal Intangible: Stock Returns on Customer Satisfaction
Journal of Marketing, 2016Sorescu and Sorescu (2016) and Bharadwaj and Mitra (2016) have made a number of insightful observations and suggestions for future research regarding stock returns on customer satisfaction. They have also provided a series of assessments of a study by Fornell, Morgeson, and Hult (2016) that focus on abnormal returns on customer satisfaction.
Claes Fornell +2 more
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Mean Reversion of Abnormal Stock Returns
The Journal of Wealth Management, 2012This study tests for mean reversion in abnormal stock returns that divert more than one standard deviation from the mean. Biases due to a small sample, the January effect, and unique events are avoided by using large samples generated by a block bootstrap procedure starting in random months and studying two different periods.
Sandip Mukherji
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Improved Methods for Tests of Long‐Run Abnormal Stock Returns
The Journal of Finance, 1999We analyze tests for long‐run abnormal returns and document that two approaches yield well‐specified test statistics in random samples. The first uses a traditional event study framework and buy‐and‐hold abnormal returns calculated using carefully constructed reference portfolios.
Lyon, John D. +2 more
semanticscholar +6 more sources
Deceptive advertising and abnormal stock returns
International Journal of Advertising, 2011This study examined the impact of deceptive advertising on the abnormal stock returns of firms. Using an event study analysis with 101 cases from the FTC database over the period 1987–2005, the FTC rulings on deceptive advertising were found to have the negative effects on the abnormal stock returns of firms. Among the firm-specific factors examined in
Jaeseok Jeong, Chan Yun Yoo
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Abnormal research and development investments and stock returns
North American Journal of Economics and Finance, 2017Abstract We investigate the relation between abnormal research and development (R&D) investments change and expected stock returns. We provide evidence that firms that abnormally increase their R&D investments ( RDI ) earn higher returns in comparison to the market portfolio.
Hilmi Songur, Jason E. Heavilin
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Stock Option Exercise, Earnings Management, and Abnormal Stock Returns
SSRN Electronic Journal, 2003This essay uses a large sample to examine whether stock option plans provide incentives to executives to manage earnings when exercising their options. The evidence presented is consistent with a hypothesis where managers use accruals to shift earnings to increase the stock price prior to and during option exercise periods.
Irfan Safdar
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Abnormal Stock Returns and Profit Warnings
SSRN Electronic Journal, 2009This paper aims at studying the market response surrounding profit warnings as well as annual earnings announcements. Relatively few academic researches have investigated these issues. Our empirical survey based on an event study, points out a strong negative residual stock returns around profit warning announcements corresponding to bad news as well ...
Wael Louhichi, François Aubert
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