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AN ANALYSIS OF ABNORMAL RETURNS ASSOCIATED WITH STOCK SPLIT
The Singapore Economic Review, 2021A stock split is when a company’s outstanding shares are divided into multiple shares by issuing more shares to current shareholders without eroding their stake’s value. The company typically takes these actions to increase liquidity and marketability, lower stock prices, attract new investors and so on.
JYOTI PANDEY +2 more
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COVID-19, Stock Liquidity, and Abnormal Returns
Review of Pacific Basin Financial Markets and Policies, 2023This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm.
Praveena Musunuru +1 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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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 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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Abnormal Return and Tick Size Reduction in Tokyo Stock Exchange
2020 9th International Congress on Advanced Applied Informatics (IIAI-AAI), 2020Tick size is minimum price variation which investors quote stock shares in financial market. Purpose of tick size reduction is to improve liquidity. Tokyo Stock Exchange (TSE) reduced twice its tick size in 2014. The first time is called phase 1 (P1). Also, the second time is called phase 2 (P2).
Hiroyuki Maruyama +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.
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Dividend yields and stock returns: Implications of abnormal January returns
Journal of Financial Economics, 1985Abstract This study examines the empirical relation between stock returns and (long-run) dividend yields. The findings show that much of the phenomenon is due to a nonlinear relation between dividend yields and returns in January. Regression coefficients on dividend yields, which some models predict should be non-zero due to differential taxation of ...
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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.
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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
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