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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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The Evidence on Market Abnormal Returns in Acquisitions on the Warsaw Stock Exchange
SSRN Electronic Journal, 2008The paper provides evidence on abnormal returns performance in acquisitions on the Warsaw Stock Exchange. From a variety of measures, the authors chose the event study methodology, used in developed markets to evaluate post-acquisition performance and based on the market data, and Cumulative Average Abnormal Return (CAAR).
AGNIESZKA PEREPECZO +1 more
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Abnormal returns for IPOs on the Swedish stock exchange
2021We examine the occurrence of underpricing and short-term performance of a sample of 216 Swedish IPOs between 2017-2021. The theories used are the Efficient Market Hypothesis, Underpricing, Information asymmetry which contains both the Principal Agent Theory and the Signaling Theory, and beyond that, the Winner’s curse.
Landelius, Björn, Molin, David
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Impact of the Introduction of Securities Margin Trade on Stock Abnormal Returns
2013 Sixth International Conference on Business Intelligence and Financial Engineering, 2013Two groups of securities were permitted respectively to start margin trading on March 31th, 2010 and December 5th, 2011, which suggested an advancement of Chinese Securities Market. In this paper, with the sample data consisting of these stocks, the impact of the introduction of securities margin trade on stock short-term and long-run abnormal returns ...
Qing Ding, Yucan Liu
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Executive Stock Option Exercise, Insider Trading, and Abnormal Stock Returns
SSRN Electronic Journal, 2005This article examines actual executive stock option exercises to investigate corporate insider's use of private information in their decision to exercise stock options. In the year following exercise we document negative cumulative abnormal return of approximately 11%. To distinguish which cohort of insiders are most informed we disaggregate our sample
Robert E. Brooks +2 more
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Individuals and Institutional Investors’ Trading and Stock Abnormal Returns
SSRN Electronic Journal, 2009This paper analyzed the investors’ trading in Chinese financial market from a behavioral perspective, which demonstrated how investors’ trading strategies affect abnormal returns of securities. In the analysis, we classified total trading into individual investors’ trading and institutional investors’ trading.
Tong Zhu, Yujin Cao
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