Investor reaction to extreme price shocks in stock markets: A cross country examination
IIMB Management Review, 2019 This study attempts to investigate the presence of post event over- or under-reaction in stock markets of the top 10 countries by market capitalisation. An event is defined as an extreme price movement beyond a pre-defined threshold.
Vaibhav Lalwani +2 more
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Stock market returns and clinical trial results of investigational compounds: an event study analysis of large biopharmaceutical companies. [PDF]
PLoS ONE, 2013 For biopharmaceutical companies, investments in research and development are risky, and the results from clinical trials are key inflection points in the process.
Thomas J Hwang
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The Feller diffusion, filter rules and abnormal stock returns [PDF]
The European Journal of Finance, 2017 We determine the conditional expected logarithmic (i.e. continuously compounded) return on a stock whose price evolves in terms of the Feller diffusion and then use it to demonstrate how one must know the exact probability density that describes a stock’s return before one can determine the correct way to calculate the abnormal returns that accrue on ...
Docherty, Paul +3 more
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Do rating grades convey important information: German evidence? [PDF]
, 2016 © 2015 Elsevier B.V. In this paper we investigate the impact of credit rating changes on German stock market. We evaluate daily abnormal stock returns of companies listed on the Frankfurt Stock Exchange (HDAX).
Duygun, Meryem +2 more
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Jurnal Akuntansi, 2016 Tujuan dari penenilitan ini adalah unutk mengetahui perbedaan abnormal return dan likuiditas saham sebelum dan sesudah stock split pada perusahaan yang terdaftar di Bursa Eefek Indonesia periode 2011-2014.
Kornel Munthe
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The valuation effect and determinants of corporate contracting : a thesis presented in partial fulfillment of the requirements for a Master of Business Studies at Massey University, December 2002 [PDF]
, 2002 This study examined abnormal stock market returns to equity holders around corporate contract announcement that were obtained from Dow Jones & Company, Inc. between January 1, 1990 and December 31, 2000.
Chen, Lijia
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Analysis of Indonesian Capital Market Reaction to the Inauguration of the Indonesian Cabinet in 2024
Indonesian Interdisciplinary Journal of Sharia EconomicsThe inauguration of the Indonesian Cabinet is considered one of the major political events that has the potential to influence the capital market. This study aims to analyze the reaction of the Indonesian capital market to the 2024 Cabinet Inauguration ...
Regita Putri Wardani +3 more
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Market Reaction and Volatility in the Brazilian Stock Market [PDF]
We perform an event study to investigate stock returns associated to the announcement of equity issues by Brazilian firms between 1992 and 2003 aiming to determine the market reaction before, during, and after the issue announcement.
Alberto Shigueru Matsumoto +1 more
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THE IMPACT OF SHARES MOVING IN AND OUT OF FTSE/JSE TOP 40 INDEX
Journal of Smart Economic Growth, 2020 This study explored the price reactions of shares moving in and out of Johannesburg Stock Exchange (JSE) Top 40 Index by applying three models to calculate the abnormal returns of the stocks; namely: the market model, the Capital Asset Pricing Model ...
Morotola Pholohane +2 more
doaj
East Asian Economic Review, 2023 This paper analyzes the entire distribution of stock market returns/volatility in five emerging markets (ASEAN5) and figures out the conditional distribution of the CHI_EPU index.
Mohib Ur Rahman, Irfan Ullah, Aurang Zeb
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