We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We spe...
Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests...
This study examines how cumulative abnormal returns (CARs, the sum of abnormal returns over a period) and volatility behave around Bitcoin halving events, focusing on whether these patterns have evolved as the cryptocurrency market matures. Halvings...
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are...
As information technologies and the Internet have rapidly evolved, businesses have begun to use them to improve communication efficiency within and outside the organization. However, applications of information technologies are accompanied by informa...
This study examines the effects of implementing sustainable strategies in operations on the abnormal stock returns of companies listed on the Vietnamese stock market under uncertain conditions, using an event study and difference-in-differences analy...
Through the three industrial revolutions, technology has enabled rapid changes in society. In a capitalist society, capital is invested where there is utility, for example, economic benefit. We intend to determine that the stock price of a company th...
Using a large database of U.S. seasoned equity offering (SEO) announcements from 2010 to 2015, we examine the effects of several explanatory variables—firm specific, macroeconomic, fixed income, and stock market variables—on the announcem...
This study was motivated by the poor performance of the current models used in stock return forecasting and aimed to improve the accuracy of the existing models in forecasting future stock returns. The current literature largely assumes that the resi...
Laozi’s concept of fan 反 has many different interpretations. However, except for the fan character in chapter seventy-eight which says “appropriate language seems contradictory (fan 反)” where it obviously refers to contradictions or...
We explore how insider trading returns, disparities in executive pay, and CEO turnover are interrelated. Our findings reveal both independent and interactive effects for insider trading returns, the CEO pay gap, and the likelihood of CEO turnover. Fi...
The welfare implications of vertical mergers have been a subject of disagreement for decades. Similar to horizontal mergers, economists need to weigh the efficiency gains relative to the market power concerns when considering the competitive effects...
In today’s interrelated economies, financial information travel at speed of light to reach investors around the globe. Global financial markets experience regular shocks that transmit negative waves to other equity markets and different asset c...
Using a large sample of bank seasoned equity offerings (SEO) from 2002 to 2017, we first documented detailed descriptive statistics, and showed that nonperforming assets ratio, our primary measure of bank asset quality, reached the highest value imme...
This study undertakes a systematic literature review combined with bibliometric analysis to examine how abnormal returns are studied in relation to environmental, social, and governance (ESG) factors, investor sentiment, and dividend policy. Using RS...
The paper focuses on the relationship between firms’ characteristics and cross-section returns. The author reviews and critically assesses the most recent contributions in the literature. After comparing the abnormal returns (Alpha) and t stati...
Dividend tax policy is one of the important tools of government taxation. Observing the dividend tax policy and the behavior of stock prices around ex-rights will not only shed light on investment strategies, but also give us a clearer understanding...
Past studies have observed that the low (high) accrual portfolio in the accrual anomaly consists of firms with high (low) credit risk, and have suggested that the abnormal return in the accrual anomaly arises from buying (selling) stocks with high (l...
This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann–Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach,...
This paper studies the reaction of share prices in the Chilean securities market at the sectoral level to the arrival of COVID-19 in the country. The following question is answered: Did the Chilean market act efficiently before the arrival of COVID-1...
18 April 2020
This paper evaluates the short-term impact of the coronavirus outbreak on 21 leading stock market indices in major affected countries including Japan, Korea, Singapore, the USA, Germany, Italy, and the UK etc. The consequences of infectious disease a...
This study mainly investigates the relationship between corporate social responsibility (CSR) reporting and the reaction in the stock market. Specifically, we utilize the data from Taiwanese stock market from 2012 to 2017 to examine whether the CSR r...
The rise of fintech has disrupted traditional financial services, prompting banks and asset managers to respond strategically, often through mergers and acquisitions. This study investigates the short-term market reaction to M&A announcements inv...
A semi-strong efficient market incorporates relevant new information immediately. Using an event study, we investigate whether and to what extent regular earnings announcements of Swiss companies listed on the Swiss Market Index show the expected eff...
In this study, we investigate the effects of the level and changes in environmental, social and corporate governance (ESG) rating, an index developed to represent a firm’s long-term sustainability, on the stock market returns of Korea Composite...
Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and the pharmaceutical industry is one of the top acquiring industries. This study verifies the relationship between cross-border acqui...
The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eas...
We investigated the stock return risk associated with the various types of dividend decisions announced by New Zealand firms during the COVID-19 pandemic in 2020. The sample includes a group of firms that initially announced cash dividends but a numb...
Theoretically, accounting earnings could be used to estimate the intrinsic value of equity. If accounting earnings could be predicted accurately, then, so could be the value of equity, thereby, creating much less risk in equity investment. However, e...
In this study, we evaluate the impact of R&D intensity on acquiring firms’ abnormal returns by examining 925 Canadian completed deals between 1993 and 2002 that have information on R&D expenditures. While examining the returns to acquiring fi...
As enterprises increasingly depend on software systems, security defects such as vulnerability disclosures, exploitations, and misconfigurations have become economically relevant risk events. However, their short-term impacts on capital markets remai...
3 February 2021
This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by...
Green bonds are a relatively new financial product that offers investors a variety of alternatives. However, many individuals continue to be suspicious about its long-term returns and risks. To clarify this issue, this study employed two global envir...
This study investigates how U.S. Federal Reserve interest rate cuts during the 2019–2020 easing cycle influenced the performance of equity mutual funds, with a particular emphasis on contrast between growth and value investment styles. Using an...
This study examines the impact of ESG rating disclosures on the stock performance of highly rated semiconductor companies in Taiwan from 2017 to 2023. The findings reveal significant abnormal returns surrounding ESG rating releases, with positive ret...
The informational efficiency of stock prices is conditioned by the level of quality of financial reports, contributing to an accurate assessment of the company’s future performance. By approaching informational quality from two perspectives, we...
Recent research suggests that one of the main motivations for mergers and acquisitions is the attempt to acquire companies to incorporate intangible assets. Such assets provide important sources of sustainable competitive advantages and opportunities...
This study empirically examines the wealth effects of mergers and acquisitions (M&As) in the Indian capital market, focusing on cross-border M&As. This study considers a sample of 58 cross-border and 34 domestic M&As, comprising more than...
Information and communication technologies (ICTs) are the cornerstone for sustainable development, but if they are not appropriately managed, they will impede progress towards the United Nations Global Sustainable Development Goals. Among undesirable...
This Editorial evaluates 14 invaluable and interesting articles in the Special Issue “Applied Econometrics” for the Journal of Risk and Financial Management (JRFM). The topics covered include recovering historical inflation data from post...
We construct a novel hand-collected large dataset of 205 U.S. hedge funds and 1025 activist events over the period 2005–2013, which records both the Schedule 13D filing date and the voice date, and explore the role of voice in value creation. W...
This paper investigates the impact of 19 announcements pertaining to the introduction of value-added tax (VAT) in the United Arab Emirates (UAE) on equities listed on the Abu Dhabi Stock Exchange (ADX). Using a well-established event study methodolog...
The COVID-19 outbreak slowed down global economic activities substantially, resulting in unrest in the financial markets, especially in the beginning of the pandemic outbreak. This study aims to investigate if COVID-19 caused abnormal returns in the...
Emerging stock markets provide great opportunities for investment growth and risk diversification. However, they are more vulnerable to extreme market events. This study examines the effects of the COVID-19 pandemic on stock performance in sub-Sahara...
Strategic alliances have become a key focus in the management and marketing literature. However, much of the previous research in this area has focused on the antecedents and accounting effects of strategic alliances. There is an opportunity to more...
Our goal in this paper is to answer this research question: Do investors understand the longer-term value-implications of cross border mergers and acquisitions, as at the time of their announcements? We examine acquirers’ operating efficiencies aroun...
A highly-respected public recognition of supply chain management (SCM) excellence is the Supply Chain Top 25 List, published annually by AMR Research. By employing event study method, this study extensively examined stock market reactions to annual a...
This study examines the impact of environmental regulation on the Singapore stock market using the event study methodology. Several asset pricing models are used to estimate sectoral abnormal returns. Additionally, we estimate the change in systemati...
Binge alcohol consumption among adolescents affects the developing neural networks underpinning reward and stress processing in the nucleus accumbens (NAc). This study explores in rats the long-lasting effects of early intermittent exposure to intoxi...
We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our analysis of this...
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