Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 41 for “"Cumulative Abnormal Returns"”.
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Shareholder wealth effects of international listings and delistings : evidence for foreign stocks on the Tokyo stock exchange
… shown that it is not associated with positive abnormal stock behavior. However, these prior studies have focused on the actual listing date rather than on the initial announcement of the listing. This study also uses cross-sectional regression analysis to see which variables affect the size of …
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Two essays in finance: Market response to catastrophic losses on the insurance industry and return on investment of a land grant university
… events were aggregated into quintiles and the cumulative abnormal returns around these events were found to be significantly positive over a 25 day trading window. There is no significant evidence that post-catastrophic stock returns are correlated to the magnitude of the catastrophe.
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Analyzing frequent acquires in emerging markets and futures markets linkage
… first chapter of this dissertation examines the returns to frequent acquirers from emerging markets and analyzes the cross-country variations in cumulative abnormal returns. The sample consists of 5,147 transactions carried out by firms from 17 common and civil-law countries during the period of …
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Pursuing shareholder value : comparing the information content of EVA and accounting earnings
… earnings to explain contemporaneous annual share returns is assessed. This relative information content issue is tested on a sample of 758 company year-ends from 1991 to 1997. Results indicate that accounting earnings explains 26% of the variation in cumulative abnormal returns. The comparative …
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Trading statement releases and the subsequent price formation process : evidence from the JSE
… between unexpected earnings and security returns subsequent to earnings announcements is widely documented in international studies (e.g., Ball and Brown, 1968; Beaver, 1968; Beaver, 1974; Foster, Olsen and Shevlin, 1984). However, much of this research has been conducted in developed …
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An examination of potential backdating of executive share option grants in South Africa
… between 2001 and 2006, a pattern of negative cumulative abnormal stock returns before the grant dates but positive and increasing returns thereafter is observed. This pattern is much more pronounced for unscheduled grants. Statistical testing shows the mean cumulative abnormal returns are …
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The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland
… how issuer credit rating announcements affect returns of covered bonds issued by the three largest banks in Iceland. The matching portfolio model is used to determine abnormal returns, which are calculated as the difference between daily covered bond returns and matching government bond index …
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Saudi Stock Market reaction to Different Major Events
… the event dates. I tested the significance of abnormal returns and cumulative abnormal returns of all the 20 sectors during the (-5,+5) days event window. I found that the market participants react both positively and negatively to different events examined in the study, which was reflected in …
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Essays in Corporate Finance
… of the accused firm suffer significant negative cumulative abnormal returns. In the debt markets, both loans and bonds of the peer firms exhibit significantly higher spread over the benchmark risk-free rate following the misconduct revelation. Peer firms that employ the same auditor as the …
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Exchange rate volatility, employment and macroeconomic dynamics in South Africa
… they are able to quantify systematically the abnormal or unexpected impact of an economic or political event on asset prices like the exchange rate. Second, the study focuses on an emerging market given that most studies have mainly focused on developed economies. Third, few studies that use …
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Revisiting the Effect of Cultural Similarities on Mergers & Acquisitions
… affect M&A occurrence rates, as well as both Cumulative Abnormal Returns (CARs) and post-merger operating performance. The research demonstrates that both CSR similarity dimensions enhance M&A deal success through better negotiation processes and stakeholder trust development. Our results for …
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An investigation into the association between accounting variables and stock market returns: the Mexican case
… between accounting variables and stock market returns in a Mexican context. Security price research refers to such statistical dependence as "information content." In order to satisfy the above objective, three different abnormal performance indexes were used and the following hypothesis were …
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Textual Analysis of Management Tone during Conference Calls and the Impact on Capital Markets
… accuracy, dispersion of analysts' estimates, cumulative abnormal returns, abnormal trading volumes, and the number of days after the end of the quarter. Results indicate that pessimism is significantly related to decreased analyst accuracy. A one percent increase in the pessimism of a …
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M&A Non-Consummation - A Strategic Option?
… NCD event, several variables were computed. With cumulative abnormal returns for a (-30, -1) pre-event period -- as a measure of firm performance -- as the dependent variable, multiple regression estimation used the following independent variables: strategic fit, relatedness, cultural fit, timing …
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The short-term market reaction to U.S. bank M&As
… 1989 and 2004. Using various event windows, the cumulative abnormal returns (CARs) to target firms are positive, bidder firm abnormal returns are negative, and the combined CARs are positive. This result is consistent with the synergy and hubris hypothesis wherein bank M&As are wealth-creating …
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It’s Electric – The Impact of Voluntary Firm Electrical Sustainability Commitments on Firm Value
… I find that there are significant, positive cumulative abnormal returns of +0.39% during the 3-day announcement window for firms joining the RE100 pledge. Firm level abnormal announcement returns do not vary by firm size, industry, or profitability. Firms level returns do vary by …
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Financial market imperfections and their asset pricing implications
… We find that the banned stocks have positive cumulative abnormal returns and become more volatile when the ban is imposed. We document greater demand and abnormalities in the futures market and option market under the short-sale ban. This evidence suggests that a short-sale ban may not …
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The effect of corporate social responsibility on firm's foreign direct investement
… and firm's three day, five day, and 11 day cumulative abnormal returns, thus in general corporate social responsibility cannot create value for shareholders in the short term. However, I identify several occasions where a positive relation exists. That is when the investment is in developing …
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Three Essays on Equity Financing in the UK
… private placements is nearly 3% as measured by cumulative abnormal returns five days around the issue date. The long term reaction, measured by buy-and-hold abnormal returns over three years post-issue, is insignificant. Chapter 4 investigates the impact on leverage of frequent equity issuers. …
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Shareholder wealth effects of convertible bond announcements in South Africa
… currency. The results also show that the mean cumulative abnormal returns (CARs) of the issues denominated in rand value were more negative than those made in other currencies. In addition, further tests also show that the mean CARs based on the stated use of proceeds were significantly …
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