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.
Results
Showing 1 to 20 of 63 for “"abnormal return"”.
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Pengaruh pencalonan Jokowi menjadi calon presiden 2014-2019 terhadap abnormal return dan trading volume activity di bursa efek Indonesia: Studi pada kelompok perusahaan LQ 45
… ini untuk melihat dan menganalisis perbedaan Abnormal Return dan Trading Volume Activity yang diperoleh investor terhadap harga saham yang d isebabk an peristiwa Pengumuman Pencapresan Jokowi. Metode penelitian ini menggunakan metode k uantitatif deskriptif dengan pengamb ilan sampel pop …
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Detecting long-run abnormal stock returns : the empirical power and specification of test statistics : the Canadian evidence
… event studies designed to detect long-run abnormal stock returns. I evaluate the performance of different approaches for developing a benchmark portfolio to calculate abnormal returns. I consider the use of five portfolio approaches, three control firm approaches, as well as two methods for …
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An Integrative Approach for Examining the Determinants of Abnormal Returns: The Cases of Internet Security Breach and Ecommerce Initiative
… market reaction is assessed based on cumulative abnormal return (sum of abnormal returns over the event window). In this study, the event study methodology is used to assess the impact that two important information technology activities, Internet security breach and ecommerce initiative, have on …
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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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Analisis perbedaan abnormal retrum dan trending activity sebelim dan sesudah pengumuman stimulus the fed 19 September 2013: Study kasus pada Perusahaan LQ 45 di BEI
… Stimulus The Fed yang ditunjukan dengan adanya Abnormal Return dan Trading Volume Activity pada perusahaan LQ 45. Penelitian ini menggunakan data sekunder dengan menggunakan sampel sebanyak 45 perusahaan yang tergabung dalam kelompok LQ 45. Model yang digunakan untuk menghitung actual ritern …
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Short and long term performance of Canadian TSE-listed acquirers
… of Canadian TSE-listed acquirers. The cumulative abnormal return (CAR) and the buy-and-hold abnormal return (BHAR) methods were use for the short- and the long-term studies respectively. In the short-run study, using the dummy variable method, we test three event windows: (-4; 0), (-1, 0) and (0; …
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Analisis reaksi pasar modal terhadap peristiwa penerbitan sukuk dan obligasi korporasi: Event Study pada perusahaan yang melakukan pengumuman penerbitan sukuk dan obligasi korporasi secara bersamaan di BEI periode 2012-2014
… pasar dapat diukur dengan perubahan cumulative abnormal return dan trading volume activity saham baik pada periode sebelum, saat, dan setelah pengumuman sehingga investor dapat menggunakan informasi tersebut untuk pengambilan keputusan investasinya. Penelitian ini merupakan penelitian …
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Special events and their impacts on stock markets
… event will have an impact on stock market returns. Shanghai Composite Index, S&P 500, and CAC 40 are used as representation of the Chinese, U.S., and French stock markets. The author makes a hypothesis of the correlation between political influence and equity market returns. The hypothesis …
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The Method of Payment Choice in Real Estate Investment Trust Property Acquisitions
… traditional corporate theoretical models, the abnormal return results indicate that no support is found for the developed signaling model. The results generally indicate support for the overpayment hypothesis, however, the present value and 'hubris' hypotheses remain viable explanations.
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The Evaluation of Domestic Socially Responsible Investment Equity Funds Performance in Australia
… the crisis and non-crisis periods, although the abnormal return during the crisis period is slightly higher than the non-crisis period. By employing the Henriksson and Merton (1981), and the Bollen and Busse (2001) models, I find that SRIF managers have positive stock-picking skills but no market …
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The aftermarket performance of Chinese a share IPOs
This study investigates the initial returns and the long run returns ( for up to 3 years) of 328 new issues listed on the Shanghai Stock Exchange and Shenzhen Stock Exchange from 1 January 1997 to 31 May 1999. The average market-adjusted initial return of our study sample is 135.44 percent, …
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Leaving California: The Price Impact of Announcing a Headquarters Relocation
… announcements from 2004-2024 to find a positive abnormal return in the short run when firms announce that they are moving their headquarters. There is a pronounced impact on stock prices for firms leaving California and moving to Texas.</p>
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The effect of corporate divestment on shareholder wealth: the UK experience
… of the unexpected market reaction, the so called abnormal return. Separate analysis of sub-samples is undertaken in this study to help enhance our understanding of market response to corporate sell-offs. Examples of such sub-samples are price/no-price groups and completion/intention groups. This …
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Return Predictability Conditional on the Characteristics of Information Signals
… of information signals can help predict returns that are of economic significance. We use large price changes, public announcements, and large volume increases to proxy for the magnitude, dissemination, and precision of information signals. Abnormal returns following large price change …
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Equity carve-outs, efficiency gains, and market timing
… the ECO announcement document robustly positive abnormal returns, a long-term analysis of the post-offer share price indicates significant underperformance of both parent and subsidiary. This finding is robust to variations in return normalization, to the application of event-time versus calendar …
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Market reactions to changes in the Nasdaq-100 Index membership
… These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.
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Applications of global equity style indices in active and passive portfolio management
… to generate significant alpha. Since momentum abnormal return is the only anomaly that is not explained by the 3-factor model, it could well be the third style-based factor in addition to the size and the value factors to complete the model. With the goal of searching for practical …
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The impact of news on the South African sovereign bond market
… bond yield curve react to headline news. Abnormal return dates in the zero-coupon yields are identified using GARCH models on the daily return series and news items that are classified into categories using supervised machine learning. A regression model is fitted to determine the link …
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The Shareholder Wealth Effects of Real Estate Investment Trusts: Mergers and Acquisitions
… evidence support it. First, the average excess abnormal return to REIT bidders acquiring REIT targets exceeds that of REIT bidders acquiring non-REIT targets. Second, the historical frequency of merger announcements has a natural explanation in terms of historical tax law changes.
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