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Cumulative Abnormal Returns (cumulative + abnormal_return)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Distribution within Business, Economics, Finance and Accounting

General & Introductory Finance & Investments	62%
Financial Accounting	25%

Selected Abstracts

Share Liquidity and Market Microstructure Reform: The Case of Screen-based Trading in Mumbai,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2010
Christopher J. Green
G12; G14; G18 Abstract We investigate the impact of the March 1995 move to screen-based trading on the Mumbai Stock Exchange, using separate samples of more liquid (A) and less liquid (B) shares. Following the move, the average cumulative abnormal return for A shares was 4.5%, whereas that for B shares was over 12%; market liquidity and efficiency increased but the effect on volatility was more ambiguous. We identify a significant cross-sectional relationship between the size of cumulative abnormal returns and firm-specific improvements in liquidity, efficiency, and volatility, with differences in the effects of reform on A and B shares. [source]

An Emerging Market's Reaction to Initial Modified Audit Opinions: Evidence from the Shanghai Stock Exchange,

CONTEMPORARY ACCOUNTING RESEARCH, Issue 3 2000
CHARLES J. P. CHEN
Abstract This study investigates the valuation effect of modified audit opinions (MAOs) on the emerging Chinese stock market. Here, the term MAO refers to both qualified opinions and unqualified opinions with explanatory notes. The latter can be considered an alternative form of a qualified opinion in China. The institutional setting in China enables us to find compelling evidence in support of the monitoring role of independent auditing as an institution. First, we find a significantly negative association between MAOs and cumulative abnormal returns after controlling for effects of other concurrent announcements. Further, results from a by-year analysis suggest that investors did not reach negative consensus about MAOs' valuation effect until the second year, exhibiting the learning process of a market without prior exposure to MAOs. Second, we do not observe significant differences between market reaction to non-GAAP- and GAAP-violation-related MAOs. Third, no significant difference is found between market reaction to qualified opinions and market reaction to unqualified opinions with explanatory notes. [source]

Investor Recognition, Liquidity, and Exchange Listings in the Reformed Markets

FINANCIAL MANAGEMENT, Issue 2 2006
Pankaj K. Jain
We examine multiple facets of firms' descisions to list on the NYSE. Although the average Nasdaq spreads are now comparable to the average NYSE spreads, we find that firms continue to switch from Nasdaq to the NYSE, and that they experience positive cumulative abnormal returns on listing. Using a simultaneous ststem of equations approach, we establish that enhanced investor recognition mainly explains this phenomenon. A logistic regression suggesrts that corporate listing choice is consistent with these findings, since eligible unlisted firms already have high volumes and recognition and might not benefit as much as do firms that actually switch. [source]

Accruals Management, Investor Sophistication, and Equity Valuation: Evidence from 10,Q Filings

JOURNAL OF ACCOUNTING RESEARCH, Issue 4 2002
Steven Balsam
The release of the full set of financial statements in Form 10,Q provides investors with the data necessary to estimate the discretionary portion of earnings, thereby allowing them to better assess the integrity of reported quarterly earnings. We thus expect a negative association between unexpected discretionary accruals estimated using 10,Q disclosures and stock returns around 10,Q filing dates. Consistent with our expectations, we document a negative association between unexpected discretionary accruals and cumulative abnormal returns over a short window around the 10,Q filing date. Furthermore, this association varies systematically with investor sophistication. Finally, results from portfolio tests indicate that this association is economically as well as statistically significant. One interpretation of our findings is that accruals management has substantial valuation consequences, which are quickly impounded into stock prices. [source]

Reactions of the International Stock Exchange to Company Employment Announcements: Redundancies and New Jobs

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2002
Nick CollettArticle first published online: 3 MAR 200
This paper is the first to look directly at the reaction of the London market to company announcements of changes to employee count. Using event study methodology, we examine market reactions to 54 redundancy announcements during the period 1990,1999 and 52 announcements of new jobs during the period 1993,1999. In line with previous US studies we find that market reaction, measured by cumulative abnormal returns, is negative before the day of redundancy announcement. The actual redundancy announcement is greeted positively by the market when measured in terms of the mean, but negatively when measured in terms of the median. Thus, in a minority of cases the announcements are seen as value enhancing. The market reacts positively before new job announcements and this positive reaction is highly significant when the announcement is made. The results suggest that new job announcements contain value,relevant information for the market. Potential causal factors other than announcement size are not significant. [source]

The Really Long-Run Performance of Initial Public Offerings: The Pre-Nasdaq Evidence

THE JOURNAL OF FINANCE, Issue 4 2003
Paul A. Gompers
Financial economists have intensely debated the performance of IPOs using data after the formation of Nasdaq. This paper sheds light on this controversy by undertaking a large, out-of-sample study: We examine the performance for five years after listing of 3,661 U.S. IPOs from 1935 to 1972. The sample displays some underperformance when event-time buy-and-hold abnormal returns are used. The underperformance disappears, however, when cumulative abnormal returns are utilized. A calendar-time analysis shows that over the entire period, IPOs return as much as the market. The intercepts in CAPM and Fama,French regressions are insignificantly different from zero, suggesting no abnormal performance. [source]

INDUSTRY PROSPECTS AND ACQUIRER RETURNS IN DIVERSIFYING TAKEOVERS

THE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2009
Husayn Shahrur
Abstract We use a sample of 816 diversifying takeovers from 1978 to 2003 to examine whether takeover announcements release negative information about the future prospects of the acquirer's main industry. We find that rivals that are most similar to the acquirer (homogeneous rivals) experience significant negative cumulative abnormal returns (CAR) around takeover announcements. Takeovers that result in negative wealth effects to acquirers are associated with negative abnormal revisions in analysts' forecasts of homogeneous rivals' earnings per share. We also find a decline in the posttakeover operating performance of rival firms. The decline is especially pronounced for homogeneous rivals and for takeovers with negative wealth effects to acquirers. Our findings imply that CAR-based estimates of acquirer wealth gains from takeovers that do not account for industrywide information releases are significantly biased downward. [source]