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Price Response (price + response)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting92%

Kinds of Price Response

  • share price response
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  • stock price response
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    Selected Abstracts

    Stock Price Response to Calls of Convertible Bonds: Still a Puzzle?

    FINANCIAL MANAGEMENT, Issue 2 2007
    Ivan E. Brick
    The liquidity hypothesis predicts negative abnormal returns around the conversion-forcing call announcements of convertible bonds, followed by a price recovery. We find the former but not the latter. The liquidity hypothesis also implies that the abnormal returns during the announcement and the post-announcement periods should be related to proxies for the stock s liquidity. Again, our findings do not support these implications of the liquidity hypothesis. We conclude that the reason for the negative abnormal returns around the announcement of a conversion-forcing call needs further examination. [source]

    Market Response to Earnings Surprises Conditional on Reasons for an Auditor Change,

    CONTEMPORARY ACCOUNTING RESEARCH, Issue 2 2002
    Karl E. Hackenbrack
    Abstract Our interest in this study is the relative informativeness of earnings announcements reported before and after Form 8-K disclosures of the reason for an auditor change. We appeal to several models that predict that the market's response to an earnings surprise is positively related to the perceived precision of the earnings report. We predict that the Form 8-K reason disclosures aid investors in updating their expectations of earnings precision by providing useful information about the financial reporting process that produces the earnings report. For 802 auditor changes from late 1991 through late 1997, the average price response per unit of earnings surprise is lower subsequent to an auditor change for companies that switched for disagreement-related or fee-related reasons and higher for those that switched for service-related reasons. This paper provides further evidence on the effects of differential earnings quality on differences in the returns-earnings relation across companies and over time as well as the efficacy of Form 8-K disclosures of reasons for auditor changes. [source]

    Valuing the Potential Transformation of Banks into Financial Service Conglomerates: Evidence from the Citigroup Merger

    FINANCIAL REVIEW, Issue 2 2000
    Jarrod Johnston
    G21/G22 Abstract The merger between Citicorp and Travelers Group on April 6, 1998 could have emitted two relevant signals for firms that provide financial services. The first signal is the endorsement by two prominent financial institutions that benefits from cross-selling of bank services with insurance services, brokerage services, and other financial services can be realized. The second signal is that regulators will allow the combination of commercial banking with insurance underwriting and full-service brokerage, paving a path for similar combinations in the future. We document a favorable share price response for commercial banks, insurance companies, and brokerage firms, which supports the argument that the merger sets a precedent for other combinations between banks and nonbank financial services that will facilitate cross-selling and efficiencies. [source]

    Stock Market Valuation, Profitability and R&D Spending of the Firm: The Effect of Technology Mergers and Acquisitions

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2009
    Juha-Pekka Kallunki
    Abstract:, In this paper, we investigate whether a firm can enhance the effect of its R&D spending on its current market value and future profitability through technology-oriented M&As. On the basis of an analysis of 1,879 M&As, we find that when a technology firm acquires another technology firm, the magnitude of the stock price response to the R&D spending of an acquirer increases by 107% in the year of the M&A. In contrast, we find no such increase in the stock price response to the R&D spending of a non-technology acquirer. We also find that technology acquirers are more successful in converting their R&D spending into positive future profitability than non-technology acquirers. Our results are robust for different alternative specifications of our model and when various firm differences are controlled for. [source]

    The Disparate Nature of Targeted Repurchases: Evidence from Long-Run Performance

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2007
    Saeyoung Chang
    Abstract:, We examine the announcement stock returns and long-run performance of 352 targeted repurchases from 1979 to 1998. For those repurchases of blocks that are non-control related we find a positive announcement stock price response and positive long-run stock performance indicating that these repurchases are timed to occur when the company's shares are undervalued and that the market underreacts to this signal. In contrast, for those repurchases of blocks that are control related we find a negative announcement stock price response and insignificant long-run stock performance indicating that these repurchases occur for a different reason. We conclude that control related repurchases are utilized solely to dismiss potential takeover bids and are not timed when the stock is undervalued. [source]

    Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value Approach

    REAL ESTATE ECONOMICS, Issue 2 2001
    Yuming Fu
    This paper develops a methodology to identify asset price response to news in the framework of the Campbell,Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also dampens the return volatility and the correlation with excess returns in other asset markets. Using Hong Kong real estate and stock market data, we find that the quarterly real estate price assimilates only about half the effect of market news, whereas the quarterly stock price incorporates the news fully. Our analysis identifies a cumulative price adjustment that recovers lost information in real estate returns due to market inefficiency and thereby restores the real estate return volatility and the correlation between real estate and stock markets. [source]

    INDUSTRY EFFECTS OF ANALYST STOCK REVISIONS

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2006
    Aigbe Akhigbe
    Abstract We examine the industry valuation effects of analyst stock revisions and identify the variables that influence these effects. Our results show that industry rivals experience significant abnormal returns in response to revision announcements. Although the mean stock price response suggests contagion effects, there is also evidence of significant competitive effects. The valuation effects are influenced by the magnitude of the rated firm's announcement return, along with analyst-specific and industry-specific characteristics. However, the sensitivity of the valuation effects to these characteristics is conditioned on whether the industry effects are contagious or competitive. [source]

    The implementation challenge of pricing decision support systems for retail managers

    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 4-5 2005
    Alan L. Montgomery
    Abstract There has been an explosion in the availability of data and computing ability in retail management that has led to a new desire on the part of managers to implement demand based management. Demand based management uses statistical models to predict consumer price response using historical information. These models can be used to construct pricing decision support systems for retail managers. Currently, many firms have begun offering software to perform price optimization. This article considers how recent advances in academic research can contribute to the implementation of these systems, and in turn consider the new questions likely to be posed by the developers and users of these new systems. Copyright © 2005 John Wiley & Sons, Ltd. [source]

    The effect of additions to or deletions from the TSE 300 Index on Canadian share prices

    CANADIAN JOURNAL OF ECONOMICS, Issue 2 2000
    Isidore Masse
    In this paper we examine shares that have been added to or deleted from the TSE 300 Index to determine whether abnormal price movements have occurred. We apply the dummy variable approach to event study methodology and adjust the estimated standard errors for arbitrary heteroscedasticity and clustering of events. We also use a non-parametric method of inference. Like authors of U.S. studies, we find that the market reacts positively to inclusion and negatively to deletion, albeit not significantly in the latter case. The information content of inclusion does not account for the entire share price response, lending support to the hypothesis of increased purchases by index funds. JEL Classification: G14 Ce texte examine les titres qui ont été ajoutés ou soustraits de l'indice TSE 300 pour déterminer si des mouvements anormaux de prix s'en sont suivis. On utilise l'approche des variables fictives dans le cadre d'une méthodologie qui étudie l'impact d'événements, et on ajuste les erreurs standards pour tenir compte de l'hétéroskédasticité arbitraire et de l'agglomération d'événements. On utilise aussi une méthode non-paramétrique d'inférence. Comme dans des études américaines du même type, on découvre que les marché réagit positivement à l'inclusion et négativement à la soustraction d'un titre, mais que l'effet n'est pas significatif dans ce dernier cas. Le contenu informationnel de l'inclusion n'explique pas entièrement le mouvement dans le prix du titre, ce qui apporte un support à l'hypothèse de l'impact des achats accrus par des fonds indexés. [source]

    Initiating coverage, broker reputation and management earnings forecasts in Australia

    ACCOUNTING & FINANCE, Issue 3 2007
    Rob Brown
    G14 Abstract We examine more than 5000 recommendations made by Australian brokers in the period 1996,2001. We find evidence that initiating recommendations produce greater share price responses than continuing recommendations, particularly for hold, underperform and sell recommendations. We also find evidence that initiating recommendations made by higher-reputation brokers and those made in the absence of a management earnings forecast attract different share price responses. Finally, we find that share price responses to initiating recommendations, conditional on the market consensus recommendation, are significantly different to continuing recommendations. [source]

    Option Market Efficiency and Analyst Recommendations

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2010
    James S. Doran
    Abstract:, This paper examines the information content in option markets surrounding analyst recommendation changes. The sample includes 6,119 recommendation changes for optionable stocks over the period January 1996 through December 2005. As expected, mean underlying asset returns are positive (negative) on days of recommendation upgrades (downgrades). However, volatility levels and shifts prior to recommendation changes explain a significant portion of underlying asset price responses. Ex-ante price and volatility responses in option markets are linked to increased jump uncertainty risk premia. Our findings suggest information in option markets leads analyst recommendation changes, implying revisions contain less information than previously thought. [source]

    Asymmetric response of retail milk prices in the northeast revisited

    AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 4 2005
    Daniel A. Lass
    Retail milk price responses to farm price changes were analyzed for Boston, Massachusetts, and Hartford, Connecticut. Prior research concluded that asymmetries did not exist in the response of retail fluid milk prices to changes in farm prices. This study finds transmission rates are greater for the Compact period (100,120%) than the pre-Compact period (66,88%). Short-run asymmetries are apparent. Retail prices respond rapidly to farm price increases, but slowly to farm price decreases. This study also finds evidence of long-run asymmetry. When equivalent farm price increases and decreases occur, retail prices do not return to the same levels that were observed before the price changes. Such long-run asymmetry was not observed in prior empirical studies of retail prices in the Northeast. [EconLit Classification: Q110, Q130, L110]. © 2005 Wiley Periodicals, Inc. Agribusiness 21: 493,508, 2005. [source]

    Presidential Address: Asset Price Dynamics with Slow-Moving Capital

    THE JOURNAL OF FINANCE, Issue 4 2010
    DARRELL DUFFIE
    ABSTRACT I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade, such as search costs for trading counterparties or time to raise capital by intermediaries. I discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward. After presenting examples of price reactions to supply shocks in normal market settings, I offer a simple illustrative model of price dynamics associated with slow-moving capital due to the presence of inattentive investors. [source]