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1
Li, Qiang, and n/a. "The Measurement of Short- and Long- Term Returns of Chinese Initial Public Offerings and the Identification of Corporate Governance Variables That May Explain These Returns." Griffith University. Griffith Business School, 2006. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20061017.155437.
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This thesis examines the relationship between the aftermarket performance of Chinese initial public offerings (IPOs) and corporate governance for firms that listed during the years 1999 to 2001. The primary objective of this study is to investigate the significance of corporate governance variables as explanations of IPOs aftermarket performance. By doing so, a set of hypotheses dealing with the relationships between IPO aftermarket performance and three categories of independent variables: corporate governance variables; issue variables; and control variables, were examined. The descriptive analysis indicates that IPOs in China continue to provide significant short-term returns to investors, although the level of underpricing has declined from that found in earlier studies. This finding suggests a growing level of maturity and sophistication in the Chinese IPO market. The analysis of long-term performance indicates negative returns to investors which is consistent with international evidence but challenges the bulk of prior Chinese studies. It is found that there is no significant relationship between corporate governance variables and IPO returns in the short-term with the exception of board composition, while IPO underpricing is primarily explained by the imbalance between supply and demand and the inefficient capital market in China. The significance of board composition can be explained by the launch of the new corporate governance code on board structures in 2001. Overall the empirical evidence shows that the Information Asymmetry Hypothesis is an appropriate explanation of the underpricing of Chinese IPOs. In the long-term, it is found that corporate governance variables do have explanatory power for the market performance of Chinese IPOs, in particular state ownership and the separation of Chairman and CEO, supporting the notion that corporate governance appears to be important to IPO investors in the long-term. It also confirms the view that investors are willing to pay a premium for the shares of what they consider to be well-governed firms in the long-term. Besides corporate governance variables, both issue variables and control variables are also found to have explanatory power in IPO aftermarket performance. In particular firm size, IPO offer price, IPO lottery rate and industry are significantly related to IPO short-term performance in China, while growth in earning per share, firm size and industry are related to the long-term market performance.
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Li, Qiang. "The Measurement of Short- and Long- Term Returns of Chinese Initial Public Offerings and the Identification of Corporate Governance Variables That May Explain These Returns." Thesis, Griffith University, 2006. http://hdl.handle.net/10072/367285.
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This thesis examines the relationship between the aftermarket performance of Chinese initial public offerings (IPOs) and corporate governance for firms that listed during the years 1999 to 2001. The primary objective of this study is to investigate the significance of corporate governance variables as explanations of IPOs aftermarket performance. By doing so, a set of hypotheses dealing with the relationships between IPO aftermarket performance and three categories of independent variables: corporate governance variables; issue variables; and control variables, were examined. The descriptive analysis indicates that IPOs in China continue to provide significant short-term returns to investors, although the level of underpricing has declined from that found in earlier studies. This finding suggests a growing level of maturity and sophistication in the Chinese IPO market. The analysis of long-term performance indicates negative returns to investors which is consistent with international evidence but challenges the bulk of prior Chinese studies. It is found that there is no significant relationship between corporate governance variables and IPO returns in the short-term with the exception of board composition, while IPO underpricing is primarily explained by the imbalance between supply and demand and the inefficient capital market in China. The significance of board composition can be explained by the launch of the new corporate governance code on board structures in 2001. Overall the empirical evidence shows that the Information Asymmetry Hypothesis is an appropriate explanation of the underpricing of Chinese IPOs. In the long-term, it is found that corporate governance variables do have explanatory power for the market performance of Chinese IPOs, in particular state ownership and the separation of Chairman and CEO, supporting the notion that corporate governance appears to be important to IPO investors in the long-term. It also confirms the view that investors are willing to pay a premium for the shares of what they consider to be well-governed firms in the long-term. Besides corporate governance variables, both issue variables and control variables are also found to have explanatory power in IPO aftermarket performance. In particular firm size, IPO offer price, IPO lottery rate and industry are significantly related to IPO short-term performance in China, while growth in earning per share, firm size and industry are related to the long-term market performance.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
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Micheloud, Gabriel Alejandro. "How do investors respond to share buyback programs? Evidence from Brazil during 2008 crisis." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10897.
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This paper provides empirical evidence of how effective share repurchase programs were as instruments to signal low prices during 2008 crisis in Brazil. Although we found that stock prices did not respond to buyback programs in the period 2006 to 2012 (1.65% cumulative abnormal returns after 5 days), the average stock price reaction in 2008 (2.93%) is higher and different with statistical significance. Furthermore, we found that the share price reaction from companies with market capitalization below R$10 billion is higher than the one from larger companies. In addition, we found that the response to the buyback programs is positively correlated (i) to the company’s purchasing activity after the announcement, (ii) to the maximum amount of shares announced which can be bought and (iii) to the quantity actually bought during the program. This research is unique in providing empirical evidence on the Brazilian case by analyzing 377 programs announced during that period. The research also confirms that the stock reaction is not influenced by the company's purchasing activity in prior announcements.
Este artigo avalia empiricamente a eficácia dos programas de recompra de ações como instrumento de sinalização de preços baixos durante a crise de 2008 no Brasil com base em 377 programas de recompra. Os resultados não confirmam que o instrumento sinaliza conforme evidenciado pela reação dos preços das ações período entre 2006 e 2012 (1,65% de retornos anormais cumulativos depois de 5 dias), mas por outro lado, o diferença no impacto médio no preço das ações em 2008 (2,93%) é significativo estatisticamente. Além disso, ao segmentar a amostra entre empresas de baixo e alto valor de capitalização, há evidência empírica que as ações de empresas com baixa capitalização são mais sensíveis ao anúncios de recompra. Com base em dados ex-ante, mostramos que se a empresa realmente informa que poderá fazer volumes grandes de recompra, as ações tendem a ajustar o seu preço de forma estatisticamente significativa. Há evidências que o impacto no preço da ação não é influenciado por recompras realizadas em programas anteriores.
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Novoselova, Mariya, and Nhar Soklim. "Is there any effect of going concern audit opinion public announcements on the stock price behavior in a short term period? : Empirical evidence from Australia." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45161.
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The research paper explores the value of information content incorporated in the first-time going concern opinion from the perspective of investors. The signaling effects of the auditors’ opinion with going concern remark issued to financially distressed companies are of a great value in case the auditor statements deliver new information content which has not been incorporated in the previously disclosed financial information. Otherwise a going concern audit opinion remains not relevant for the purpose of investors’ decision making. If the going concern audit opinion adds new information content, we gain an ability to detect a stock market reaction to the relevant public announcement. The paper examines the Australian stock market reaction to public announcements of going concern audit opinion in a short term period for the sample of the 29 first-time going concern listed companies during the 2007 to 2009 years observation period. High sample criteria are determined in order to avoid contamination effects of other price sensitive information. The impact of both the preliminary financial report and the final annual report is examined by means of the parametric and non-parametric tests aligned with the event study methodology. Consistent with previous studies in Australia, no significant financial market reaction to the final going concern audit opinion announcements inherent to the Australian environment has been found. We document that the more negative impact on the market reaction is caused by the preliminary financial report rather than the final report, which contains an audit opinion note. Correspondently, the audit opinions with going concern qualification do not add new information content for the Australian stock market participants, who base their expectations on the previously disclosed financial information.
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Hamid, Bushra. "The value relevance of greenhouse gas emissions to institutional investors." Thesis, Queensland University of Technology, 2019. https://eprints.qut.edu.au/130564/9/Bushra%20Hamid%20Thesis.pdf.
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This thesis examines whether capital markets value corporate environmental performance (CEP) as measured by greenhouse gas (GHG) emissions intensity. Core to this examination is the role played by large institutional investors. To fulfil their fiduciary duty to safeguard the long-term interests of their stakeholders, it is argued that institutional investors assign higher values to firms with lower GHG emissions intensity. The findings show a positive relation between firm value and environmental performance in low GHG intensive firms, but the reverse for high GHG intensive firms. Thus, the market appears to treat these two groups of firms differently. The research suggests that most market participants consider reducing GHG emissions a shareholder value destroying activity.
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Kerr, Gordon Roy. "The short-term effect on shareholder wealth of banking mergers and acquisitions during periods of real economic expansion and contraction." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1013442.
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Controversy currently exists over whether abnormal returns (ARs) are earned by shareholders of bidder and target banks through a Merger and Acquisition (M&A). The state of the economy in which the firms operate is often mentioned as a reason for firms engaging in M&As, however, the extent to which economies influence the ARs of shareholders is unknown. Following MacKinlay (1997), the aim of this study is to determine the average ARs earned or lost by shareholders of several banks around the world during an M&A. The results obtained may indicate that shareholders of bidding firms consider an M&A to be a wealth-destroying event irrespective of the state of the economy. It would seem that target firms’ shareholders consider M&As to be wealth-creating events when they occur during a period of real economic expansion. However, during periods of real economic contraction, target firms’ shareholders consider M&As to be wealth-destroying events. Thus, the state of an economy during an M&A can affect average ARs considerably.
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Solak, Ekrem. "Evolving role of shareholders and the future of director primacy theory." Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/31353.
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Over the last two decades, US corporate governance has witnessed a significant increase in the incidence and influence of shareholder activism. Shareholder activism, however, has been found to be inconsistent with US corporate governance which is framed within director primacy theory. In this theory, the board is able to carry out a unique combination of managerial and monitoring roles effectively, and shareholders are only capital providers to companies. Shareholder activism is normatively found inimical to effective and efficient decision-making, i.e. the board's authority, and to the long-term interests of public companies. The increasing willingness of institutional shareholders to participate into the decision-making processes of their portfolio companies is at odds with US corporate governance. Therefore, the aim of this thesis is to examine whether director primacy theory should be softened to accommodate greater shareholder activism in US corporate governance. This thesis presents an analysis of the legal rules that reflect director primacy theory. In this respect, US shareholders have traditionally had limited participatory power. The way in which the courts perceived the board's authority also stymied shareholder participation. This thesis considers not only legal and regulatory developments in the wake of the 2007-2008 financial crisis, but also the governance developments through by-law amendments which could potentially make an overall change in the balance of power between shareholders and the board. Shareholders are slowly moving to the centre of corporate governance in the US. History has shown that the board of directors often failed to prevent manager-induced corporate governance failures. This thesis argues that shareholder activism is necessary for improving the web of monitoring mechanisms and for a well-functioning director primacy model. Shareholder activism forces the board to more critical about management, which is a prerequisite for the director primacy model. Therefore, this thesis argues that shareholder activism should therefore be accommodated into US corporate governance. The proposed approach addresses accountability problems more effectively than the current director primacy model while recognising the board authority and enhances decision-making processes of public companies. In this regard, it makes several recommendations to soften the current director primacy model: establishing a level playing for private ordering, adopting the proxy access default regime, the majority voting rule, the universal proxy rules, and enhancing the disclosure requirements of shareholders. The present research also demonstrates that contemporary shareholder activism involves many complexities. It contains different types of shareholder activism, which differ by objectives, tools, and motives. It could be used for purely financial purposes or non-financial purposes or both. Furthermore, the concept of stewardship has been developed to address public interest concerns, namely short-termism in the market and pressures by activist funds through shareholder activism. In this way, this thesis develops a complete positive theory about shareholder activism rather than focussing on a specific type of activism. This complete analytical framework constitutes more reliable basis to draw normative conclusions rather than focussing on a particular type of activism.
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Jaitha, Vedant V. "Short-Term Effects of Announcements and Performance of Athletes on their Respective Sponsoring Companies." Scholarship @ Claremont, 2014. http://scholarship.claremont.edu/cmc_theses/909.
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Sponsorship is one of the main methods through which a number of companies perform marketing and advertising functions. Athletes can serve as brand ambassadors of various products which are believed to help increase sales and/or enhance the image of a firm. Although a lot of research has been done regarding the subject of how sponsorship announcements affect sponsoring companies, not much research is available regarding how non-economic events and individual performances affect sponsors in the short-run. This study hypothesized that ‘good news’ would cause positive abnormal returns while ‘bad news’ would cause negative abnormal returns for the sponsoring companies. A total of nine events relating to three athletes and ten sponsoring firms were analyzed. Although not many significant results were found, this study helped establish the idea that the temporary images of athletes and emotions related to athletes do not affect the financial markets in a large capacity. This study also lays out some further areas of research in the similar field.
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White, Todd Palmer. "Analyst Herding, Shareholder Investment Horizon, and Management Earnings Guidance." Diss., Virginia Tech, 2012. http://hdl.handle.net/10919/37618.
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This dissertation examines the characterization of transient investors by financial analysts. Transient investors have been portrayed in the literature as either 1) informed investors or 2) poor monitors. No research to date, however, has examined how financial analysts, who are important information intermediaries, characterize transient investors. A view of transient investors through the lens of a financial analyst is obtained through examining how the presence of transient owners in a firm affects financial analystsâ decision making. Specifically, this study examines how transient ownership affects both the propensity of analysts to herd when issuing earnings forecasts for a given firm as well as the incidence with which analysts revise their forecasts when the firm issues earnings guidance. Empirical tests show that financial analysts exhibit a greater propensity to herd when there are transient investors present. The proposed reason for this effect is analysts are herding due to reputational concerns. Further testing, however, does not show that the relation between transient ownership and analyst herding is owed to poor monitoring behavior of transient-owned firms. In contrast, evidence is consistent with the hypothesis that the firm information environment of transient-owned firms is an important cause of analyst herding. In summary, evidence is consistent with the informed investor portrayal of transient investors and there is no evidence indicating financial analysts view transient owners as poor monitors. Finally, when the decision of analysts to issue revised forecasts is examined, it is found that having a higher percentage of the firm owned by dedicated or long-term investors increased the propensity of analysts to issue a revised forecast. Thus, while my analysis is inconsistent with a poor monitoring portrayal of transient investors, results suggest that a dedicated investor base can enhance the perceived credibility of firm disclosures.
âPh. D.
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Ramos, Nogales Juan Jose, and Kreshnik Elshani. "The Impact of Finance Mergers and Acquisitions on Short-Term Performance of Acquiring Companies : An Event Study Focused on the British Isles." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-49684.
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Background: Mergers and acquisitions (M&A’s) are common ways for businesses to expand, compete, and maintain in competitive business environments. A strongly debated question in literature is whether or not these M&A’s provide measurable benefits, as factors such as industry, geographic location, and regulations play key roles in the impacts of the M&A’s. In this paper, we investigate the short-term effects of M&A’s based on stock returns of acquiring companies, with a focus on finance industries in the British Isles. Purpose: The purpose is to study whether or not there are significant short-term abnormal returns for acquiring companies when M&As of financial services target enterprises take place. Further, the study examines factors which can affect the impact of M&A’s, such as size of transaction, whether it is domestic or cross-border, whether or not the acquiring company is in a finance industry, and whether there is evidence of merger waves related to finance M&A’s in the British Isles. Method: An event study methodology is applied and focused on calculating the cumulative abnormal returns, as well as verifying whether those are statistically significant. The study analyses 100 M&A’s conducted on target companies from the UK and Ireland between the years 2000 and 2019. The event study is performed using the STATA statistical software, which is used to analyse the stock return performance in comparison to the domestic market index for each acquiring company. Conclusion: The study finds statistically insignificant results, concluding that M&A events do not generate significant abnormal returns for acquiring companies. This is in line with majority of previous research done, showing that M&A deals are not deemed significantly value creating nor value destroying. M&A’s within finance industry where the acquiring companies were domestic, in a finance industry, where the deals were smaller, were all shown to have less negative, albeit still insignificant results. This study also presents evidence for merger waves. Moreover, this thesis adds a clear geographic and industry component which is often missing in previous research, showing that within finance industry in the British Isles the impacts of M&A deals are unlikely to be statistically significant in causing abnormal returns.
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Maconi, Stephen, and Alexander Singer. "Insider timing on the Stockholm Stock Exchange : A study of short-term cumulative returns prior to mid-cap CEOs’ transactions in their own firm." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-379436.
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This paper investigates how CEOs in public Swedish mid-cap corporations time their transactions in their own company’s stock in a short-term perspective. To investigate this, an event study methodology is employed on cumulative returns surrounding these insiders’ transactions, both absolute and relative to the market. We find that these insiders, on average, purchase stock subsequent to a period of decline in both total and abnormal cumulative returns and sell stock following a period of positive total and abnormal returns. This is in line with our hypotheses. We also find that total and abnormal cumulative returns tend to turn and increase for a short period following a purchase transaction, while for a sale transaction, the trend does not turn but continues upward, implying that purchases may be timed more rigorously in the short run than sales. This paper discusses these observations in connection to earlier findings and motivates further research on the subject of insider transaction timing.
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Andreasson, Axel, and Gustav Bergman. "The effect of corporate donations on a company’s market value in a short-term perspective : An event study approach." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-20145.
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Background: Societies around the world have seen an increased willingness to contribute to social responsibilities activities. One way for corporations to commit to corporate social responsibility (CSR) have been to donate corporate assets. However, donating company assets has been questioned if justifiable. Arguments ranging from the missuses of assets to increased competitive advantage as a part of corporate strategy have been mentioned in connection to corporate donations. These different opinions have created an uncertainty of how corporate donations ultimately will affect a company’s market value. Objective: The objective of this thesis is to distinguish if corporate donations have a significant effect on a company’s market value. It is further examined if different amounts or recipient area of a donation significantly impacts the response to the donation. The aim is to understand if the donation amount is lost or if donating can create value for a company, possibly helping to motivate managers to donate and thus create value for our society. Method: An event-study methodology approach was used to examine abnormal returns associated with corporate donation announcements. Linear regressions were applied to distinguish if different donation amounts or if the recipient area played a significant role regarding how realised donation announcements is interpreted by the market. Result: No market significance regarding abnormal returns was found connected to donation announcements during any of the three studied event windows. The linear regressions performed revealed that the donation amounts significantly affect market reactions during a two day-period before an announcement as well as a seven day-period after the announcement day. Indicating information leakage and lagging reactions to the announcement. Recipient area was identified to not affect abnormal returns with the regressions for any of the investigated event windows. However, through an analysis of means, some specific cases where the donation amount and the recipient area resulted in a significant difference between groups were distinguished. Conclusion: No significant punishment to donating companies was found; hence no lost firm value was identified, indicating that the act of donating is not viewed as inappropriate by the market. Therefore, managers do not need to fear the market’s reactions when planning a corporate donation. Internal value can emerge from the act of donating, in the form of goodwill, brand image, reputation, company image, positioning or awareness. Further, it was determined that neither the donation amount nor the recipient area have a significant relation to the effect for any of the whole event windows tested.Bakgrund: Samhällen runt om i världen har upplevt en ökad strävan att bidra till samhällsansvar. Ett sätt som företag bidrar till detta är genom att donera sina tillgångar. Dock har användningen av företagstillgångar till detta ändamål ifrågasatts. Där argument som felanvändning av företagstillgångar till konkurrensfördel som en del av företagsstrategi har använts i samband med företagsdonationer. Dessa skilda åsikterna har skapat oklarhet kring hur företagsdonationer verkligen påverkar ett företags marknadsvärde. Syfte: Syftet med denna uppsatts är att urskilja om företagsdonationer har en signifikant effekt på ett företags marknadsvärde. Vidare undersöks om mängden som doneras har betydelse och om mottagarområdet påverkar den initiala reaktionen. Målet är att förstå om donationsvärdet går förlorat eller om donationer kan skapa värde för företag, vilket möjligen kan bidra till att motivera chefer att donera och på så vis skapa värde för samhället. Metod: Event-studiemetoden används för att undersöka abnormal avkastning som förknippas med offentliggörandet av företagsdonationer. Linjära regressioner används för att urskilja om olika donationsmängder eller mottagarområden har ett signifikant inflytande angående hur publikationen av en donation tolkas av marknaden. Resultat: Ingen marknadstäckande signifikans beträffande abnormal avkastning observerades kopplat till offentliggörandet av donationer under något av de tre testade eventfönstren. De linjära regressioner som utfördes avslöjar att donationsmängden signifikant påverkar marknadsreaktioner under en tvådagarsperiod innan offentliggörandet samt under en sjudagarsperiod efter annonseringsdagen. Detta indikerar att det finns informationsläckage och eftersläpande reaktioner kopplat till tillkännagivandet. Mottagarområde påverkade inte abnormal avkastning enligt de utförda regressionerna för något av de testade eventfönsterna. Däremot kunde vissa specifika fall urskiljas genom en medelvärdesanalys där donationsmängd och mottagarområde resulterade i en signifikant skillnad mellan grupperna. Slutsats: Ingen signifikant bestraffning mot donerande företag hittades, därav är inget förlorat företagsvärde identifierat; vilket indikerar att handlingen att donera inte anses som felaktig av investerare. Följaktligen behöver chefer inte bekymra sig för investerares reaktioner i samband med donationer. Inneboende värde kan skapas av akten att donera i form av goodwill, varumärke, rykte, företagssyn, positionering och/eller medvetenhet. Vidare kunde det fastställas att varken donationsmängden eller mottagarområdet har en signifikant relation till effekten under något av de testade eventfönsterna.
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Sha, Yuqing. "Short Term Momentum: Role of Investor Sentiment in Return Formation." Thesis, 2012. http://spectrum.library.concordia.ca/973721/1/thesis_yuqingSHA.pdf.
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Using transaction level data spanning across eighteen years over 1993 to 2010, we show that heavily bought stocks or heavily sold stocks display persistence in buy and sell order respectively. We show that over one trading day horizon, the persistence is strong enough to generate economically significant return. CAPM market factor, Fama-French Size and Book to Market factors, as well as Carhart’s momentum factor do not explain these results. However, the returns can be at least partially explained by investor sentiment variables and macroeconomic condition variables such as term and default spread and business cycle.
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Dogan, Inan. "Actual insider trading returns and determinants of short term returns." 2005. http://proquest.umi.com/pqdweb?did=982808101&sid=14&Fmt=2&clientId=39334&RQT=309&VName=PQD.
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Thesis (Ph.D.)--State University of New York at Buffalo, 2005.Title from PDF title page (viewed on Mar. 14, 2006) Available through UMI ProQuest Digital Dissertations. Thesis adviser: Gort, Michael. Includes bibliographical references.
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Pan, Kwang-Chen, and 潘冠呈. "An analaysis of stock returns explanatory variables : short-term vs. long-term." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/63990703058954542649.
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碩士輔仁大學
金融研究所
86
In this paper, we analyze how macro, micro, and funds of flow variables relate to stock returns by the market as a whole as well as by industry. In addition, we differentiate the explanatory power of each variable between long- and short-term return interval. Generally speaking, we find that these explanatory variables perform better in the long-term than in the short-term. The most significant variable in explaining short-term return is exchange rate, but in the long term is default spread. When we adjust default spread to have a lead of three years to stock returns, we find the sign between stock returns and default spread changes from negative to positive. In microeconomic variable aspect, we find that the significant result of earnings per share in the short-term holds consistently even after we add other variables in our empirica
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Wang, Tzu-Wei, and 王子威. "The Effect of Investors’Attention on Short-term Stock Returns." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/39266975187273281296.
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碩士國立中興大學
財務金融學系所
102
Are the Investors remain rational or affected by outside information when making a trading decision in the stock market? We select several factors to investigate whether big events, such as the daily limit, top twenty trading volume stocks and headline news, will affect the return on stocks or not. We used principal component analysis to construct an ATX(Attention Index) to observe the effects of the media, thereby to observe the correlation between ATX and stock returns. According to my research , we found that stock returns will be affected by various external message. There will be a significant increase in stock return when an event occurs attention. According to their market capitalization, age, and book-to-market ratio, we found that the shorter the age listed, the higher the book-to market ratio, and the smaller the market capitalization, will be more intense with media ATX..
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Huang, Chih-Yuan, and 黃致遠. "Short Sales by Institutional and Individual Investors: Motives and Effects on Stock Returns." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/75215772077462404669.
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Lu, Mei-lu, and 呂美綠. "The Short-term and Long-term Stock Returns on Convertible Bond Issuance in Taiwan." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/51391001480474297718.
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碩士國立中央大學
財務金融學系碩士在職專班
95
This study examines the effect of announcement of issuing convertible bond on stock returns in Taiwan. Further analysis and evaluations are made based on the empirical results to discuss the influences of Taiwanese company to its stock price, and later, to categorize sample companies by industry sector and conversion premium, and compare these two sub-samples by the short-term and long-term stock returns. There are negative cumulative average abnormal returns existed upon the convertible bond announcement. The abnormally negative cumulative average returns on convertible bond announcement of electronic-machine companies is lower than non-electronic-machine companies. Because the financial leverage of electronic-machine is high than non-electronic-machine to issue convertible bond. The short-term stock returns conform to our anticipation. The negative cumulative average abnormal returns on convertible bond announcement of the low conversion premium companies is lower than the high conversion premium companies. Moreover, the long-term buy–and–hold returns are significantly low than the market portfolio. The short–term and long–term negative cumulative average abnormal stock returns support earnings dilution effect.
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Sithole, Mthokozisi. "Incorporation of climate change in institutional investors’ short-term investment decision-making." Diss., 2014. http://hdl.handle.net/2263/44454.
Full textAbstract:
The issue leading to this study is the purported lack of short-term consideration of climate change materiality on investment portfolios. The on-going research argument deliberates the roles and motives of institutional investors in considering environmental, social and governance (ESG) issues, including climate change, in investment decisions. The purpose of this study was therefore to explore the underlying motives of South African institutional investors for the incorporation of climate change in their short-term investment decision-making. The study was conducted through a qualitative, exploratory enquiry, whereby seven semi-structured interviews were conducted with institutions in the South African asset management industry.
Participants’ views were analysed and indicated the following themes: The state of climate change awareness and the incorporation of ESG and climate change in investment decision-making; tactical valuation of assets using ESG/climate change screening and methods of monitoring ESG/climate change practices; and motives, incentives and constraints of responsible investment (RI) practices to incorporate climate change. These are supported by business conditions that enable consideration of climate change in investment analysis. Industry practitioners can lead by implementing RI to include climate change in order to attract potential clients to their portfolios.Dissertation (MBA)--University of Pretoria, 2014.
zkgibs2015
Gordon Institute of Business Science (GIBS)
Unrestricted
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Hsieh, Guan-Mean, and 謝冠冕. "An Empirical Study of Short term Excess Returns of Newly listed Companies." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/43069287236108312792.
Full textAbstract:
碩士淡江大學
管理科學研究所
83
"Going Public" has been becoming a trend in Taiwan . We notice that the initial public offerings generally have excess return. This study focused on the behavior of these IPO''s excess return. This study observed the IPOS listed in category A and B, banking and insurance stocks were skipped from the sample, in the period of May 1991 to October 1994. In this study , "Excess Return" was measured by Market-Adjusted Abnormal Return. The methods to analyze the data mainly were percentage analysis, regression analysis and analysis of variance. The findings of these study are stated bellow: 1. The excess returns of IPOs exist in the first 9 trading days. 2. The rate of excess returns is not affected by the business scale, age , financial status, insider holdings, listing categories, listing season, and contact types. 3. On the condition of bad signal, for example, too large issuing volume or too much predicted EPS, the excess return might not exist. 4. The cause of excess return of IPOs could be the investors'' irrational expectation of excess return.
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Lin, Jerson Li. "Short-term stock returns following rating agencies announcements in large European firms." Master's thesis, 2017. http://hdl.handle.net/10400.14/21884.
Full textAbstract:
Using Moody’s and S&P’s bond and credit watch announcements between 2007 and 2016, I
have found inconsistent results comparing to prior literatures. Conducting an event study to
analyse the stock market, no reliable abnormal returns following downgrades were found
while significant returns were observed following upgrades. Nevertheless, for changes within
speculative grade both downgrades and upgrades had reliable abnormal returns. An analysis
over the global financial crisis shows that the market can anticipate the rating changes and
further reacts after downgrade announcements. After the crisis period very significant
abnormal returns are observed only for upgrade announcements. For changes in Outlook, the
market also seems have had anticipated, but after positive announcements the market reacts
in the opposite expected direction. The same occurs for negative outlook announcements
after the crisis period.
The main explanation for my results being inconsistent with prior studies relies on the global
financial crisis started in 2007 when markets went down drastically. During the recovery from
the global financial crisis, many stocks were underpriced making rating downgrades ineffective
to stock prices changes and upgrade a set of good news to increase stock prices.Usando publicações de rating de crédito e revisão de crédito das principais agências de rating Moody’s e S&P, foram encontrados algumas inconsistências nos resultados em relação à literatura existente. Levando a cabo um estudo de evento para analisar o mercado de acções, não foram encontrados retornos anormais significativos após reduções de ratings enquanto que após melhoria de ratings apresentam resultados anormais significativos. Contudo, numa análise somente com ratings especulativos, existem resultados anormais significativos tanto para reduções como para melhorias de rating. Durante a crise financeira global, os resultados mostram que os mercados antecipam as mudanças de rating e no caso das reduções, o mercado reage negativamente com resultados significativos. Após o período de crise, resultados significativos só são observados em melhorias de rating. Para mudanças de revisão de crédito, o mercado também mostrou antecipar-se às publicações, sendo que posteriormente às revisões positivas, o mercado reage de forma oposta às expectativas. O mesmo acontece para revisões negativas após o período de crise. A principal explicação para os meus resultados serem inconsistentes com estudos anteriores reside na crise financeira global onde os mercados caíram de forma drástica. Durante o período de recuperação, muitos mercados de acções encontravam-se subvalorizados tornando as publicações de redução de rating inefectivas aos preços das acções e as publicações de melhoria de rating um conjunto de boas notícias para o aumento do valor das acções.
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Chan, Shu-ming, and 詹曙銘. "The announcement effect of convertible bond issuance on the long-term and short-term stock returns." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/56506380665630359612.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
91
The firms that issue convertible bonds in the open traded and over-the counter markets were used as sample. Besides, we employed market-adjusted returns model, risk-adjusted model, and buy-and-hold returns model to explore the effect of the announcement of issuing convertible bonds on the stock return on the board meeting date, the issuance date and during the three-years periods after the board meeting date. The purpose of this research is to provide further investigation into the information content of the announcement of issuing convertible bonds, and our study differs from previous work in at least two aspects. We discussed not only the influence of the issuance of convertible bonds on the short-term and long-term stock returns, but also that the impact of the issue volume, size, year of launching, kind of industry, capital planning of a company, or the yield rate on the stock price reaction. The result reveals that there are significantly negative abnormal returns on the board meeting date, but there are not on the issuance date. Moreover, the long-term buy-and-hold returns are significantly less than the market portfolio. However, except the issue volume and the kind of industry, the others have not significant impact on the stock returns.
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Lin, Ko-yi, and 林可依. "The Short-Term Profitability of Net Buy-and-Sell Information of Institutional Investors." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/90772985295729116508.
Full textAbstract:
碩士國立東華大學
國際經濟研究所
91
In this paper, we investigate the short-term profitability of net buy-and-sell information of institutional investors, including foreign investors, security investment trust companies, and security dealers. We group the net-buy/sell portfolios based on their net buy/sell trading volumes and values. As a result, we observe that the buy-sell strategies (buying the net-buy portfolios and shorting net-sell portfolios) following security investment trust companies outperform the market and those following foreign investors and security dealers. On average, all institutional investors prefer large and growth stocks. Compared to foreign investors, security investment trust companies prefer stocks with relatively small size and low BM (book to market equity).
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Hu, Jia-Ming, and 胡嘉明. "Are Institutional Investors Better Informed in the Taiwan Stock Market? Analyses of Short-term and Long-term Performances." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/6s9b3k.
Full textAbstract:
碩士國立東華大學
國際經濟研究所
95
Employing daily and monthly data, we compare the short- and long-term performances between domestic mutual funds and foreign investors in the Taiwan stock market. Our results show that domestic mutual funds outperform foreign investors no matter in the short term or the long term. The informational advantage of domestic mutual fund does not result from their investment persistence but from their stock-picking preferences.
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CHUNG-LING, SHIH, and 石仲伶. "The Impacts of Net Buy/Sell of Institutional Investors, Margin Trading and Short Selling on Stock Returns." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/8fz2up.
Full textAbstract:
碩士國立高雄應用科技大學
金融系金融資訊碩士在職專班
106
The purpose of the research is to discuss the impact on the rate return of stock prices caused by net buy/sell of three major institutional investors and changes of margin balance. The research takes the data of 2000 trading days from January 2006 to December 2017 of listed companies in Taiwan as samples, divide samples into the electronic industry and the non-electronic industry, and use regression analysis as the method to carry on the analysis and the discussion. The outcome of the research implies that no matter we consider marketing factors or not, the average rate return of stock prices within electronic industry and non-electronic industry appear to be positive and significant. When margin balance, foreign investors, investment trust, margin trading and short selling increase simultaneously, the change in average rate return of stock prices present to be positive and significant. In other hand, When margin balance, foreign investors, investment trust, margin trading and short selling decrease simultaneously, the change in average rate return of stock prices present to be negative and significant. Only when the balances of dealers net buy/sell change, without considering marketing factors, average rate return of stock prices in electronic industry present to be negative, while being positive in non-electronic industry, which shows that the balances of dealers net buy/sell have different degrees of impact within different industries. In considering marketing factors, the balances of dealer net buy/sell appear to be negative and significant.
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Chih-Jen, Sheng, and 盛志仁. "The Short Term Realized Returns of High Turnover Mutual Funds in Taiwan Equity Market." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/94475248843713994839.
Full textAbstract:
碩士實踐大學
企業管理研究所
91
This study investigates the intra-month round-trip realized returns of mutual funds from a data set of trading records of the highest-monthly-turnover-rate mutual funds in their highest-turnover trading months in the Taiwan equity market. By analyzing over 4,215 intra-month round-trip trading records of the monthly highest-turnover-rate mutual funds from October 1998 to April 2002, we try to see if fund managers are more precise in picking the stock and more accurate in choosing the timing to trade it. If so, we can invest in mutual fund to increase the return by taking advantage of the profession of fund managers. And we find that the intra-month round-trip realized negative mean returns are persistent and statistically significant. That is, we can conclude that fund managers have the ability to pick stocks (statistically significant); but as for choosing the timing, it’s not significant.
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Brouns, Joris. "The effect of board chacteristics on short- term acquisition returns: a North- American perspective." Master's thesis, 2018. http://hdl.handle.net/10362/52481.
Full textAbstract:
This paper investigates the effect that experience and diversification board have on short-term acquisition returns for investors. Additionally, it assesses whether the crisis changed the effect that board characteristics have on the short-term acquisition returns. It is found that several board experience characteristic do result in higher short-term acquisition returns for investors when taking the crisis into account these returns mainly persist in the post-crisis era, but not anymore in the pre-crisis era. For board diversification on the other hand, not many effects are found. The main finding here is that more woman on a board improves the short-term acquisition returns.
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Hsu, MingChieh, and 許銘傑. "The Determinants of Short-Term Expected Stock Returns in Taiwan: Market Sentiment v.s. Fundamental Value." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/81046208190426336658.
Full textAbstract:
碩士國立政治大學
國際貿易學系
90
This article investigates the forecasting power of market sentiment over the stock return in Taiwan stock market. To study the predictability of the stock return, the “real-time” forecasting model suggested by Pesaran and Timmermann (1995) is used to compute one-step-ahead forecasts of excess stock return in a recursive fashion. We not only evaluate the explanatory power of the fundamental variables but also exploit that of the variables about investor’s psychology in predicting the stock’s excess return. Our empirical result suggests that the indicators of both stream variables are in a close relation with the market excess returns. The forecasting performance would be deeply influenced not only by the political unsettlement but also business cycle.
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Huang, Wei-Ching, and 黃瑋菁. "The Empirical Research of Short- and Long-term Stock Returns on Convertible Bonds in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/06104858710618062659.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
98
There are many theses and research studied stock returns on convertible bonds currently from local and foreign countries. And the empirical results are so different. Therefore, this study focuses on only three points. Firstly, the thesis of this paper discuss the issue terms of Prospectus, the laws, and the current market experience and try to find out the most suitable model of the convertible bonds market in Taiwan, and then, to approach the short- and long-term stock abnormal returns. There is a further discussion on which has the largest abnormal return among issuance, forcing conversion or price reset. And how long does it last for? Secondly, the thesis uses the issue terms of Prospectus and issuer characteristics as explanatory variables to consider the cross-data regression method and figure out the factors influencing the abnormal returns. Thirdly, the thesis implements a further empirical research to discuss four different expiration styles of convertible bonds and impacts of issuer insiders. These parts are never been studied before. Finally, this thesis sums up the convertible bonds market in Taiwan with the three points noted above.
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PeerapongChukiatkhajorn and 曾昭民. "Investors’ Short-term Trading Behavior in Tiny Stock Markets: Case of Thailand’s Market for Alternative Investment." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/85915784930314618762.
Full textAbstract:
碩士國立成功大學
國際經營管理研究所碩士班
101
This paper examines the relationships between investors’ trades and market movement, in order to observe their trading behavior and investment characteristic. By employing MAI market index and weekly trading value of investor groups in MAI market, the data are generated into five variables; market return (CHG) foreign investors (FI), individual investors (IND), institutional investors (INS), and proprietary traders (PRO). This paper utilizes Vector Autoregression (VAR) model, Pearson correlation coefficient, Different Means Comparing Test, and Cumulative Abnormal Return (CAR) to study the datasets. Based on the result, it is revealed that, in MAI market, individual investors are the main player, and perform as positive feedback traders along with proprietary traders, while foreign investors and institutional investors are contrarians. However, the evidence also shows that the positive feedback traders are not always the winner. It is found that the winner of MAI market is institutional investors, who are contrarians.
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Fan, Sheng-pei, and 范聖培. "A Study on Short-Term Stock Price Reactions to Net Buy-and-Sell of Institutional Investors." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/58940081276303000540.
Full textAbstract:
碩士國立中央大學
財務金融學系在職專班
102
This study investigates short-term returns of stocks net bought or net sold by institutional investors, and examines whether institutional investors’ net buy-and-sell has implied information for stock prices. This study focuses on stocks which are top ten weekly net-bought or net-sold by institutional investors in terms of the number of shares transaction or the amount of dollar transaction during the period from 2001 to 2013. Empirical results show that stocks net bought (net sold) by institutional investors experience a positive (negative) weekly return during the week institutional investors net buy (net sell) those stocks. Except for stocks net sold by security dealers, significant positive (negative) returns for those stocks can be found in the following four weeks. However, the magnitudes of post returns for net-sold stocks are lower than those for net-bought stocks. Such finding implies that institutional investors’ net buy-and-sell, especially for the net buying, do have implied information for stock valuations, and individual investors can earn a certain return following institutional investors’ net buy-and-sell. Our results are robust after adjusting for the market, size, and book-to-market ratio risk factors.
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Chang, Kuei-Chih, and 張貴智. "An empirical study of short-term excess returns of Chinese growth enterprise market initial public offerings." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/43488855302421965023.
Full textAbstract:
碩士國立交通大學
管理學院碩士在職專班經營管理組
98
The procedure is to study the new short-term excess returns of Chinese mainland growth enterprise market. There are 58 listed companies as samples to calculate the short-term excess returns in the period of October 30, 2009 to February 26, 2010. Chinese mainland growth enterprise market newly listed companies with high growth and the development of industry are emerging. This paper consists of three parts: the issuing companies, the investors and the underwriters. Based on nine variables by imposing regression analysis to examine and validate its assumptions. From the results of the empirical analysis, we learn that the excess returns of the new growth enterprise market listed stocks on the first day do exist, and the average of the excess returns rate is up to 65.657%. However the excess returns from the day after showing the negative growth by the empirical analysis indicates that the stock price is overreacted on the first day. Drawing probabilities and short-term rate of returns have a negative affect on excess returns, while the lower drawing probabilities, the higher excess returns. The numbers of the company going public in the same month and short-term excess returns are positively related. The numbers of company going public in the same month increases, it would attract investors to participate in stock options, and it affects on the short-term excess returns. The results are in accordance with the actual market transactions.
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Lee, Ying-Shung, and 李應順. "An empirical study on short-term excess returns of IPOs in Taiwan : Partial Auction v.s. Open Subscription." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/81176478952832787370.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
89
Abstract Title of Thesis : An empirical study on short-term excess returns of IPOs in Taiwan : Partial Auction v.s. Open Subscription Name of Institute : Department of Finance, Chaoyang University of Technology Name of Student : Ying-Shung Lee Advisor : Gili Yen, Ph. D. Time : June, 2001 On March 8th, 1995, the Securities and Futures Commission has incorporated partial auction into the extant underwriting mechanism with the purpose of reducing excess returns associated with newly listed shares. The present study is purported to examine the impact of partial auction on short-term excess returns of newly listed shares in viewing that relatively few studies have attacked the issue from an institutional perspective. It is found that, when companies adopting partial auction are compared with companies without adopting partial auction, the regulatory change in question has not effectively reduced the excess returns. Key words: Newly listed shares ; Short-term excess returns ; Partial Auction
34
Chao, Shih-Jung, and 趙詩容. "Do Institutional Investors’ Net Buy-and-Sell Information Provides Short-Term Profitable Opportunities in the Taiwan Stock Market." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/45631592275873057823.
Full textAbstract:
碩士國立東華大學
國際經濟研究所
90
The three major institutional investors in Taiwan are categorized as foreign investors, investment companies, and security dealers. They play an increasingly important role in the Taiwan Stock Market after the financial market liberalization since the mid 1980s. The purpose of this research is to investigate whether institutional investors’ net buy- and-sell information provides short-term profitable opportunities. This paper uses recent trading data for the three institutional investors in the Taiwan Stock Market between 12/12/2000 and 12/14/2001. We group the net-buy/net-sell portfolios based on their accumulative weighted net buy/sell trading volumes and values over the past 1, 3, 5, and 10 days. Once formed, the portfolios are held for 1, 2, 3, 5, and 10 days. A buy-sell strategy is referred to as the zero investment selling the net-sell portfolio and buying the net-buy portfolio. Thus, the return on the strategy implies the profitability of following the trading patterns of the three major institutional investors. As a result, we observe that the buy-sell strategies following investment companies beat the market and, more importantly, are more profitable than those following foreign investors and security dealers.
35
Chen, Shuen-Yi, and 陳舜怡. "The Explanation of Taiwan Index Option to Short-Term Stock Returns－Test by Quantile Regression and Momentum Life Cycle." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/b9umg8.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
92
Taiwan Index Option (TXO) entered the market from December, 24, 2001. The period of developing is only two years, and its developing lags behind other countries. However, the volume of TXO was enlarged year by year and it means investors could receive this financial good more and more. Specially, Future and Option market could be reacted by investors’ viewpoints about future economics. In other words, derivatives market has the function of price leader. Consequently, the method –Quantile Regression- for estimating the parameter of usable variables to check its significance make used of and observed the future short-term returns of stock price by Momentum Life Cycle Hypothesis. The result finds that the difference of call and put volatility index could explain the future short-term returns of stock price. When the stock market is in bear, the value of call volatility index is higher then put volatility index. On the other hand, when the stock market is in bear, the value of call volatility index is higher then put volatility index. In the short-term, the actions of investors often continue with optimistic in bear market and when investors are over-optimistic, the stock returns will reverse from positive to negative.
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Oliveira, Joana Carolina Carvalho. "Liquid institutions’ response to the presence of short sellers in the market." Master's thesis, 2017. http://hdl.handle.net/10362/26202.
Full textAbstract:
The aim of this study is to examine the influence of institutions' liquidity on the level of
lending supply, short sale constraints and future stock returns, after an increase in shorting
demand. By considering the interaction between outward demand shocks and the level of
institutions’ liquidity we find that, in times of increasing shorting demand, the level of
institutions’ liquidity is not responsible for either restricting the entrance of novel short sellers
in the market or hurting existing ones; in addition, we do not find evidence of any decrease in
lending supply or future returns, nor increases in loan fees or arbitrage risk.
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Carvalhosa, João Maria Freire de Andrade. "Is Fintech M&A Value-additive? Evidence from acquirers stock returns." Master's thesis, 2020. http://hdl.handle.net/10400.14/35250.
Full textAbstract:
The following dissertation present an analysis of the effect of the short-term and long-term performance in Fintech mergers and acquisitions. The analysis focus on the performance of acquirers that acquire Fintech firms between 2018 and 2019. A sample of 79 acquiring firms is analyzed in this research and an event study was performed. The short-term performance was measured by calculating the cumulative abnormal returns (CARs) around the announcement date in four different event windows estimated by three different models. The mean cumulative abnormal returns are positive around 2% and 3%. In the research was proven that the acquisition of targets of the Fintech industry lead in general to positive and significant market reactions only with few exceptions for the Market Model and Mean-Adjusted model in one of the event windows. The short-term performance negatively depends only on the deal amount acquisition. The long-term performance was measured by calculating the buy-and-hold abnormal returns (BHARs) for 1 day after the announcement date to 200 days after the announcement date. The same methods to calculate expected returns were used as in the calculation of CARs. The buy-and hold abnormal returns are negative for the three methods used. The long-term performance negatively depends on the short-term performance.A seguinte dissertação apresenta uma análise do efeito do desempenho a curto prazo e longo prazo de Fintech Mergers and Acquisitions. A análise incide sobre o desempenho dos compradores que adquirem empresas Fintech entre 2018 e 2019. Uma amostra de 79 compradores é analisada nesta pesquisa e foi realizado um event study. O desempenho a curto prazo foi medido através do cálculo dos cumulative abnormal returns (CARs) em torno da data do anúncio da compra em quatro event windows, estimadas por três modelos diferentes. As cumulative abnormal returns médias são positivas em torno de 2% e 3%. Na pesquisa foi provado que a aquisição de alvos da indústria Fintech levou em geral a reacções de mercado positivas e significativas apenas com poucas excepções para o Market Model e o Mean Adjusted Model numa das event windows. O desempenho a curto prazo depende apenas negativamente da aquisição do montante da compra. O desempenho a longo prazo foi medido através do cálculo das buy-and-hold abnormal returns (BHARs) durante 1 dia após a data do anúncio até 200 dias após a data do anúncio. Foram utilizados os mesmos métodos para calcular os retornos esperados que no cálculo das CARs. As buy-and-hold abnormal returns são negativos para os três métodos utilizados. O desempenho a longo prazo depende negativamente do desempenho a curto prazo.
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Yang, Shih-Chang, and 楊世璋. "A Study on the Relationship between the Trading of the Three Major Institutional Investors and the Short-term Performance of Taiwan Stocks." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/93st78.
Full textAbstract:
碩士國立中央大學
財務金融學系在職專班
106
This paper investigates the relation between the three legal entities net buy-and-sell and the short-term performance of Taiwan Stocks from 2012 and 2017. Taiwan Top 50 ETF used in this article is developed by Taiwan Stock Exchange and FTSE. This index consists of the top 50 companies based on their market value. The constituents of Taiwan Top 50 ETF will be audited on March, June, September, and December every year. If a rank of a non-constituent stock’s market value rises to top 40, this stock will be included in Taiwan Top 50 ETF. In constrast, the constituent will be removed from Taiwan Top 50 ETF if the rank of its market value drops below sixty-first. This selection rule is simple and the purpose is to contain the top 50 companies based on market value. This article uses top ten constistuents of Taiwan Top 50 ETF as samples and observes the relation between three legal entities’ behavior of buying and selling and stocks’ performance. The purpose is to test whether retail investors can take the behavior of three legal entities as reference. Empirical results show that the stock which is continuously bought (sold) by three legal entities has significantly positive (negative) return. In other words, three legal entities’ behavior have significant relation with stock return. Therefore, investors can take the change of three legal entities’ behavior as a reference to make assets grow stably
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Ken, Chen Chia, and 陳家賡. "An empirical study of short term excess returns of newly listed companies in mainland China -A case study of "A" share." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/20495574936234310976.
Full textAbstract:
碩士淡江大學
大陸研究所
87
Title of Thesis：An empirical study of short term excess returns of newly listed Total Page：108 companies in mainland China - A case study of "A" share Key Word：newly listed, IPO, excess return Name of Institute：Graduate Institute of China Study ; Business Division , Tamkang University Graduate Date：June, 1999 Degree Conferred：Master Name of Student： (英文)Chen Chia Ken Advisor：Dr. Guo Jian Jong (中文)陳 家 賡 郭 建 中 博士 Abstract： The security market of mainland China grows up increasingly with the developing and opening economic environment. The newly listed companies increase fast. However, its regulations are not sound enough, the pricing of IPOs and investors of mainland China were riotous for subscribing to shares. (Shenzhen 8.10 event). Hence, the theme of this study is to analysis the returns of IPOs, to measure the existence of excess returns of IPOs, and to find out the possible factors that affect excess returns of IPOs. The samples of this study include 130 IPOs of Shanhai stock Exchange and 154 IPOs of Shenzhen Stock Exchange from January of 1997 to December of 1998. T-Test and multiple regression are used to analyze samples . According to results of empirical research, the conclusions of this study are as follow: 一、 Shanhai: 1. Excess returns of IPOs does exit on the first trading day, and the average excess returns is 142.422%; there is no excess return after the first trading day. 2. The short term excess returns are affect by the number of issued shares and the number of listed company in that month based on results of all variables regression. 3. The shore term excess returns are affect by the number of issued shares and the reputation of stock broker based on results of stepwise regression . 二、 Shenzhen: 1. Excess returns of IPOs does exit on the first trading day and the average excess returns is 145.481%; there is no excess return after the first trading day. 2. The short term excess returns are affect by the number of issued shares, debit ratio, estimated EPS, number of listed company in that month and the price of IPOs based on results of all variables regression and stepwise regression.
40
Tshehla, Makgopa Freddy. "An empirical study of the exchange rate volatility regime for carry trade investors." Thesis, 2014. http://hdl.handle.net/10500/14153.
Full textAbstract:
The main objective of the study was to determine the exchange rate volatility regime for carry trade profitability when using the South African Rand as the target currency.
The study used the Logistic Smooth Transition Regression (LSTR) model to test the uncovered interest rate parity (UIP). The Sharpe ratio and the risk adjusted forward premium were used as the transition variables. The transition variable is a function of the transition function, which is used to determine the regime for the UIP. The LSTR model is characterised by three regimes, i.e. the lower regime, the middle regime and the upper regime. The LSTR model was tested for the short-term forward rate maturity of less than one year.
The results show that the UIP hypothesis holds in the middle regime for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable. Meanwhile, the UIP hypothesis does not hold for the Rand/Yen when using the Sharpe ratio as the transition variable for the forward rate maturity of one month, and it does hold for other short-term forward rate maturity of less than one year. The results for the risk adjusted forward premium as the transition variable show that the UIP hypothesis does not hold for all three currencies at various short-term forward rate maturities of less than one year.
The research provides the following contributions to new knowledge:
(1) Uncovered interest parity hypothesis holds in the middle regime for all periods for the Rand/USD and the Rand/GBP when using the Sharpe ratio as the transition variable with a short-term forward rate maturity of less than one year.
(2) Currency carry trade profit taking for the Rand/USD and the Rand/GBP can be achieved in the upper regime.
(3) The results for the Rand/Yen are mixed, in that the UIP hypothesis does not hold for other crisis periods as a result of negative Sharpe ratios. However, for the calm periods, UIP hypothesis holds in the middle regime for the Rand/Yen for short-term forward rate maturity of more than one month but less than one year when using the Sharpe ratio as the transition variable.
The overall contribution of this study is that for the South African Rand as the target currency, the UIP hypothesis holds for the short-term horizon when using the Sharpe ratio as the transition variable and that this mostly depends more on currency than on horizon.
Contrary to other researchers who found that the UIP holds in the long-term maturity with higher Sharpe ratios in the upper regime, this study proved that the UIP holds in the short-term maturity horizon.Business Management
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Otto, Florian. "The effect of acquisition annoucements on stock returns of acquiring firms: a short and long term study for developed and emerging countries focusing on domestic and cross border acquisitions and the impact of institutional environment." Master's thesis, 2017. http://hdl.handle.net/10362/26976.
Full textAbstract:
This paper uses an empirical event-study approach to investigate the effect of acquisition
announcements on the share price of bidding firms. By using a globalised set of acquirers from
14 different markets, this work aims to develop an understanding of the impact of acquisition
announcements on developed- and emerging-market acquirers. The sample contains 624
acquisition announcements with target firms located throughout the world between 1997 and
2015. The results contradict the conventional wisdom that developed-market acquirers
generally experience losses. Both emerging-market and developed-market bidders gain
significantly in the short term. Moreover, for developed-market acquirers, the announcement
of cross-border acquisitions (CBAs) yields higher abnormal returns than the announcement of
domestic acquisitions. On the other hand, emerging-market bidders gain from announcing
domestic acquisitions, and lose substantially when publishing news about CBAs. In addition,
the institutional environment is found to have an impact on acquirer returns.
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Baguecho, Ana Sílvia Boutte Fagulha. "The impact of capital controls on firm value." Master's thesis, 2016. http://hdl.handle.net/10071/13474.
Full textAbstract:
JEL Classification: G14, G15This research studies the impacts of controls on capital outflows in stock returns, by analysing: the reaction of investors to the announcement of the imposition of the restrictions. The purpose of this dissertation was to investigate: - If the implementation of controls on capital outflows has a negative effect on firms´ stock prices? - If the imposition of controls on capital outflows has a different impact across industries? And how it affects differently firms´ in export oriented-sectors and the remaining sectors? The existence of potential differences in the impacts on stock prices: of the imposition of restrictions and a tightening of the capital controls already in place, was also examined. This dissertation intends to contribute for the knowledge of controls on capital outflows, through an analysis of the impact of their implementation in: Cyprus, Greece, Brazil and Argentina. Nonetheless, based on the results obtained it is not possible to draw a conclusion on the impacts of the imposition of restrictions to funds mobility in stock returns. The findings are not only inconsistent with the main hypothesis formulated, but also do not support the initial study expectation: that firms operating in sectors with a high export volume exporting would face smaller losses, in stock prices, than the remaining companies. Furthermore, it appears that the impacts of the imposition of controls on capital outflows differ among different industry groups; which also contradicts the results of previous research, on inflow controls, and leads to the rejection of the hypotheses established.
Este estudo debruça-se sobre o impacto dos controlos de capitais nos retornos das acções, analizando a reacção dos investidores ao anúncio da imposição destas restrições. O objectivo desta dissertação foi investigar: - Se a implementação de controlos à saída de capital possui um efeito negativo sob o preço das acções das empresas? - Se o efeito da imposição destas medidas difere entre indústrias? E a forma como varia entre empresas em sectores com uma maior orientação exportadora e as que operam nos restantes sectores de actividade. Também foi analisada a existência de possíveis diferenças, em termos do efeito sob a quotação de mercado das empresas, entre uma imposição de controlos de capitais e um reforço dessas mesmas limitações. Esta dissertação pretende contribuir para o conhecimento acerca dos controlos à saida de capital, através da análise do impacto da sua implementação: no Chipre, Grécia, Brasil e Argentina. Contudo, os resultados obtidos não permitem estabelecer conclusões relativas ao impacto da sua imposição, sob os retornos das acções. Os resultados não só são inconsistentes com a principal hipótese estudada, como também contradizem a expectativa detida inicialmente: de que empresas em sectores com uma maior orientação exportadora registariam perdas menores, na quotação das suas acções, do que as empresas a operar nos restantes sectores de actividade. Além disso, aparentemente os impactos da imposição de controlos à saída de capital diferem entre indústrias; o que também contradiz os resultados de estudos anteriores, relativos a restrições à entrada de fundos, e leva à rejeição das hipóteses estabelecidas.
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Höflinger, Daniel. "How does the takeover of a company in developed markets through a firm coming from emerging countries affect the share price of the acquirer in the short term in comparison to both inbound emerging markets as well as domestic takeovers and how does the impact of a diversification strategy differ from an industry focused strategy in terms of value creation for acquiring companies?" Master's thesis, 2016. http://hdl.handle.net/10400.14/26161.
Full textAbstract:
O objectivo desta tese é de examinar o impacto no preço das ações da empresa adquirente
causado pelo anúncio de aquisição de outra empresa, diferenciando entre transações
domésticas, de inbound e outbound de mercados emergentes assim como entre transações de
diversificação ou focadas numa indústria. Adicionalmente, fatores contextuais que impactam
os padrões de criação de valor observados no estudo podem ser determinados. Os resultados,
que foram obtidos através de uma amostra de 1,434 transações num periodo de tempo desde
Janeiro de 2000 até Janeiro de 2016 e considerando uma janela de acontecimento de 21dias de
trading (-10, +10) sobre o anúncio, sugerem que as trasações das empresas alvo e adquirentes
em mercados emergentes criam, em média, o maior valor com um CAAR de 2.41% em
comparação com M&A outbound e inbound com CAARs de 1.32% e 1.26% respetivamente.
Adicionalmente, aquisições de diversificação criam um maior valor para os acionistas do que
transações focadas numa indústria tanto para mercados desenvolvidos como emergentes.
Finalmente, os resultados da regressão OLS sugerem que existe uma correlação positiva entre
a criação de valor para os acionistas da empresa adquirente e a dimensão relativa da
transação, o estatuto legal privado da empresa-alvo assim como o método de pagamento
(dinheiro e ações). Por outro lado, a percentagem de controlo adquirida não foi comprovada
como significante.The aim of this thesis is to examine the value impact on acquiring companies’ share prices caused by takeover announcements, differentiating between domestic, inbound and outbound emerging markets transactions as well as between industry diversifying and industry focused M&A. Additionally contextual factors shall be determined that drive the value creation patterns observed in the event study. The results obtained for a total sample of 1,434 transactions in a time period from January 2000 until January 2016 and an event window of 21 trading days (-10,+10) around the announcement day suggest that transactions with target and acquiring companies coming from emerging markets on average create the highest value with a CAAR of 2.41% in comparison to outbound and inbound M&A with CAARs of 1.32% and 1.26% respectively. Additionally, industry diversifying takeovers are equally superior to focused transactions in terms of value creation for both developed and emerging markets acquiring companies engaged in outbound and inbound M&A respectively. Finally, OLSregression results suggest that there is a positive correlation between acquiring firms’ shareholder value creation and relative deal size, non-public legal status of the target company as well as a combined payment method (cash and stock), whereas for the percentage of ownership acquired no statistically significant results are obtained.
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Tessarolo, Valentina. "Brexit : changes in cross-market correlation throughout Europe." Master's thesis, 2019. http://hdl.handle.net/10400.14/29149.
Full textAbstract:
The aim of this study is to investigate the effects of Brexit on financial markets of Western Europe in the short and long term. To measure the strength of economic linkages between the UK and each of the 16 countries under consideration, cross-market correlation of returns and volatility was analysed before and after the Referendum. I found that in the short-term most stock markets experience negative returns and contagion effects following the Brexit announcement. However, these effects seem to disappear after two weeks and in the long run markets follow a detachment process. Considering potential country-specific variables affecting the scale and direction of those changes, it has been discovered that factors such as pre-Brexit interdependence, geography, trade and size significantly influence market reactions. Mediterranean countries experience consistently stronger market reactions. My results highlight the high degree of interdependence between the UK and most European countries and how Brexit has been changing pre-existing equilibria.O objetivo deste estudo é compreender os efeitos do Brexit nos mercados financeiros dos países da Europa ocidental, a curto e longo prazo. Para medir a força das ligações económicas entre o Reino Unido e os restantes 16 países em consideração, a correlação entre mercados em termos de retornos e volatilidade foi analisada antes e após o referendo. A maioria da amostra refletiu uma queda nos retornos, com um efeito de contágio a curto prazo. No entanto, estes efeitos tendem a desaparecer em duas semanas e, a longo prazo, os mercados seguem um processo de desapego. Considerando variáveis específicas de cada país, com potencial de afetação das escala e direção das variações observadas, relevou-se que em diferentes períodos, distintos fatores como interdependência pré-Brexit, geografia, comércio e tamanho do país, tiveram diferentes influências nas reações de mercado. Os países do Mediterrânio sentiram constantemente maior impacto. Concluindo, este estudo demonstra uma grande interdependência entre Inglaterra e maior parte dos países Europeus e como o Brexit está mudando os equilíbrios pré-existentes.