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S&P 500 index inclusion announcements: does the S&P committee tell us something new

Hrazdil, Karel - In: Managerial Finance 36 (2010) May, pp. 368-393

Purpose – The purpose of this paper is to directly examine the information hypothesis of S&P 500 index inclusion announcements by investigating the degree to which information beyond Standard & Poor's eight stated criteria enters the inclusion decision. Design/methodology/approach –...

Persistent link: https://www.econbiz.de/10009319832

Analysis of the effects of ESOP adoption on the company cost of capital

Ivanov, Stoyu I.; Zaima, Janis K. - In: Managerial Finance 37 (2011) February, pp. 173-188

Purpose – The purpose of this study is to examine whether employee stock ownership plans (ESOPs) add or destroy value from a new perspective by examining the relation of the adoption of ESOP and the company cost of capital. Design/methodology/approach – The capital asset pricing model is...

Persistent link: https://www.econbiz.de/10009275359

Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami

Liu, Hung-Chun; Hung, Jui-Cheng - In: Managerial Finance 36 (2010) October, pp. 860-875

Purpose – The purpose of this paper is to apply alternative GARCH-type models to daily volatility forecasting, and apply Value-at-Risk (VaR) to the Taiwanese stock index futures markets that suffered most from the global financial tsunami that occurred during 2008. Design/methodology/approach...

Persistent link: https://www.econbiz.de/10009275389

The price, liquidity and information asymmetry changes associated with new S&P 500 additions

Hrazdil, Karel - In: Managerial Finance 35 (2009), pp. 579-605

Purpose -Using S&P 500 additions, the purpose of this paper is to test the permanence of abnormal returns around the index inclusion announcement and effective implementation dates to differentiate among competing explanations for the index inclusion premia puzzle. Design/methodology/approach...

Persistent link: https://www.econbiz.de/10010814844

Connecting the dots: the accruals quality premium vs the value premium

Chichernea, Doina C.; Holder, Anthony D.; Jie (Diana) Wei - In: Managerial Finance 38 (2012), pp. 1106-1133

conditioning on up and down markets. Findings – Value (growth) stocks are more likely to be associated with high (low) accrual … quality. Value stocks earn higher returns mainly in down markets, while poor accrual quality firms have significantly higher … between accrual quality and the value premium, which only exhibits in the down markets (i.e. stocks with poor accrual quality …

Persistent link: https://www.econbiz.de/10010814847

IPO characteristics of index firms

Colak, Gonul - In: Managerial Finance 38 (2012), pp. 1134-1159

Purpose – The purpose of this paper is to investigate the initial public offerings (IPOs) of the firms that are eventually included in one of the S&P 400, the S&P 500, or the S&P 600 Indices. Do these firms have very different IPO features than the rest of the IPOs? Design/methodology/approach...

Persistent link: https://www.econbiz.de/10010814886

The choice between publicly issued and privately placed preferred stocks

Wang, Qian - In: Managerial Finance 38 (2012), pp. 689-701

public offering firms. The non Rule 144A market and rule 144A market for preferred stocks are significantly different …

Persistent link: https://www.econbiz.de/10010814905

Exchange ratio determination in a market equilibrium

Moretto, Enrico; Rossi, Stefano - In: Managerial Finance 34 (2008), pp. 262-270

applicable only to companies whose stocks are traded on a financial market. Empirical test of the exchange ratio formula (using …

Persistent link: https://www.econbiz.de/10010757356

Exchange ratio determination in a market equilibrium

Moretto, Enrico; Rossi, Stefano - In: Managerial Finance 34 (2008), pp. 262-270

applicable only to companies whose stocks are traded on a financial market. Empirical test of the exchange ratio formula (using …

Persistent link: https://www.econbiz.de/10010757780

Calendar anomalies in Russian stocks and bonds

Compton, William; Kunkel, Robert A.; Kuhlemeyer, Gregory - In: Managerial Finance 39 (2013), pp. 1138-1154

Purpose - The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the...

Persistent link: https://www.econbiz.de/10010709763