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Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets
Zaremba, Adam - 2014
No, it is not. Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, we investigate the long-run post-IPO performance and its sources in the Central and Eastern European (CEE) markets. We examine over 1100 stocks from 11 CEE countries for the period 2002-2014....
Persistent link: https://www.econbiz.de/10013048355
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463
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Stock market reactions to Brexit : case of selected CEE and SEE stock markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14
volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …
Persistent link: https://www.econbiz.de/10011964063
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Extreme returns and idiosyncratic risks : evidence from an emerging market
Cho, Eunyoung - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 29-48
In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...
Persistent link: https://www.econbiz.de/10012592789
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What Matters Most? How Tone in Initial Public Offering Filings and Pre-IPO News Influences Stock Market Returns
Feuerriegel, Stefan - 2014
Before shares of a company are sold to the general public on a security exchange for the first time, regulatory publication requirements force U.S. firms to file an initial public offering prospectus. While accounting information in IPO filings are closely studied by investors and analysts,...
Persistent link: https://www.econbiz.de/10013046950
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From the Stars to the Stock Market : Calendar Superstition and IPO Returns
Chen, Xiaoqi; Zhao, Jing - 2023
The ancient Chinese Almanac lists days that are (in)auspicious for certain actions or events. We find that the initial returns for Initial Public Offerings (IPO), an essential corporate event, are significantly lower on days listed by the Almanac as unlucky. The effect of calendar superstition...
Persistent link: https://www.econbiz.de/10014351014
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …
Persistent link: https://www.econbiz.de/10012131511
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Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets
Chabot, Benjamin Remy - 2014
We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our...
Persistent link: https://www.econbiz.de/10013070475
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Measuring the effect of the North Korea-U.S. summit on the South Korean stock market
Huy Pham; Al-Hares, Osama M.; Ramiah, Vikash; Moosa, Nisreen - In: Cogent economics & finance 7 (2019) 1, pp. 1-22
We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...
Persistent link: https://www.econbiz.de/10014232764
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Price Limits and Volatility : A New Approach and Some New Empirical Evidence from the Tokyo Stock Exchange
Nobanee, Haitham - 2017
occurrences are associated with high volatility and low limit hit occurrences are associated with low volatility …
Persistent link: https://www.econbiz.de/10012976789