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When an event is anticipated, the firm's stock return around the announcement of the event may have an inconsistent sign: a positive sign around negative news, or vice versa. We attempt to quantify the frequency of this problem, first with a brief mathematical model and simulation, then with...
Persistent link: https://www.econbiz.de/10013088910
In this paper we use Heckman selection models to analyze the relation between the likelihood of the firm becoming a takeover target, the takeover premium, and the use of dual class shares. Ordinary Least Squares regressions suggest that the use of dual class shares is associated with higher...
Persistent link: https://www.econbiz.de/10014209712
This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older...
Persistent link: https://www.econbiz.de/10013242401
-economic network theories (e.g. entropy maximization, spatial interaction theory, etc.); (ii) the nature of the analytical relationship …
Persistent link: https://www.econbiz.de/10011734266
I study US-president’s Trump tweets on the US/China trade relationship and their impact stock valuations of companies with a high China exposure. This event study deploys data from the MSCI World with China Index and identifies potential out-/underperformance using cumulative abnormal returns...
Persistent link: https://www.econbiz.de/10013244312
Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a...
Persistent link: https://www.econbiz.de/10014257655
During the first eight months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis,...
Persistent link: https://www.econbiz.de/10011486441
the economic value of the majority interest. Both assumptions are based on Property Rights Theory and are fundamental to …
Persistent link: https://www.econbiz.de/10013058808
Turnaround companies are defined as those which after reporting accounting loss consecutively for two or more quarters announces profit for the first time. Between 2004 and 2009 by analyzing the data of 49 such turnaround companies, we document about 9% cumulative average abnormal return (CAAR)...
Persistent link: https://www.econbiz.de/10013148303
This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...
Persistent link: https://www.econbiz.de/10003814068