in Canada. The sample period is 1980-2009. Design/methodology/approach – The authors use three approaches. First, a … for Monday when returns are low (relying on the results of the full sample period). Issuers should time sales for non …-Mondays when returns are higher and yields are lower. Originality/value – This study is original in that it is the first one to …

returns. We survey 111 studies, published between 1978 and 2020, with a total of 439 estimates from event studies. Our key … finding is that the average abnormal returns calculated from this empirical literature are affected by a negative publication … followed by statistically significant negative abnormal returns, which suggests the existence of an informational effect …

returns. We survey 111 studies, published between 1978 and 2020, with a total of 439 estimates from event studies. Our key … finding is that the average abnormal returns calculated from this empirical literature are affected by a negative publication … followed by statistically significant negative abnormal returns, which suggests the existence of an informational effect …

second data were the stock market returns earned by the largest UK companies as listed by The Times 1,000. A series of … longitudinal data over a period of ten years. Findings – No direct relationship between share returns and disclosure was found … convincing relationship between consistently high(low) returns and the predilection to high(low) disclosure. There is no single …

simultaneously investigate the effects of heterogeneous information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns … that heterogeneous information (PSOS) is significantly and positively associated with REIT excess returns while information … asymmetry (ADJPIN) is insignificant when controlling for other variables well known for affecting REIT excess returns …

We examine the value-at-risk where the volatility and returns are modelled via a typical GARCH(1,1) model and the …