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Abnormal returns

Do insiders get abnormal returns? Event studies on the trades of insiders of the firms with differentiated corporate governance of the São Paulo stock exchange

Do insiders get abnormal returns? Event studies on the trades of insiders of the firms with differentiated corporate governance of the São Paulo stock exchange

... the abnormal returns in a window around the date of the event, or to test the null hypothesis that the expected value of the cumulative abnormal returns in the window of the event is equal the ...

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Detecting patterns of the spinoff decision of companies and accessing the determination of the abnormal returns

Detecting patterns of the spinoff decision of companies and accessing the determination of the abnormal returns

... The underlying sample for the investigation of the abnormal returns of the parent companies around the announcement date of the spinoff is represented by the earlier described dataset B. To determine the ...

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Fearful Asymmetry: An Analysis of Pre-earnings Abnormal Returns João Tiago Mira Duarte Amaro

Fearful Asymmetry: An Analysis of Pre-earnings Abnormal Returns João Tiago Mira Duarte Amaro

... the returns on a set of different strategies, which are based on the sign and magnitude of the pre-earnings announcement return for a group of US stocks and for some international markets which provides an ...

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MERGERS AND ACQUISITIONS IN THE BANKING SECTOR An Empirical Review of the Impact of Merger Announcement on Abnormal Returns

MERGERS AND ACQUISITIONS IN THE BANKING SECTOR An Empirical Review of the Impact of Merger Announcement on Abnormal Returns

... high abnormal returns both in the ...negative returns on average while small value creation was observed for the merged ...higher returns in USA while bidding banks show better performance in ...

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Investigating the effect among size, growth opportunity and cumulative abnormal returns of the companies

Investigating the effect among size, growth opportunity and cumulative abnormal returns of the companies

... more returns, the current research is sought to investigate the effect of company’s characteristics and the ratio of investment on company’s cumulative abnormal ...cumulative abnormal return include ...

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Reputation and stock abnormal returns

Reputation and stock abnormal returns

... expected returns as an inverse function of systematic risk, thus, since a greater reputation implies a decrease over the systematic risk exhibition, we expect to verify if shareholders who invest in highly ...

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To QE or Not to QE? The Japanese Experience

To QE or Not to QE? The Japanese Experience

... The abnormal returns for the Ukrainian CDS follow a different paradigm. The results indicate an initial credit risk fall in the (-11, -3), which is accompanied by the similar effect in the day of the ...

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The impact of ESG criteria on portfolio financial performance

The impact of ESG criteria on portfolio financial performance

... The increasing demand of investors for SRI, in the last 30 years, has stimulated the scientific community to study the impact of ESG criteria on investment financial performance. Theory suggests that if it was beneficial ...

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Analysis of the impact of Fies on the stock returns from the higher education sector

Analysis of the impact of Fies on the stock returns from the higher education sector

... no abnormal gains derived from the release of resources for ...stock returns before Monetary Policy Committee (Copom) announcements of an alteration in the interest ...

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Rev. Adm. (São Paulo)  vol.50 número2

Rev. Adm. (São Paulo) vol.50 número2

... of returns of assets that could, in turn, alter the performance of the ...positive abnormal returns, concluding that yes, managers of large Brazilian investment funds are skilled and can select ...

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Analysis of the impact of Fies on the stock returns from the higher education sector

Analysis of the impact of Fies on the stock returns from the higher education sector

... generates abnormal returns in a higher education stock portfolio and verify if the Brazilian higher education market is efficient in its semi-strong ...

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Initial underpricing and the Lisbon Euronext-listed companies

Initial underpricing and the Lisbon Euronext-listed companies

... high abnormal returns revealed by IPOs were one of the greatest challenges to market ...average returns on the first ...the abnormal returns found in the new ...

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The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies

The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies

... estimating abnormal returns: adjusted to the market and adjusted to the risk and ...capture abnormal returns (surpluses), telling us that the tag-along rights did not affect the pattern of ...

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Anticipatory effects in the FTSE 100 index revisions

Anticipatory effects in the FTSE 100 index revisions

... We next examine what happens with the cumulative abnormal returns if we control for the probability of changing the index membership status as in (2). We start with a brief discussion about the probit ...

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Do the words matter? An analysis of the linguistic sentiment of earnings conference calls and abnormal stock returns in brazilian companies

Do the words matter? An analysis of the linguistic sentiment of earnings conference calls and abnormal stock returns in brazilian companies

... Merkl-Davies and Brennan (2007) and Cho et al. (2010) investigated the sentiment of corporate reports as an aspect of the quality of disclosure. Both studies found high levels of optimism and uncertainty in the textual ...

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RAM, Rev. Adm. Mackenzie  vol.18 número2

RAM, Rev. Adm. Mackenzie vol.18 número2

... Heiberger (2015) studied the use of Google’s search query volume as an indicator of bad news for companies listed on Standard and Poor’s 100 index, which measures the performance of the 100 larger companies in terms of ...

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W ORKINGP APERS ISSN Nº 0874-4548

W ORKINGP APERS ISSN Nº 0874-4548

... industry abnormal returns for a sample of 670 ...cumulative abnormal stock returns for the industry portfolio from a market model for the (-1,+0) daily interval, where Day 0 is the disclosure ...

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Underreaction to open market share repurchases

Underreaction to open market share repurchases

... generates abnormal returns in the long ...and abnormal returns can be earned using this ...earn abnormal returns with publicly available ...obtained abnormal ...

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The intra-industry effects of going concern withdrawn audit reports

The intra-industry effects of going concern withdrawn audit reports

... Coelho (2008) explored how the US equity market reacts to bankruptcy announcements. He finds a strong negative mean post-bankruptcy announcement drift which fluctuates between -24% and -44% in the subsequent year to the ...

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Maria Rosa Borges Ana Sofia Branca

Maria Rosa Borges Ana Sofia Branca

... all abnormal values in the t-day or set of t-days under analysis, and then assigns the sign of each abnormal return to the respective ...positive abnormal returns tend to be in greater number ...

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