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The number of studies on the marketing–finance interface has escalated in response to increased interest in the value of marketing investments, such as sports sponsorship. This study integrates current research findings and establishes empirical generalizations on how sports sponsorship announcements impact firm value. The empirical literature finds contradicting results on the value shareholders place on these marketing investments. This paper addresses this issue by undertaking a meta-analysis on stock reactions to sport sponsorship announcements, using 3192 of these announcements taken from 36 studies (41 samples). On aggregate, these announcements drew the attention of shareholders since there was a positive and significant cumulative abnormal return (CAR). However, this positive effect was mostly observed in the 1990s and became negative in the 2000s. Overall, shareholders viewed sports sponsorship investments favorably when there was a functional and geographical congruence between sponsors and sponsees. This paper also shows that the differences in the CAR can be explained by controlling for confounding events and host country. The paper concludes by providing potential avenues for further research in sports sponsorship, using the event study method.

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high for stocks with higher search intensity and low for stocks with lower search intensity. Further, the study observes that, when the SAI is high, the excess returns are high for stocks with a high value, high volatility, and high sensitivity. Interestingly, the study documents that in the Indian market investor attention is irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess return of stocks as well as the market, size, value, and momentum factors.

This paper investigates abnormal standardized returns (ASRs) after major corporate events. Dutta, Knif, Kolari, and Pynnonen (2018) have shown that the ASR t-test has superior size and power compared to traditional test statistics. Based on this new test statistic compared to traditional test methods, we re-examine long-run abnormal returns after mergers and acquisitions, initial public offerings, seasoned equity offerings, dividend initiations, stock repurchases, stock splits, and reverse stock splits. While some recent studies report disappearing long-run event effects over time, our ASR tests in different subperiods from 1980 to 2015 detect significant long-run abnormal returns after these corporate actions. Graphical analyses of ASRs further support our statistical test results. We conclude that long-run abnormal returns persist after major corporate events.

This paper provides first evidence of negative peer disclosure (NPD), an emerging corporate strategy to publicize adverse news of industry peers on social media. Consistent with NPDs being implicit positive self-disclosures, disclosing firms experience a two-day abnormal return of 1.6–1.7% over the market and industry. Further exploring the benefits and costs of such disclosures, we find that NPD propensity increases with the degree of product market rivalry and technology proximity and disclosing firms outperform nondisclosing peers in the product markets in the year following NPDs. These results rationalize peer disclosure and extend the scope of the literature beyond self-disclosure.

Leveraging from the recent short sales deregulation in China, we examine whether analyst optimism bias increases or decreases in the presence of short sales. We use a novel approach of conducting a textual analysis of research reports to quantify analysts’ negative tone on their covered stocks to proxy for their negative information production and disclosure both pre- and post-short sales deregulation. Using a difference-in-differences approach, our findings suggest that, after short sales deregulation, analysts engage in more negative information production and disclosure as revealed by a more negative tone in their analyst reports. The findings are robust to a battery of checks. Additional analysis suggests that when a covered firm obtains future financing or has high institutional ownership, the extent of negative analyst tone in research reports weakens, indicating that analyst conflicts of interest continue to affect analyst research optimism. Finally, we document that negative information production and disclosure by analysts mediates the impact of short sales deregulation on stock price idiosyncratic volatility and cumulative abnormal return, which suggests the important role of analysts in capital market efficiency.

We study the post-earnings announcement drift (PEAD) anomaly and its determinants in Borsa Istanbul using quarterly earnings announcements and three different surprise measures. We find evidence supportive of the existence of PEAD in the Turkish stock market. Sorting stocks each quarter into three quantiles according to an earnings surprise measure based on past earnings, we find both statistically and economically significant difference of 2.9% in average cumulative abnormal return between high earnings surprise firms and low earnings surprise firms in the 60 days following the announcement. The hedge returns obtained using analyst forecast based surprise measure as well earnings announcement return based surprise measure are also significant at 2.9% and 2.2% respectively. The positive relation between post-announcement abnormal returns and the surprise in earnings remain significant after controlling for an extensive list of explanatory variables. Among these explanatory variables, we find that firm size has a negative impact on the magnitude of this positive association between surprise and subsequent equity returns. Finally, using two separate approaches we show that multifactor models fail to explain the return differentials following earnings announcements.

We examine whether and how the market interacts with investor sentiment in the context of seasoned equity offerings (SEOs) by Chinese listed firms. We adopt the component of market index return, which cannot be explained by fundamental macro-economic factors as a proxy for the market-wide investor sentiment, and overnight stock returns proxying for the firm-specific sentiment. We find robust evidence that investor sentiment drives the pre-announcement abnormal return. In the post-announcement period, the market corrects the sentiment-driven overvaluation within about one month. These findings reinforce the view that market timers take advantage of investor sentiment to issue seasoned shares.

With increasing health consciousness around calorie intake, we assess the influence of calorie labeling law on the stock market performance of publicly-traded fast-food chains. Using the Food and Drug Administration’s (FDA’s) final calorie labeling guidelines released on May 5, 2016, as the main event, we assess the cumulative abnormal return (CAR) of fast-food chains. Prior studies have focused on consumer behavior changes following the regulation; yet, the aggregate effects of the law on the financial outcomes remain unexplored. Our findings suggest that the regulation may not have had a significantly negative financial impact on publicly traded firms in the retail food industry. We found that publicly traded firms in the retail food industry with higher sales volatility in the past experienced a negative CAR while firms with high historic sales volatility accompanied by high levels of investment responsiveness – signaling of responsiveness to such laws – had a positive CAR.

New Food Safety and Modernization Act rules require that food producers implement and validate processes that sufficiently reduce the risk of known hazards, such as those posed by microbial pathogens. Investments in food safety technology choices are ultimately business decisions, and current decision-making methods make it difficult to quantify financial value associated with food safety risk reduction. Predicted financial loss is a tangible way to quantify how a recall might affect the manufacturer. The hypothesis of this study was that class I recalls of low-moisture foods due to the presence of microbial pathogens have a significant negative economic impact on the affected manufacturers, which can be quantified in terms of loss in market capitalization. Financial impacts of the recalls were analyzed over a 10-year period by computing the cumulative abnormal return (CAR) in stock values over a recall event period for 22 low-moisture foods made by publicly held companies. Abnormal returns were aggregated over an event window (0 to 20 days) to compute the CAR, which was multiplied by prerecall market capitalization to compute monetary losses due to the recall event. The CARs for a 20-day postrecall period were -26.5 to 8.4%, with a mean of -5.1%. These CARs translated to a median loss in corporate value due to a recall of $243 million for the recall events analyzed in this study. If implementation of a food safety technology could reduce risk of a recall by fivefold, the mean annual economic benefit would be >$2 million in reduced risk for companies such as those included in the study. Such analyses can positively impact business decisions to invest in food safety technologies. HIGHLIGHTS

Using a list of companies that changed their names to add “blockchain” or “bitcoin” to their names, we find that after changing the names, these firms have a significant abnormal positive return that lasts for 2 months. The abnormal return turns negative 5 months after the change. This suggests that these firms changed their names to take advantage of the hysteria surrounding the price rise of bitcoin.

This study defines the aggregate analyst recommendation for a country as the value-weighted average of all outstanding recommendations for shares of firms incorporated in that country. We show that country-level analyst recommendations predict international stock market returns. A trading strategy based on country-level recommendations yields an abnormal return of around 1% per month. Aggregate recommendations also help to predict changes in gross domestic product and aggregate earnings surprises. Overall, we find that country-level analyst recommendations provide useful information to predict future aggregate cash flows and associated market returns across different countries.

Technological development and digitalization plays a crucial role in financial sector by allowing firms to create value in a rapidly changing environment. The acquisitions of firms related to financial technologies are one of the ways to obtain vital knowledge. In order to identify the fintech companies we are looking at firms that are involved in business activities in both the IT and financial sectors. By examining the growing role of fintech firms in the recent mergers and acquisitions from an investor point of view, this paper contributes to the existing literature by investigating the post-acquisition performance of the acquirer firms measured by abnormal returns. We discovered significant positive average abnormal return after acquisition of fintech companies in the short-term and negative average abnormal return in the long-term using event study methodology. The specifics of cross-border acquisitions, the level of the domestic market development of the acquirer, and other characteristics of M&A deals are considered in order to explain the reaction of investors to announcements of fintech firms’ acquisitions. The determinants of corresponding M&A deals in emerging and developed markets were revealed.

The enforcement of insider trading law, as well as its effect, has been a quandary in securities law. The main reason for this perplexity comes from the fact that there is no tally of how many illegal trading activities are actually taking place. The exchange of information that incites insider trading is secretive or disguised, and the purported victim has no sense of being harmed or defrauded. If unreported, the crime may go uninvestigated. So, despite the highly publicized insider trading cases that are hailed in newspapers or the victories won in court, it is unclear how many other activities go undetected and how solid the acclaimed victory truly is. This study proposes and applies a method for testing the effectiveness of a law against insider trading through an event study. We use pre-announcement price run-up as a proxy for measuring the effectiveness of Taiwanese insider trading law. After examining mergers and acquisitions data from Taiwan’s Financial Supervisory Commission from 2003 to 2016 and adjusting for market effect, we arrive at an average cumulative abnormal return of 6.62% before the official announcement of the events, which constitutes a 58.8% run-up compared with the post-announcement price increase. This investigation is important because it is the first to suggest an objectively empirical observation that approximates the overall size of illegal insider trading activities in a market. More importantly, this method could serve as a sensitive tool for measuring temporal changes brought about by different legal arrangements within a single country or for measuring comparatively across different legal regimes.

The use of textual information contained in company filings with the Securities Exchange Commission (SEC), including annual reports on Form 10-K, quarterly reports on Form 10-Q, and current reports on Form 8-K, has gained the increased attention of finance and accounting researchers. In this paper we use a set of machine learning methods to predict the market response to changes in a firm's auditor as reported in public filings. We vectorize the text of 8-K filings to test whether the resulting feature matrix can explain the sign of the market response to the filing. Specifically, using classification algorithms and a sample consisting of the Item 4.01 text of 8-K documents, which provides information on changes in auditors of companies that are registered with the SEC, we predict the sign of the cumulative abnormal return (CAR) around 8-K filing dates. We report the correct classification performance and time efficiency of the classification algorithms. Our results show some improvement over the naive classification method.

We use portfolio time-series regression event-study methodology to examine the impact of government commitment to combating climate change on firm value. The Ceres/CookESG climate risk measure based on textual analysis of 10-K disclosures provides a useful summary measure of firm-specific climate risk We use this climate risk measure to form “climate risk hedge portfolios”: portfolios that take a long position in firms with a high exposure to climate risk and a short position in firms with low exposure to climate risk. For US firms, there is a significant −0.5% abnormal return for our hedge portfolio around signing of the Paris agreement, a significant 1% abnormal return around the election of President Trump and a further positive abnormal return of around 4% in the six months following his inauguration. We also find that non-US polluters were disadvantaged by the actual policies of the Trump government and that Californian state-level regulation acted as an effective substitute for federal level regulations.

We develop a novel measure for the probability of informed trading. This measure, termed PCM, captures the adverse selection component of bid-ask spreads, becomes elevated around earnings announcements, and exhibits similar time-series patterns to price impact. Returns in double-sorted portfolios increase in PCM while controlling for liquidity. A long-short portfolio based on PCM generates 18.3% abnormal return annually. PCM significantly explains cross-sectional returns while controlling for other factors. This effect is robust to alternative specifications and remains significant after the decimalization in 2001. In sum, PCM is easy to implement and serves as an effective proxy for informed trading.

We investigate the long-run stock return performance of European cross-border merger and acquisition (M&A) bidders for the period 2002–2012. Our analysis shows that, though acquirers underperform their matched control firms over the thirty-six months following deal completion, this underperformance is not ascribed to the acquisition event, but rather explained by differences between acquirers and control firms in seven firm characteristics. Results are obtained by applying the augmented buy-and-hold abnormal return (BHAR) method. We enhance the robustness of our results by introducing the propensity score methodology to the analysis in addition to matching based on size and book-to-market equity.

We investigate investors’ overreaction and underreaction and their implications to asset pricing in China stock market. The study first picks anomaly variables representing investors’ overreaction and underreaction and then measures these two effects quantitatively. Both of them deliver significant excess returns, both statistically and economically, in China stock market. We then equip these two effects with the market and the size factor to construct a composite four-factor model and study how they price other assets. Extensive empirical analysis shows that this new model is suitable for China stock market. The maximum annual Sharpe ratio spanned by the four factors is 2.02, which is one time higher than those spanned by similar models such as Stambaugh and Yuan (2017) and Daniel, Hirshleifer and Sun (2020). In addition, using 149 anomaly candidates as test assets, the composite four-factor model exhibit good pricing capability, as there is only one test asset whose abnormal return given the model exceeds the 3.0 t-statistic threshold.

Using trading information from both over-the-counter (OTC) markets and public exchanges of a comprehensive sample of relisted Chapter 11 firms in the past four decades, we find that newly issued equity from these firms outperforms industry- and characteristics-matched portfolios by 40--50% during the 200 trading days post emergence on average, but the median abnormal return is close to zero. The superior returns are almost exclusive to firms traded in the OTC markets. The equal-weighted calendar time portfolio generates 7.2% annualized excess returns over a five-factor benchmark, but the outperformance disappears in the recent decade. The post-emergence earnings announcement returns are positive only in the 2000s, when institutional ownership of post-reorganization equity increased significantly during the same time. The evidence suggests that the outperformance of post-reorg equity documented in earlier studies is likely due to market expectation errors for future earnings, which are corrected in recent periods by sophisticated institutional investors.

We find a channel through which debt holders can affect corporate transactions. We show that dual holders (equity holders who also have the firm's debt in their portfolio) are sensitive to a decline in debt value in a leveraged buyout and decrease the likelihood of LBOs. We show that the stock premium in LBO events is higher for a firm with dual holders due to their loss on their debt.

The structure of a special purpose acquisition company (SPAC) provides a special role for its sponsors. We show that while few characteristics can explain SPACs' returns, sponsors' connections and network, measured by their centrality, explain a large portion of return variation in the cross-section. A one standard deviation increase in sponsors' network centrality leads to a 3.7% higher merger and acquisition success probability and a 2.1% higher post-merger monthly abnormal return. We attribute this outperformance of firms with high network centrality to superior deal sourcing and fundraising abilities. Overall, we show that the network connections of the SPAC management teams can add value to SPACs' deals despite the general underperformance of SPACs after business combinations.

We document that hedge funds nurture mispricing in the Chinese financial market. We exploit the relationship between hedge fund holdings and the degree of mispricing in case that hedge fund holdings of stocks are mainly for arbitrage purpose but not for hedging, and that with and without short-selling restrictions. Hedge funds intentionally hold overvalued stocks. Their trades, which generate an abnormal return to 1.78% per month, also impede the dissipation of stock mispricing. Further, we find trend chasing may be the reason why hedge funds prefer to hold overvalued stocks. This research sheds new lights on the information content and potential investment value of hedge funds holdings in emerging markets.

This paper proposes a new artificial intelligence-based framework for aggregating the opinions of sell-side equity analysts. Our key conjecture is that analyst-level individual errors are more predictable and can be corrected more effectively than the aggregate consensus forecast. Artificial neural network models are able to learn the individual-level biases of sell-side equity analysts and can compensate for their biases more effectively. Using the bias-corrected consensus earnings forecasts and a neural network-based aggregation method, we find that the accuracy of the consensus forecast improves by 24% relative to a benchmark linear model. The neural network-based model can predict the correct sign for the earnings surprise 68% of the time. A portfolio strategy that uses the improved consensus forecasts earns a monthly abnormal return of 0.50% on a risk-adjusted basis.

This study aims to analyze the impact of Brexit on In Light Of the COVID- 19 Crisis on the returns of the sectoral indices of the United Kingdom Stock Exchange. For this purpose, total of (30) sectoral indicators were included in the study.The study data consists of the daily closing prices of 30 indicators for the United Kingdom market sectors, from the beginning of the Brexit time 02/01/2019 to 02/01/2021. Results provide Regarding abnormal returns, the significance of variation among (ARs) is shown between Pre-Brexit and Post-Brexit for abnormal returns. Also, a robustness check using cumulative abnormal returns (CARs) supports this result. And accordingly, there are differences between the returns of the UK market sectors indices before and after Brexit. this is in favor of abnormal returns and abnormal cumulative returns for sectoral indices pre-Brexit.results provide that indicators of market sectors have reacted to Coronavirus spread, the results indicate that the sectors' normal returns appear to be more sensitive to new Coronavirus Deaths (RCCD) than New Coronavirus Cases (RNCC),the sectors that reacted negatively (24) sectors, the sectors that interacted positively (6) sectors, according to comparing the averages of abnormal return before and after Brexit during the study period.

Little is known about the price impact and timing of actual share repurchases. Data unavailability has hindered research in most countries, including the United States. Using unique data on actual share repurchase transactions from Norway, we test for the price impact and timing of daily open market repurchases. We find evidence that share repurchases typically follow after a negative drift in the stock price, and the average three-day abnormal return around the announcement is 0.54%. Moreover, the initial market reaction is greater for repurchases that are pursued by small firms and for firms that experience a negative drift in the stock price prior to the transaction. The evidence presented is seemingly indicative of managers’ intent to signal undervaluation through repurchase transactions. However, we do not find any significant long-term abnormal returns for repurchasing firms. This result suggests that on average, managers do not time the market based on informational advantage.

Economic theory predicts that, in the absence of mispricing, investing in socially responsible businesses should have lower expected returns in equilibrium. In contrast, in an influential paper, Edmans (2011) shows that a portfolio of the “100 Best Companies to Work For in America” (BCs) earns a positive and significant Carhart four-factor alpha. More than one decade later, we ask whether this result (a) holds out-of-sample, (b) is driven by exposure to newly discovered factors and characteristics, and (c) depends on the state of the economy. We find that up to 22% of the documented BC portfolio’s Carhart alpha could be attributed to exposures to more recently discovered factors such as investment, profitability, and quality. Nevertheless, using the state-of-art factor models and a sample from the period 1984 to 2020, an equal-weighted BC portfolio earns an abnormal return of 2% to 2.7% per year. The abnormal returns are not driven by firm characteristics, industry composition, or micro-cap stocks. The estimated alphas are positive in almost all periods within our sample (with no upward or downward trend) and are particularly large in “bad” times such as in the crisis periods of 2000-2002 and 2008-2009. Overall, our results suggest that the stock market still undervalues employee satisfaction, which seems to have the greatest value in “bad” times. We conclude with proposing potential reasons behind the (surprising) persistent outperformance of BCs.

Impact investing is based on using the ESG framework as a tool to evaluate firms that engage in generating positive impact. Most impact investors and fund managers now integrate the ESG framework in their investment and stock-picking process. However, due to lack of standardisation of ESG reporting, it remains a challenge for investors and the public to identify the truly sustainable companies. We propose an additional measure of tax avoidance to identify firms that are socially responsible. When firms indulge in excessive tax avoidance behaviour, it may be viewed as unethical or socially irresponsible. We integrate the empirical association between corporate social responsibility (CSR) and tax avoidance into an investment strategy based on impact. We adopt an investment strategy based on firm‐level ESG ratings and tax avoidance practices. In a ‘pure’ impact investment strategy based on ESG and tax avoidance, we find that investing in high‐ESG rated firms and low tax avoidance firms yield a buy and hold abnormal return of 2.6% per annum and 14.3% in a three-year investment horizon. Next, if impact investors were to combine traditional investment strategies based on risk with impact measures, we find that portfolios of high‐ESG and high price‐to‐book‐ratio firms earn a buy and hold abnormal return of 25.5%, while a portfolio of low tax avoidance and high price-to-book portfolios earn 33.1% in the long run. Collectively, our results suggest that whilst impact investing do provide investors a return, it does not necessarily outperform traditional investment strategies. Our results are robust to other risk factors and the sector of the firm. Keywords: impact investing; corporate social responsibility; tax avoidance; abnormal returns JEL Codes: G11, G15, G30

I use intraday prices to explore the time-varying characteristic of the systematic risk around unscheduled firm-level news writing about secondary equity offering (SEO) programs. I show that, around this information flow, the beta drops by a statistically significant and economically important amount. Firm-level news about an SEO program leads to a sharp decrease in the company's systematic risk of 33.4% on the day that the news is reported. These results are consistent with investors' rationality and managers' signals about company valuation. That is, investors sell overvalued firms in favour of more fairly valued companies. Further, the results show that the sentiment of news does not explain the change in the systematic risk. So, investors should closely monitor news taxonomy to understand their risk exposure around information flow. Finally, I show that, through the systematic risk variation documented in this paper, it is possible to explain more than 50% of the negative abnormal return observed on the SEO announcement date.

The study focuses on the impact of COVID-19 on stock market in Asian region highlighting the impact on stock returns of 15 Asian stock markets while observing the relationship between confirmed COVID-19 cases and stock return. In this regard, daily closing price indices during the period of 1st January 2019 and 30th June 2020 were collected. The impact of COVID-19 on stock returns were analysed using Event Study method by comparing the calculated abnormal return before and after the event day (20th of January, 2020) under two evet windows such as (0,10) and (10, 20). Apart from that, OLS based panel regression analysis was carried out to observe the impact of the number of COVID-19 confirmed cases on stock return in selected stock markets. The empirical analysis reveals that abnormal returns after the event day were negative and therefore it is apparent that the COVID-19 outbreak has drastically affected the stock returns of selected stock markets of the Asian region. Specifically, two event windows indicates that COVID-19 has an immediate negative impact on all selected stock markets while long term negative impact has limited to emerging and frontier markets. Moreover, it is observed that COVID-19 confirmed cases negatively affect the stock return of all selected stock markets in Asian region. Hence, the current study recommends the importance of recovering from the pandemic and sustaining appropriate environment for the development and smooth running of stock markets.

While operating side-by-side with conventional banks, the systemic risk profile of Islamic banks could be different due to their unique business model. Using a sample of ten countries with dual-banking systems, where the Islamic banking sector is considered systemically important, this paper evaluates the systemic risk and identifies the determinants of systemic importance (measured using spillover indices) of financial institutions. The objective is to understand whether there are any differences in the systemic risk profiles of conventional and Islamic banks during the COVID-19 pandemic. The results indicate a significant increase in systemic risk in the sample countries during the first half, followed by a recovery in the second half, of 2020. Comparative analysis shows that Islamic banks, while earning abnormal returns, pose significantly less spillover to others relative to conventional banks. During the COVID-19 pandemic, there is an overall increase in spillovers, the magnitude of the effect of systematic risk increased, and higher abnormal return performance shows a negative association with spillover. Furthermore, we find that sensitivity to oil prices is a systemic risk factor for financial institutions, especially for Islamic banks. The results are robust to alternate estimation techniques. The findings of this study provide valuable insights for regulators of dual-banking systems.

Prior literature on security class-action lawsuits generally treats the lawsuit filing day as the day when the event become public, in terms of evaluating event-study returns and informed shorting activity. However, in the days prior to the lawsuit filing, our investigation reveals that there are public announcements of law-firm investigations into more than half of the sued firms. Over our 2009-2019 sample, accounting for these pre-filing investigation announcements weakens prior evidence that suggested short-selling investors tend to anticipate the lawsuit filing from private information or inference from related industry litigation. Strikingly, the average cumulative abnormal return over the 5-day pre-event filing window is about -6.5% for our full sample (similar to prior studies) but it is only about -2.2% when excluding the lawsuits with a recent pre-filing investigation announcement. Regarding responses to the public news releases, we find that: (1) the coincident abnormal short selling and negative abnormal returns are much larger for the higher quality lawsuits, and (2) the abnormal shorting coincident with the initial public news about the lawsuit is reliably negatively related to the post-news abnormal return. Thus, in addition to weakening an anticipatory shorting view, our evidence provides considerable support to conclusions in Engelberg, Reed, and Ringenberg (2012) - - that short sellers are skilled at analyzing publicly available information.

We report the Israeli firms’ market value reaction to announcements on initiating Cannabis-related activity. Using Event Study analysis, we find a significant positive effect of the announcements: a cumulative average abnormal return of 64% in three days. Similar stock price reactions are observed for most firms individually, though some of these firms’ activity in Cannabis has been declarative only without any related business action.

In this study, we used regression discontinuity and difference-in-differences methods to verify whether price effects exist in the China Securities Index (CSI 300). Results suggest that the stocks included in this index had an extra abnormal rate of return of approximately 15% compared with the control group. Furthermore, the excluded stocks had a negative abnormal return of approximately 10% before the exclusion announcement, which reversed after the announcement. However, the price effects of the excluded stocks were not significant. Overall, the results indicate that price effects in the CSI 300 are asymmetrical.

We conduct a country-level analysis with a sample of 44 countries to examine whether generalised social trust has an impact on the stock market reaction to government announcements of lockdown and reopening during the COVID-19 pandemic. We first conduct an event study to measure the global stock markets’ reaction to government announcements of lockdown and reopening, which is measured by each stock market's cumulative abnormal return. We then employ regression analysis to investigate the relationship between generalised social trust and the stock markets’ reaction to government announcements of lockdown and reopening. The results show that government announcement of lockdown had a significant negative influence on most of the stock markets, whereas the magnitude of the stock markets’ reaction to government announcement of reopening is relatively marginal, indicating a possible negative bias. Moreover, we find that generalised social trust is positively related to the stock markets’ reaction to government announcement of lockdown and negatively related to the stock markets’ reaction to government announcement of reopening.

We examine how CEO overconfidence impacts profitability and stock return for firms at different stages in their life cycle. Extant research has shown that an overconfident personality could affect the CEO's decision-making on investment, financial reporting, and the firm's choice of policies. It is well known that firms have lifecycle stages as they evolve with time. The firm's evolution is triggered by changes in internal factors like an investment and managerial decisions and external factors such as the evolution of industry and economy. Prior literature posits that life cycle stages have an impact on firms' decision making and profitability. We find that firms with overconfident CEOs perform differently and have abnormal returns depending on the firm's life cycle. Especially they perform better and have positive abnormal returns in growth, mature and shake-out stages if the CEOs are overconfident. We find no significant result for firms in the introduction and decline phases.

This essay examines several metrics of Securities and Exchange Commission (SEC) decisionmaking that may be updated on a regular basis over time using publicly available data to give a picture of how SEC decisionmaking changes over time. I focus on SEC actions against public companies and subsidiaries of public companies and use data from the 2005 to 2018 period. The metrics include: the number of SEC actions per year and per month, the ratio of SEC actions to securities class actions by year, the mean abnormal return from an event study of the first public announcement of the problem that led to the eventual SEC enforcement action by year, the fraction of SEC actions with prior disclosure of the underlying violation by year, and the variability of the market response to the initiation of a SEC action by year. The metrics cannot demonstrate with certainty what motivates internal SEC enforcement decisions but may raise questions that guide future research.

We examine the influence of mobility on the stock market reaction around earnings announcements during the COVID-19 pandemic. The pandemic has led to abrupt implementation of stay-at-home mandatory restrictions and social distancing requirements all around the world, resulting in the collapse of face-to-face interactions on a large scale. Using Google’s Community Mobility Reports to obtain daily, county-level mobility of U.S. residents, we find that firms located in counties with higher mobility experience stronger immediate price responses during earnings announcements and weaker post-announcement drift, suggesting that COVID-19 restrictions dampen price discovery in financial markets. We also show that investor attention is a potential mechanism by which mobility affects the market reaction. Together, our study finds empirical support for the importance of face-to-face interactions in facilitating stock market information.

We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our analysis of this particular group of German stocks, we can make clear predictions regarding ex-date prices and analyze the number of stocks traded around ex-dates, doing so without the systematic bias of cum-ex trades over time. For XETRA, our empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant relationship between a stock’s price-drop ratio and dividend yield. Further, the empirical analysis suggests that there is no significant correlation between an abnormal number of a stock being traded and its dividend yield. These results are most consistent with tax-motivated reasoning. However, our volume analysis reveals no consistency regarding the abnormal number of stocks traded for multilateral trading facilities.

Most of the countries in the world are highly dependent on China for components and raw materials. Due to this over dependence the outbreak Coronavirus in China (on 13th January 2020) may have serious reverberation not just to the world economy but also to the Stock markets around the globe including that of in India. This research paper is trying to analyze the impact of Coronavirus on Indian Stock market. This study is using Event Study Methodology to analyze the stock market reaction by taking one of the major indexes of NSE i.e. Nifty 50. The study period was from 2nd January 2020 to 22nd January 2020.The outbreak of the event took place on 13th January 2020.The result is being observed from the comparison of both pre (-7 days) and post-event window (+ 7 days).Index values were observed and abnormal returns were calculated for the study period and the impact was evaluated. It was found that there is significant impact of Coronavirus on the stock market in India. The study also found that this short period downfall in the stock prices can be due to some other factors.

We study the effect of head of states' health on markets. We collect data on unexpected exits from office to determine whether these exits affect stock market returns across countries between 1923 and 2015. Health problems precede almost all unexpected exits. Unexpected exits lead to about 1% abnormal return, due mainly to extreme positive jumps following exits of autocrats and non-college leaders. To identify citizens' awareness of a leader's health problems, we collect data on rumors about health issues emerging prior to the leader's exit. The start of rumors generates about 1% negative abnormal returns. The health of leaders matters.

In this study, we examine the effect of name change on mergers and acquisitions (M&As) among S&P 500 companies from 1979 to 2017. We find a significant name change effect on the S&P 500 index change announcement, although information about the name change was public at the time of the M&A announcement. The annualized short-term abnormal return for the name change within a week is about 60%, and the 1-year buy and hold abnormal return for the name change is about 10%. We further estimate that the impact of price pressure on index trading is 0.34%.

National culture has been shown to impact the way investors, firm managers, and markets in their entirety respond to different situations and events. The psychology literature, however, notes that in terms of crisis, old behaviors and norms can get replaced by new norms as groups adjust to the new situation. To date, no one has looked at the impact of culture on market responses to disasters. This paper is the first to address the effect of national culture on stock market responses to a global health disaster. We find larger declines and greater volatilities for stock markets in countries with higher uncertainty avoidance, lower individualism, and greater experience with disease-causing pathogens during the first three weeks after the confirmation of the first COVID-19 case within a country. Our results are robust after controlling for a number of variables, including investor fear, cumulative infected cases, the stringency of government response policies, the 2003 SARS experience, the level of democracy, political corruption, and trade openness.

Using the exogenous shock of the COVID-19 pandemic, we study how informed market participants evaluate fiscal space. Short-selling activity shifted upon the onset of the pandemic towards companies with low financial flexibility only in countries with limited fiscal space. Among these companies, short sellers targeted especially those that generate their revenue mainly in the domestic market. These short sellers entered their positions before the market crash, generating thereby a significant abnormal return. These findings support the notion that short sellers bet on the inability of governments with budgetary constraints to provide sufficient stimulus to their economy in times of crises.

This paper investigates the stock market reaction to a change in investor mood following the Eurovision Song Contest—an annual international song competition and one of the most-watched non-sporting events globally. Contrary to existing literature on international competitions, we find a positive swing in investor sentiment in the winning country. This elevated atmosphere is reflected in a positive abnormal return of approximately 0.55% on the first trading day after the victory. This positive return is reversed several days later. Further, we do not find any indication of negative sentiment in other participating countries, specifically in countries perceived as the losers of the contest. Finally, we do not find any indication that the positive market reaction reflects economic benefits stemming from a victory. Overall, we conjecture that a competition structure is an important determinant of investor sentiment in stock markets.

This paper attempts to investigate the effects of Coronavirus spread on oil companies. Coronavirus spread has been measured by cumulative cases, new cases, cumulative deaths and new deaths, on daily basis from March 15, 2020, to August 31, 2020. This has been applied to the top 10 oil companies in the world in terms of production. Using panel data analysis according ARDL technique, the study has investigated the short-run relationship between Coronavirus spread and abnormal return of oil companies. Besides, it has tested the long-run relationship and causality. Results support the short-run negative response of oil market to the spread of Coronavirus measured by cumulative and new cases and deaths, during the whole period. During March and April, oil markets seems to be sensitive to cumulative cases and deaths, while during May, it tends to be sensitive to new cases. Results do not support any negative effects during June, July and August.

Empirical analysis of a sample of companies with private equity (PE) ownership in the UK shows that PE firms act as deep-pocket investors for their portfolio companies, rescuing them if they fall in financial distress. In contrast, external financing is expensive for companies without PE-ownership in financial distress. The paper builds a model that shows how companies form rational expectations about the costs of financial distress, and how these expectations affect ex-ante policies. The model explains the empirically-observed differences in how companies with and without PE-ownership invest, pay dividends, and issue debt. In particular, the model quantitatively explains the difference in leverage of companies with and without PE-ownership. The model shows that greater tax-shield benefits and superior growth of PE-backed companies can explain 6.4% of the abnormal return of PE firms. The conclusion that follows from the paper, however, is that abnormal returns PE firms cannot be replicated by other investors.

We find that a small subset of stocks with poor returns drives the illiquidity premium, consistent with it representing a return reversal. Stock transactions show that institutional investors sell illiquid losers, and that these stocks are subject to large transaction costs. The positive abnormal return associated with illiquid stocks stems directly from the reversal of the group of stocks with poor recent returns and downward price pressure. Our results suggest that these abnormal returns do not represent a broad premium that compensates investors for holding illiquid stocks. In fact, the mirror image group of illiquid winners shows an illiquidity discount.

We apply state-of-the-art financial machine learning to assess the return-predictive value of more than 45,000 earnings announcements on a majority of S&P1500 constituents. To represent the diverse information content of earnings announcements, we generate predictor variables based on various sources such as analyst forecasts, earnings press releases and analyst conference call transcripts. We sort announcements into decile portfolios based on the model’s abnormal return prediction. In comparison to three benchmark models, we find that random forests yield superior abnormal returns which tend to increase with the forecast horizon for up to 60 days after the announcement. We subject the model’s learning and out-of-sample performance to further analysis. First, we find larger abnormal returns for small-cap stocks and a delayed return drift for growth stocks. Second, while revenue and earnings surprises are the main predictors for the contemporary reaction, we find that a larger range of variables, mostly fundamental ratios and forecast errors, is used to predict post-announcement returns. Third, we analyze variable contributions and find the model to recover non-linear patterns of common capital markets effects such as the value premium. Leveraging the model’s predictions in a zero-investment trading strategy yields annualized returns of 11.63 percent at a Sharpe ratio of 1.39 after transaction costs.

The purpose of this study was to investigate the impact of uncertain political events on the daily index return on the Colombo Stock Exchange (CSE) from 1st May 2009 to 29th March 2018 and to address the paucity of knowledge related to the political events in emerging stock markets. Fifteen major political events were selected from the study period and compared its impact for 2, 7, 15, and 30 days, pre and post-event period using the mean-adjusted return model. The findings of this study answered two problems. First, the impact of the events on the All Share Price Index (ASPI) return. Second, the way that ASPI fluctuates in response to political events. Calculated average abnormal return and t-test results confirmed that political events have an impact on the market index, either significantly or insignificantly. Further, findings revealed that investors overreact to good political news while under-react to bad political news. But directions of the impact on the study subject depends on the constitution of the event and its market friendliness. CSE is inefficient in capturing the impact of an event in the short run but comes to its original state within 30 days of the post-event period. This study will help investors to predict the market and scholars, listed companies, government bodies and other interested parties to reinforce the knowledge.