Temat: event-study methodology - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: The Market Reaction to Stock Splits - Evidence from the Warsaw Stock Exchange
Autorzy:: Sekuła, Paweł
Powiązania:: https://bibliotekanauki.pl/articles/16729033.pdf
Data publikacji:: 2023
Wydawca:: Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:: split
Warsaw Stock Exchange
event study methodology
Opis:: Theoretical background: A share split is an operation that increases the total number of shares. The split is a technical operation and should not affect the market value of the company. The shareholding structure of the company remains unchanged when the shares are split. However, split studies around the world show the occurrence of abnormal returns. Purpose of the article: The article analyses splits based on market data from 2009 to 2021. The aim of the study is to analyse the cumulative average abnormal returns (CAARs) in the periods preceding stock splits on the Warsaw Stock Exchange (WSE). CAARs are analysed in different research variants. The influence of the stock market situation and the frequency of splits on the amount of abnormal returns is examined. Research methods: The research was carried out using event study analysis. The Market-Adjusted Return Model was used to determine abnormal returns. CAARs were calculated for each analysed event window. The statistical significance of abnormal returns was verified by the parametric t test and the non-parametric Corrado rank test. Main findings: The study showed statistically significant positive abnormal returns in the 30-day period preceding the split. The hypothesis that multiple splits cause particularly high increases in the market value of companies has not been confirmed. Research on the reaction to splits depending on the state of the stock market situation did not allow unambiguous conclusions in the case of the periods when the WSE Index (WIG) increased. Weaker reaction to planned splits in the period of worse market conditions was confirmed.
Źródło:: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2023, 57, 1; 181-195
0459-9586
2449-8513
Pojawia się w:: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: The reaction of investors to analyst recommendations of stocks listed on the WIG20 index
Autorzy:: Suliga, M.
Powiązania:: https://bibliotekanauki.pl/articles/108276.pdf
Data publikacji:: 2016
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:: abnormal returns
event-study methodology
recommendation changes
linear regression with categorical variables
Opis:: Analyst recommendations are one of the types of information whose appearance on the market can have an influence on security prices. In this paper, I study the impact of analyst recommendations on stocks listed on the WIG20 Index, using event-study methodology and linear regression models. The dataset contains 576 absolute recommendations published from the 1st of January 2012 to the 1st of September 2015 by various analyst houses. The prefatory study researches price reaction to positive, neutral, and negative recommendations separately. Subsequently, to check if investor reaction depends on a change in the level of recommendation, corresponding research is repeated for events clustered in nine groups defined in terms of possible level changes. Linear regression models with categorical variables are used in search of additional factors affecting investor reactions. Changes in the level of recommendation, size of the company, and reputation of brokerage house represent explanatory variables. Preliminary results point out that the direction of investor reaction is generally consistent with the information contained in the recommendation, and that the reaction of the market seems to be stronger in the case of positive events than in the case of negative ones. The analysis of recommendation changes reflects more-detailed dependents. In particular, the interpretation of a neutral recommendation depends strongly on the level of the previous recommendation. If it represents growth from SELL or REDUCE, the reaction is positive, while in the case of a drop from ACCUMULATE or BUY, it leads to negative abnormal returns. This relationship is additionally confirmed by results from the linear regression models. The models show the size of the firm as a significant factor that has an influence on the reaction to a recommendation: the smaller the firm, the stronger the reaction.
Źródło:: Managerial Economics; 2016, 17, 1; 123-148
1898-1143
Pojawia się w:: Managerial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange
Autorzy:: Suliga, M.
Powiązania:: https://bibliotekanauki.pl/articles/108344.pdf
Data publikacji:: 2017
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:: futures contracts
expiration day effects
price reversal
abnormal returns
event study methodology
Opis:: This paper studies an impact of futures expiration days on the Polish equity market. From three potential expiration effects appearing in the literature (namely, the increased trading volume of underlying assets, increased volatility of their returns, and price reversal after expiration), the latest one is researched in detail for expiration days of futures on the WIG20 index, the mWIG40 index, and individual stocks. The data covers the period from January 2001 to December 2016. The phenomenon of price reversal is studied with the use of regression models, price reversal measures, and event study methodology. The results obtained for expiration days are compared with the results from non-expiration days to check whether a potential price reversal can be interpreted as an effect of expiration. No price reversals after futures expirations were found in the returns of the WIG20 nor mWIG40 indexes. In the case of individual stocks, results from all of the three methods support the assumption that price reversal occurs after expiration. The reversal is immediate and is reflected in overnight returns more than in daily returns.
Źródło:: Managerial Economics; 2017, 18, 2; 201-225
1898-1143
Pojawia się w:: Managerial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: Event study methodology – what for, how and for whom?
Metodyka analizy zdarzeń – po co, jak i dla kogo?
Autorzy:: Kurek, Bartosz
Powiązania:: https://bibliotekanauki.pl/articles/515159.pdf
Data publikacji:: 2020
Wydawca:: Stowarzyszenie Księgowych w Polsce
Tematy:: market-based accounting research
event study methodology
informational efficiency of capital markets
information content of events
badania z zakresu rachunkowości oparte na danych rynkowych
metodyka analizy zdarzeń
zawartość informacyjna zdarzeń
efektywność informacyjna rynków kapitałowych
Opis:: Event studies make it possible to quantify the market reaction to releases of various types of information. An event study is one of the few tools that may be used to determine a causal effect. The aim of this paper is to present and explain an algorithm for conducting an event study that academics and practitioners who represent the accounting discipline may apply to investigate the market reaction to various events, such as releases of accounting information. The algorithm comprises six steps: 1) identifying the event that is going to be examined, 2) selecting companies, 3) identifying when information about the event was released and identifying the event window, 4) choosing an estimation window, 5) choosing and estimating a model of normal investor behavior, and calculating the abnormal level of investor behavior, 6)verifying statistical hypotheses with the use of parametric and non-parametric tests. The paper fills the research gap by presenting the kernel of an event study and the usefulness of event studies in empirical accounting research. Analysis and critique of the literature are used as the research method.
Analiza zdarzeń umożliwia kwantyfikację reakcji rynku na ujawnienie różnego typu informacji. Analiza zdarzeń jest jednym z niewielu narzędzi, które mogą być używane do ustalenia związku przyczynowo-skutkowego. Celem artykułu jest przedstawienie i wyjaśnienie algorytmu analizy zdarzeń, który może być wykorzystany przez badaczy i praktyków reprezentujących dziedzinę rachunkowości do zbadania reakcji rynku na różne zdarzenia, takie jak ujawnienie informacji z rachunkowości. Algorytm składa się z sześciu kroków: identyfikacja zdarzenia, dobór przedsiębiorstw, identyfikacja czasu upublicznienia informacji o zdarzeniu i identyfikacja okna zdarzenia, wybór okna estymacyjnego, wybór i estymacja modelu normalnego działania inwestorów oraz obliczanie jego nietypowego poziomu, weryfikacja hipotez statystycznych z wykorzystaniem parametrycznych i nieparametrycznych testów. Artykuł wypełnia lukę badawczą poprzez przedstawienie sedna analizy zdarzeń i jej użyteczności w empirycznych badaniach w rachunkowości. W opracowaniu wykorzystano metodę analizy i krytyki piśmiennictwa.
Źródło:: Zeszyty Teoretyczne Rachunkowości; 2020, 108(164); 241-258
1641-4381
2391-677X
Pojawia się w:: Zeszyty Teoretyczne Rachunkowości
Dostawca treści:: Biblioteka Nauki

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