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A stock split is when a company’s outstanding shares are divided into multiple shares by issuing more shares to current shareholders without eroding their stake’s value. The company typically takes these actions to increase liquidity and marketability, lower stock prices, attract new investors and so on. The purpose of this study is to examine the impact of stock splits on the stock returns during the study period. Companies listed on the Bombay Stock Exchange (BSE) and those included in the S&P BSE 500 Index are included in the stock split data. The study period covers 14 years, between 2008 and 2021. Market model event study methodology is being employed to analyze the average abnormal returns (AARs), cumulative abnormal returns (CARs) and cumulative AAR (CAARs) using an event window period consisting of 31 days ($-15,+15$). The study is largely based on secondary information from the CMIE Prowess IQ Database and the official BSE website. The $t$-test, mean and standard deviation were used to investigate the influence of stock split announcements on share prices and the performance of stock splits before and after the announcement. The study found that on ($t-13$), ($t-7$), ($t-2$) and ($t-3$) and on the day of the announcement ($t0$), the market reacted favorably with significant positive abnormal returns. On ($t+1$) and ($t+10$) days, however, there were significant negative abnormal returns. The null hypothesis is accepted as the CAR for the whole 31-day event window, which is 0.0221, with a $t$-statistic of 1.692, which is insignificant.

Synopsis

Research problem

We examined the role of external verification and assurance as credibility-enhancing mechanisms provided voluntarily by green bond issuers.

Motivation

Research on green bonds has focused mainly on bond yield differentials, with mixed results challenging early evidence that bondholders sacrifice financial returns for environmental benefits. However, the external verification and assurance of green bonds and related market effects are underexplored. Our study addresses this issue and contributes to the policy debate on the current market-based governance of green bonds, examining how credibility-enhancing mechanisms can strengthen market confidence and yield economic benefits.

Test hypotheses

We examined the market reactions to green bond issuance in the context of verification and assurance throughout the bond lifecycle. Our first hypothesis is that first-time green bond issuances accompanied by an external verification report are associated with higher market reactions. Second, green bond issuances that are backed by a verification report with an assurance statement are associated with more positive market reactions. Last, green bonds with postissuance verification are associated with higher market reactions.

Target population

This paper is useful for (a) companies issuing green bonds, (b) policymakers examining the role of external verification and assurance in signaling firm commitment to low-carbon projects, and (c) researchers studying the evolution of the green bond market.

Methodology

We investigated an international sample of 774 green bonds issued by listed non-financial companies from 2013 to 2021. We measured the market reaction to the announcement of these securities and analyzed the association between the use of credibility-enhancing mechanisms and abnormal returns.

Analysis

Consistent with signaling theory, we argue that the use of green bond verification is part of the issuer’s business strategy to convey a signal to the market regarding its commitment to using bond proceeds for low-carbon, climate-friendly projects. Our results provide evidence of the importance of third-party verification and assurance of non-financial information in the green bond setting.

Findings

Our findings indicate that green bonds accompanied by third-party verification reports attract a positive cumulative abnormal return of 0.30% over a three-day event window. We offer early evidence of the economic benefits associated with the assurance of green bonds issued by non-green firms (high CO₂ emitters).

This paper investigates the impact of the 1986 US-Japan Semiconductor Trade Agreement (STA) and antidumping actions by the US on Japanese firms. We conduct an event study employing WLS and OLS estimations on the daily returns of eight large electronics firms over roughly a two year period. We find that the STA had a positive effect on the daily returns while the antidumping rulings were found to be insignificant. These results are consistent with some authors' views that the STA policy may have facilitated collusive behavior to the benefit of not only US, but Japanese firms as well. These results shed some light on the ambiguous results found in the Voluntary Import Expansion (VIE) literature.

This paper examines the impact of 410 terrorist attacks on the performance of five Asian stock markets. The empirical findings indicate that terrorism has a significant impact on the stock markets. Furthermore, the magnitude of these effects varies with respect to country, attack type, target type and severity of the attacks. In target type, terrorist attacks on business sector and security forces are particularly destructive for the stock markets. Likewise, in attack type, suicide attacks and bomb blasts particularly generate a significant downward movement in the stock markets. Furthermore, the more severe attacks have larger negative impact on market returns.

On November 29, 2019, 12 days before its announcement, information on the ambitions of the European Green Deal was leaked. The leakage should have triggered a Europe-wide systemic shock to financial markets without an accompanying announcement of supportive measures. Applying event study methodology to a sample of 600 European large and mid-cap stocks, we find that the overall market reaction was indeed significantly negative, albeit moderate. Abnormal returns gradually decline with increasing greenhouse gas emissions levels. Conversely, the official announcement emphasizing financial support and the green growth narrative did not ignite a positive market reaction. The results are largely robust in multivariate regressions. We conclude that market participants incorporate available emissions information into (short-term) reassessments after a significant change in environmental policy becomes known.

This article investigates share price responses to strategic alliances in Taiwan's high-tech industry from 1996 to 1999. We analyze the determinants of abnormal returns caused by strategic alliances using a quantile regression estimation procedure. Our empirical findings show that the wealth effect for a strategic alliance is positive, with no evidence of a wealth transfer between alliance partners. In addition, intra-industry alliances show significantly higher abnormal returns than inter-industry alliances. The horizontal and vertical alliances both have significantly positive abnormal returns, but the positive effect of vertical alliances primarily comes from downstream buyers. On the other hand, results from a quantile regression model show that the P/B ratio, director and supervisor shareholding ratios, and R&D ratio are important determinants of abnormal returns of strategic alliance announcements. Our empirical findings are consistent with the argument that the organizational flexibility offered by alliances is valuable to the high-tech industry which needs to cope with a fast-changing environment.

The main purpose of this paper is to examine the impact that the introduction of exchange traded derivative warrants has on the underlying securities' price, volume and volatility in the Australian market. The impact that derivative trading has on the underlying security is essential to our understanding of security market behaviour and important in the fields of market efficiency and pricing of derivatives. The major findings of significant negative abnormal returns, reduction in skewness, no change in beta and small changes in variance are consistent with recent research findings in the US, UK and Hong Kong. However, the findings of derivative warrant listing resulting in decreased trading volume is in contrast with most prior research in the field. The results of this research, showing a negative price impact, decreased volume and no change in risk, and other recent empirical findings such as Mayhew and Mihov (2000) or Faff and Hillier (2003), indicate a requirement for further development of the theoretical frameworks.

Using a unique dataset containing daily institutional ownership information, we examine the relation between daily institutional trading and past, contemporaneous, and future stock returns on the Shanghai Stock Exchange (SSE). We find strong evidence of the price pressure effect induced by institutional trading, causing price impacts of up to 2.12% per day for the most intensively bought stocks. We further find that institutions are informed and momentum traders when buying but not when selling, which may be due to short-selling restrictions in China. Finally, our findings suggest that institutions engage in order splitting and/or herding behavior, as the price pressure effect is observed up to five days before and after the intense trading date.

This paper presents empirical evidence on the effects of environmental regulation announcements on corporate performance in China when performance is proxied by stock returns. While some results indicate the effectiveness of environmental regulation, others point to the opposite. The perverse results are explained in terms of the lack of enforcement of environmental regulation, which is attributed to legislative shortcomings, poorly designed policy instruments, an unsupportive work environment for environmental regulators, a pro-growth political and social environment, and a cultural predisposition to harmony and consensus-building among those involved in the process.

Traditionally, central banks have used direct intervention in currency markets when the exchange rate has moved away from equilibrium or when the volatility has been excessive and the literature on the effects of indirect intervention is sparse. We examine whether indirect intervention has any impact on the exchange rate levels by examining the central bank verbal communications in Australia and Canada. We find evidence that the Bank of Canada’s (BOC’s) speeches reduce the mean exchange rate returns but not the Reserve Bank of Australia’s (RBA’s) speeches. Our results show that the socio-economic similarities between countries do not guarantee a similar impact of indirect intervention.

We build upon social movement and investor attention theories to investigate the effect of “taking a knee” protests on the abnormal stock returns of NFL sponsoring companies. The study is conducted in two phases. Employing event study methodology in the first phase, we measured the abnormal returns and trading volumes of the companies during a four-year period from 2016 to 2020. While the results for abnormal returns are economically small, we found that there is 13.42% increase in trading volume in [0,$+$5], 61.28% in [0,$+$15], and 160.01% in [0,$+$30] event windows. There was also information leakage prior to the events as indicated by the 36.08 increase in trading volume in the [$-$30, $-$2] event window. We ran multiple regression models in the second phase to further examine the degree to which the unique circumstances surrounding the protests explain variations in abnormal returns. Companies that had higher brand values and the negative emotional tone of the comments made by the President of the United States about the protests were positively associated with abnormal returns. The results are also robust to methodological changes using abnormal returns adjusted for trading volume. Overall, the findings suggest that social activism by athletes is likely to affect investor attention and sentiment, thereby garnering a spillover effect on sponsoring companies’ stock prices and trading volumes.

This paper examines the relationship between ex-ante stock liquidity and abnormal returns during various phases of COVID-19 led market uncertainties in India. We find that the volume-based liquidity supports stock more significantly during the crisis than in periods of calm. However, contrary to existing empirical evidence, price-based liquidity penalizes stocks during a crisis. Moreover, during periods of calm and recovery, the inverse relationship of liquidity-abnormal return reverses. Further analysis shows that this change of price-based liquidity to abnormal return relationship is more prominent in firms with higher ex-ante liquidity. In contrast, highly illiquid firms appear immune.

This study examines the association between Corporate Social Responsibility (CSR) activities measured by two of Taiwan’s leading publishers, the Commonwealth Magazine and the Global View Magazine, and the acquirer’s short- and long-term performances after the merger announcement in Taiwan. We use CEO compensation and the firm’s free cash flow as the proxies for CEO self-confidence. We find that the acquirer’s CSR engagement is positively associated with its long-term performance but not with its short-term performance. CEO compensation is positively associated with the acquirer’s performance, especially after the mandatory establishment of the remuneration committee for publicly traded firms. However, the acquirer’s free cash flow is found negatively associated with its performance, supporting Jensen’s (Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76, 323–329) free cash flow hypothesis or CEO hubris. These findings indicate that the CSR measurements of Commonwealth Magazine and Global View Magazine do provide valuable information for CSR activities and that CSR activities do enhance firm value in the long run. Furthermore, the requirement for the establishment of the remuneration committee does improve the effectiveness of CEO compensation for firm performance in Taiwan.

Based on a sample of 59 European listed banks, we employ an event study analysis to investigate the impact of the European Banking Authority (EBA) stress tests on systematic risk measured by market betas. We further investigate the drivers of systematic risk taking into account bank-specific variables, which include credit quality, accounting policies, bank loan loss provisions (LLPs) and capital ratios, along with supervisory assessments of bank vulnerability to stressed scenarios. Finally, we assess the impact of credit quality and capital adequacy variables on the systematic risk associated with growth opportunities.

Our results suggest that stress tests act as a credible anchor to market expectations leading betas to decline. The effect is more pronounced for banks involved in multiple stress tests over time. Our second finding shows a significant and positive impact of Tier 1 capital ratios on betas, i.e., higher capitalization levels contribute to reducing the exposure to systematic risk. Moreover, market betas are responsive to bank vulnerability to stress scenario, in particular, regarding asset riskiness. Finally, betas of growth opportunities are affected by provisioning policies in the sense that conservative provisioning policies impair the ability to invest in growing assets.

In 2013, Glassdoor launched the Employees’ Choice Awards for the Top CEOs. Glassdoor’s awards are unique in that feedback from employees exclusively determines the winners. Given Glassdoor’s notoriety, claiming 64 million unique visitors and 11 million job listings monthly, being listed as a Top CEO certainly has reputational value — but does it translate to higher shareholder returns? We find that the overall Top CEO sample statistically outperforms a matched sample and the S&P 500 index on a raw and risk-adjusted basis with superior Tobin’s Q and annual returns one year after the announcement.

This study examines the contribution of credit default swaps (CDS) to price discovery in the run-up period preceding an acquisition announcement. We find that the CDS market plays a significant role in price formation before cross-border acquisitions, especially when target firms are from emerging economies. Further, the information flow from the CDS to the equity market is more pronounced when the bidder has a higher risk of default and the target nation has greater information asymmetry, weaker governance, and lower creditor protections. Our results are consistent with preferential use of the CDS market by informed traders ahead of negative credit news to hedge increased default risk or speculatively front-run widening credit spreads.

Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sample. However, with the exception of the Irish stock market, the effects ceased to be significant in a period of five trading sessions after the event. We also document an increase in trading activity, though statistically insignificant, in the day of the referendum and in the following days. Overall, our results are in line with the semi-strong form of market efficiency.

GST implementation in India is a macroeconomic event that changed the operating conditions and profitability of businesses. This study attempts to empirically test the market reaction of GST implementation on seventeen sectors of the Indian economy through the event-study methodology. Additionally, we assess the semi-strong efficiency of the Indian stock market during the event. Findings show that the event has heterogeneously affected different sectors as the FMCG sector is positively affected while the Pharmaceutical and Power sectors are adversely affected. IT sector is moderately positively affected whereas, consumer durable, energy, media, metal, oil, and reality are moderately negatively impacted. We also infer that the market doesn’t exhibit thorough efficiency of semi-strong form. The study is unique in its analysis of the sector-wise impact of GST implementation in India. This study is also useful for investors in making investment strategies and for policymakers to observe the policy impact on the stock market.

This article confirms that OPEC is neither a cartel nor exhibits any sign of market domination, market control, or monopoly. This confirmation is also in accord with the pioneering account of the competitive differential oil rents formed across the global industry since the crises of the 1970s. The methodology utilized in this study is known as the event-study, an innovative econometric method which attempts to investigate the possible influence of OPEC decisions on output upon the global oil spot and futures prices during the period of 1983-2005. The significance of this investigation is due to the fact that the apparent lumpiness" of OPEC has to have no bearing on a priori acceptance of perfect competition" as opposed to imperfect competition"—a tautological hallmark of neoclassical theory utilized in the bulk of both orthodox and heterodox literature on oil. And, by implication, neither has the neoclassical parlance of rent, as market imperfection" and/or market power," any bearing on the globally competitive differential oil rents earned by the rentier states. OPEC is reflective of the competitive differential oil rents earned by its members; and, contrary to both the right and the left, and their obfuscating echo in the media, it rolls with the heavy-handed punches of global market in the present epoch. This study is rather a posteriori investigation that deals with the reality of competition in the Schumpeterian framework—a reality that, far from the fiction of textbook competition, is neither perfect nor imperfect.

The massive real-estate price increases experienced in Israel over the last several years have elicited in policymakers the realization that they need to take action to reduce housing demand and prevent the Israeli housing market from collapsing. As a result, during May and October 2010, the Bank of Israel stepped in and increased the effective rate on mortgages and lowered the number of qualified applicants. In announcing the new regulations, the Bank of Israel’s main objective was to halt rising demand and to prevent further growth of the housing bubble. We use event study analysis to show that not only did the new regulations have no effect on housing prices but they in fact also markedly influenced the market value of the real-estate companies traded on the Tel-Aviv stock exchange.