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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.

Stock market reactions to financial reports have been extensively studied in previous years and for various markets. However, not much research has been conducted regarding the reaction of global financial markets to integrated reporting. This study examines the market reaction to the publication of integrated reports for a sample of 316 global companies for the reporting year 2018 by using an event study methodology. The results of the applied event study indicate significant cumulative average abnormal returns (CAARs) after the publication date. To ensure robust estimation results, we use a modern asset pricing model, namely, the three-factor model according to Fama and French (1993). For comparability purposes, we also estimate the average cumulative abnormal returns using a market-adjusted model, a capital asset pricing model (CAPM), and a Fama-French model taking generalized autoregressive conditional heteroskedasticity (GARCH effects) into account. In addition, a cross-sectional analysis is conducted. We find a significant positive CAAR on days one to four after the publication day of the integrated report compared to a negative CAAR for financial information disclosure. Our results suggest that investors react to information provided in the integrated report and that they react differently to the release of integrated report information than to financial information. Furthermore, our cross-sectional analysis confirms that companies with a significant positive CAAR around the publication date show certain characteristics. It was found that European companies have a higher likelihood to experience a stronger significant positive market reaction to their integrated report publication. It was also found that firms in the consumer defensive, financial, industrial, and real estate sectors are more likely to experience a positive market reaction. No significant differences were found for companies of a larger size or with a higher profit margin. Ultimately, this confirms that integrated reporting affects company value. This is the first event study for a multi-country sample applying multi-factor models for nonfinancial disclosure event studies including a cross-sectional analysis.

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.

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.