36 month buy-and-hold returns are calculated for a recent sample of initial public offerings (IPOs) on UK stock markets in order to test the robustness of earlier results which suggest that IPOs deliver abnormally low long-run returns. A bootstrapped and skew-adjusted t statistic is employed. Overall, there is little evidence of significant abnormal long-run performance. Further tests reveal th...

The paper addresses the issue of the importance of independent, outside directors in monitoring the affairs of the firm. There is much debate about whether nonaffiliated directors are more supportive of the shareholderinterest hypothesis or the management entrenchment hypothesis. In this study of 1,026 announcements of the appointment of independent outside directors between 1990-1994, the auth...

This paper revisits event-study methodology based on regression estimation of abnormal returns. The paper reviews the traditional event study and gives a more detailed discussion of the regression based approach with quantitative event variables. The paper discusses also briefly the the dummy variable regression which is a special case of the quantitative case. Use of GARCH to predict event per...

This paper challenges the research hypothesis that psychological factors and market sentiment can influence and alter the trajectory of state-owned equities. For this purpose, an overreaction analysis was performed in a wide data spectrum consisting of daily returns of 184 state-owned enterprises operating in countries from three continents, over a ten year period divided in five biannual test ...

Prior studies have documented that stock returns are abnormally high during the years following share repurchases and abnormally low following seasoned equity offerings, relative to various benchmarks of expected returns. While we confirm this evidence in the event data as of 2002, we do not find robust long-run abnormal returns following either stock repurchases or issuances after 2002. Instit...

This article examines the market reaction of the main Property and Casualty (P & C) insurance companies listed in the New York Stock Exchange (NYSE) to seven most recent hurricanes that hit the East Coast of the United States from 2005 to 2012. For this purpose, we run a standard short horizon event study in order to test the existence of abnormal returns around the landfalls. P & C com...

We investigate informed trading activity in equity options prior to the announcement of corporate mergers and acquisitions (M&A). For the target companies, we document pervasive directional options activity, consistent with strategies that would yield abnormal returns to investors with private information. This is demonstrated by positive abnormal trading volumes, excess implied volatility and ...

We examine the evidence from the long-run abnormal returns using data for 76 health care and biopharmaceutical initial public offerings (IPOs) listed in a 29-year period between 1986 and 2014 in the Association of Southeast Asian Nations (ASEAN) countries such as Indonesia, Malaysia, Singapore, Thailand, the Philippines, Vietnam, Myanmar, and Laos. Based on the event-time approach, the 3-year s...

The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the effic...

During the year prior to management buyout (MBOs) announcements, some target firms exhibit abnormally high discretionary expenses in selling, general and administration, abnormally low discretionary accruals, and realize losses from asset sales. Higher discretionary expenses and losses from asset sales are associated with lower pre-MBO abnormal stock returns, especially for firms with higher in...