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Is the abnormal return following equity issuances anomalous?

by Alon Brav , Paul A Gompers , Eugene Fama , Steve Kaplan , Tim Loughran , Jay Ritter , Bill Schwert , Rene Stulz , Robert Vishny , Luigi Zingales - Journal of Financial Economics fortcoming. , 1999
"... We investigate the robustness of the long-run underperformance of initial public offering (IPO) and seasoned equity offering (SEO) firms from [1975][1976][1977][1978][1979][1980][1981][1982][1983][1984][1985][1986][1987][1988][1989][1990][1991][1992] ..."
Abstract - Cited by 156 (6 self) - Add to MetaCart
We investigate the robustness of the long-run underperformance of initial public offering (IPO) and seasoned equity offering (SEO) firms from [1975][1976][1977][1978][1979][1980][1981][1982][1983][1984][1985][1986][1987][1988][1989][1990][1991][1992]

Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics

by Brad M. Barber, John D. Lyon - Journal of Financial Economics , 1997
"... We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified (em ..."
Abstract - Cited by 548 (9 self) - Add to MetaCart
We analyze the empirical power and specification of test statistics in event studies designed to detect long-run (one- to five-year) abnormal stock returns. We document that test statistics based on abnormal returns calculated using a reference portfolio, such as a market index, are misspecified

Market Efficiency, Long-Term Returns, and Behavioral Finance

by Eugene F. Fama , 1998
"... Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnor ..."
Abstract - Cited by 787 (6 self) - Add to MetaCart
-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique.

The fading abnormal returns of momentum strategies

by Thomas Henker, Martin Martens, Robert Huynh , 2006
"... We find increasingly large variations in returns from momentum strategies in recent years. Momentum strategies did not earn significant excess returns during the period of 1993-2004 which was due to their poor performance over the period from 2001-2004. Using subsamples of smaller capitalization sto ..."
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We find increasingly large variations in returns from momentum strategies in recent years. Momentum strategies did not earn significant excess returns during the period of 1993-2004 which was due to their poor performance over the period from 2001-2004. Using subsamples of smaller capitalization

Finance ABNORMAL RETURNS OF DIVIDEND ANNOUNCEMENTS

by During A Boom, A Recession, Joni Salminen
"... Empirical evidence from U.S. from the years of 2000 – 2002 ..."
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Empirical evidence from U.S. from the years of 2000 – 2002

Insider trading, abnormal return and preferential . . .

by Marcello Minenna
"... The enforcement of the ban on insider trading requires an evaluation of the disgorgement, i.e. the capital gain of the insider trader who takes advantage of the exploitation of preferential information. An initial step forward on this topic has been taken by the SEC, the United States Securities an ..."
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The enforcement of the ban on insider trading requires an evaluation of the disgorgement, i.e. the capital gain of the insider trader who takes advantage of the exploitation of preferential information. An initial step forward on this topic has been taken by the SEC, the United States Securities and Exchange Commission, which has developed a quantitative procedure based on the event-study methodology. This paper develops an adaptation of this procedure for the Italian market and explains the limits of these methodologies in the analysis of the insider-trading phenomenon. In particular,

Improved methods for tests of long-run abnormal stock returns

by John D. Lyon, Brad M. Barber, Chih-ling Tsai, Raghu Rau, Jay Ritter, René Stulz, Brett Trueman, Ralph Walkling - Journal of Finance , 1999
"... We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference is based ..."
Abstract - Cited by 375 (12 self) - Add to MetaCart
We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference

Abnormal Returns and the Regulation of Nonprofit Hospital Sales and Conversions

by Andrew J. Leone, R. Lawrence, Van Horn, Gerard J. Wedig , 2003
"... During the 1990s, concerns that nonprofit (NP) hospitals were being sold at below-market prices to investor-owned (IO) chains helped to prompt the widespread adoption of state laws regulating the sale and conversion of nonprofits. In this paper we provide tests of under-pricing, both before and afte ..."
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valued by CEOs and boards. In our empirical section, we use abnormal returns at the time of the acquisition to measure the extent of under-pricing. Absent regulation, IO chains did not earn abnormal returns from their acquisitions of NPs and benefited more by transacting with other IO and privately

Short-Selling Constraints and Momentum Abnormal Returns

by Dr. George, Yu Zhang
"... Since buying long and selling short are two different trading activities, the winner and loser portfolios in the momentum strategies could be exposed to different risks. Short selling risk is the unique risk that only the loser portfolio bears and may explain the bulk of the momentum abnormal return ..."
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bound. The difference of the estimated true shorting demand and the realized shorting demand is our proxy for short-selling constraints. By using this new proxy, we find the short-selling constraints explain the momentum abnormal returns from the loser portfolio strongly and independently. Stocks which

The Abnormal Returns of UK Privatisations: From Underpricing to Outperformance

by Katiuscia Manzoni, Nota Di Lavoro, Fondazione Eni, Enrico Mattei, Massimo Florio, Massimo Florio , 2002
"... This paper can be downloaded without charge at: The Fondazione Eni Enrico Mattei Note di Lavoro Series Index: http://www.feem.it/web/activ/_wp.html Social Science Research Network Electronic Paper Collection: http://papers.ssrn.com/abstract_id=XXXXXX The opinions expressed in this paper do not neces ..."
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not necessarily reflect the position of The Abnormal Returns of UK Privatisations: From Underpricing to Outperformance Summary This paper offers a review and discussion of the evidence concerning the underpricing and long run performance of British PIPOs (Privatisation Initial Public Offerings) between 1977
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