计量经济分析 = Econometric analysis

The science of the total environment

Investor Psychology and Security Market Under- and Overreactions

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

Handbook of the Economics of Finance

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue announcements. Volatility persistence and unconditional volatility have also increased after the bonus and rights issue announcements. The results support the finding of Medeiros and Matsumoto (2006) but are contrary to the results of Li and Engle (1998), Connoly and Stivers (2005), and Boyd et al. (2005), who report decrease in volatility following the event announcements. This evidence, extendable to any other type of issue announcement, is consistent with theories stating that volatility increases after the seasoned capital issue announcements.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1962265_code351092.pdf?abstractid=1962265

Evidence on Changes in Time Varying Volatility Around Bonus and Rights Issue Announcements

Does Concentrated Founder Ownership Affect Related Party Transactions? Evidence from an Emerging Economy

IntroductionThe changes in abnormal returns of a security around event announcement may be due to event-induced, firm-specific or event-related factors. There are a host of studies that have looked into factors that influence stock returns for seasoned issue announcements (Asquith and Mullins, 1986; Mikkelson and Partch, 1986; and Kalay and Shimrat, 1987). However, Barclay et al. (1990) have found that there exists a relationship between announcement effect on abnormal returns and the issuing firms' information asymmetry, profitability, growth, and the issue characteristics. An analysis of factors affecting abnormal returns around the announcement of new equity issue is important for the following reasons: (1) unrecorded goodwill may be reflected in the stock price which is not captured by the event itself; (2) managers have superior information about investment projects compared to investors; and (3) the issuing firm's current financial structure and the impact of new equity issued on its financial situation are also important factors considered by investors in their valuation of equity offerings. Though empirical work has focused on examining the significance of the change in abnormal returns, studies exploring the extent of influence of firm-specific or event-related factors on abnormal returns are limited.The literature shows that issue size has a mixed impact on the firm's abnormal returns (Hess and Bhagat, 1986; Abhayankar and Dunning, 1999; Marsden, 2000; Bigelli, 2002; Kato and Tsay, 2002; Tan et al., 2002; and Wu et al., 2005). A positive relationship between pre- market condition and a firm's abnormal returns has been documented by Choe et al. (1993), Tsangarakis (1996) and Tan et al. (2002). Different firm characteristics have a significant effect on the firm's abnormal returns (Balachandran et al, 2005).Measurement of Variables Affecting Abnormal ReturnsIn this study, the effects of factors influencing cumulative abnormal returns have been examined for two time periods: the first one being around one day of announcement (t_j to t+1), and the second one being around 20 days of announcement (t_20 to t 20).In the case of equity issue announcement, the selection of the factors affecting abnormal returns of a firm is primarily based on the previous studies in the context of both developed and developing countries. A review of literature shows that there are several firm-specific, issue-specific, industry-specific and country-specific factors that influence stock returns of a firm apart from the announcement of an issue alone. The characteristics of firms determine the degree of fluctuation in the abnormal returns (Tan et al, 2002; Balachandran et al, 2005; and Elayan et al, 2007), and include parameters such as firm size, issue size, dividend yield, research and development, intangible assets value, market capitalization, market-to-book ratio, capital intensity, total liabilities, return on equity and leverage. The following variables have been used in the study: Issue Size (ISSUE), Pre-Market Condition (PRECAR), Industry Type (IT), Value of Collateral Assets (VCA), Return on Equity (ROE), Price-Earnings (PE) ratio, Market Capitalization (MCAP), Operating Leverage (OPLEV), Debt-Equity (DE) ratio and Volatility of Stock Returns (VSR).Issue-Related VariablesThe present study uses bonus issue ratio calculated as the number of shares allotted against the current number of shares held by investors. In the case of rights issue, the number of shares issued scaled by the number of shares outstanding has been taken as the issue-related variables. The bonus issue size or the rights issue ratio has not been considered to avoid duplication of data in the model.Market-Related FactorsInvestors start bidding up the prices prior to the announcement date, if they anticipate revelation of information about the issue of bonus and rights shares. If the information is already anticipated in the market, then the stock price reaction to the announcement will be lower. …

Factors Influencing Abnormal Returns around Bonus and Rights Issue Announcement

The study examines the co-movement between oil price and macroeconomic indicators such as exchange rate and stock indices of major oil importing countries. We differ from previous studies by examining the macroeconomic dynamics of major oil-importing countries during all economic cycles across different frequencies, using wavelet coherence analysis. We use nominal price rather than real price to make the results more meaningful for traders and institutional investors. Our analysis is based on 3012 observations covering the period 2003-14 for fifteen major oil importing countries. Wavelet coherence analysis indicates a high coherence between oil price and macroeconomic indicators across all the countries during the financial crisis. The nominal exchange rates tend to have a negative relationship with benchmark oil prices except Japan in the long run and South Korea in the medium run. Stock indices tend to have a positive relationship with benchmark oil prices in both long and medium run. S&P is leading the oil price, whereas SSE50, Nikkei 225, NIFTY, KOPSI, DAX, CAC, IBEX, FTSSI, FTSEMIB, AEX, TWSE, XU 100, LQ45 and BEL 20 are lagging the oil price in the long run. In the medium term, except for NIFTY, oil price is leading the stock market index. Overall, the results indicate that the oil price and stock indices of the major oil-importing countries are correlated in the long and medium term, but not in the short term. The lead–lag relationship between oil price and macroeconomic indicators are observed to change across frequency and time. While exchange rate offers diversification benefits, stock market indices provide no diversification avenues, since the pattern of co-movement of stock market indices and oil prices are similar across all oil importing countries. The results have implications for individual traders and institutional investors while designing their portfolio for short, medium and long term time horizons.

Co-movement of oil price, exchange rate and stock index of major oil importing countries: A wavelet coherence approach

Purpose – The purpose of this paper is to examine the short‐term and long‐term stock price volatility changes around bonus and rights issue announcements, using historical volatility estimation and time varying volatility approach.Design/methodology/approach – Changes in volatility around bonus and rights issues have been examined using the following methodologies. First, to capture historical volatility, change in standard deviation for 20 days and 100 days before and after announcement have been examined. Second, change in time varying volatility and unconditional volatility is examined using GARCH (1, 1) model.Findings – The results indicate that the historical volatility has increased after bonus and rights issue announcement. The volatility persistence and unconditional variance have increased after the bonus and rights issue announcements. This evidence, extendable to any other type of issue announcement, is consistent with theories stating that volatility increases after the seasoned capital issue ...

http://www.esocialsciences.org/Download/repecDownload.aspx?fname=A201212412357_20.pdf&fcategory=Articles&AId=4728&fref=repec

M. Thenmozhi

Papers

Evidence on Changes in Time Varying Volatility Around Bonus and Rights Issue Announcements

Does Concentrated Founder Ownership Affect Related Party Transactions? Evidence from an Emerging Economy

Factors Influencing Abnormal Returns around Bonus and Rights Issue Announcement

Co-movement of oil price, exchange rate and stock index of major oil importing countries: A wavelet coherence approach

Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements