Journal ArticleDOI
An Empirical Analysis of Common Stock Delistings
Gary C. Sanger,James D. Peterson +1 more
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TLDR
In this paper, the authors present an empirical analysis of firms that are delisted from a major stock exchange and the stock price movements surrounding delisting are analyzed, showing that for firms with prior announcements, equity values decline by approximately 8.5 percent on announcement day.Abstract:
This paper presents an empirical analysis of firms that are delisted from a major stock exchange. The delisting process is described and stock price movements surrounding delisting are analyzed. For firms with prior announcements, equity values decline by approx? imately 8.5 percent on announcement day. For firms without prior announcements, a sim? ilar adjustment takes place between the last day of trading in the initial market and the close of the first day of trading in the new market. Four hypotheses concerning the decline in firm value are examined. These are the liquidity hypothesis, the management signalling hypothesis, the exchange certification hypothesis, and the downward sloping demand curve hypothesis. Evidence consistent with the liquidity hypothesis is presented in the paper. Unlike evidence on stock exchange listings, returns in the post-delisting period do not appear to be anomalous.read more
Citations
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The Delisting Bias in CRSP Data
TL;DR: In this article, the authors show that the omitted delisting returns are large and that the delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP) is discussed.
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Nonparametric event study tests
TL;DR: In this paper, the authors provide the first documentation of the power and specification of the generalized sign test, which is based on the percentage of positive abnormal returns in an estimation period.
Journal ArticleDOI
Event Study Testing with Cross-sectional Correlation of Abnormal Returns
James W. Kolari,Seppo Pynnönen +1 more
TL;DR: In this paper, the authors examine the issue of cross-sectional correlation in event studies and find that even relatively low cross-correlation among abnormal returns is serious in terms of over-rejecting the null hypothesis of zero average abnormal returns.
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Economic Consequences of SEC Disclosure Regulation: Evidence from the OTC Bulletin Board
Brian J. Bushee,Christian Leuz +1 more
TL;DR: In this article, the economic consequences of a regulatory change mandating OTCBB firms to comply with reporting requirements under the 1934 Securities Exchange Act were examined, and the authors concluded that the imposition of disclosure requirements results in significant costs for smaller firms, forcing them off the OTC BB.
Journal ArticleDOI
Economic consequences of SEC disclosure regulation: evidence from the OTC bulletin board
Brian J. Bushee,Christian Leuz +1 more
TL;DR: The authors examined the economic consequences of a regulatory change mandating OTCBB firms to comply with reporting requirements under the 1934 Securities Exchange Act and found that firms previously not filing with the SEC experience positive stock returns and permanent increases in liquidity, suggesting positive externalities from disclosure regulation.
References
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Journal ArticleDOI
Using daily stock returns: The case of event studies
TL;DR: In this paper, the authors examine properties of daily stock returns and how the particular characteristics of these data affect event study methodologies and show that recognition of autocorrelation in daily excess returns and changes in their variance conditional on an event can sometimes be advantageous.
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Asset pricing and the bid-ask spread
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
Journal ArticleDOI
Estimating betas from nonsynchronous data
Myron S. Scholes,Joseph Williams +1 more
TL;DR: In this article, the observed market model and associated ordinary least squares estimators are developed in detail, and computationally convenient, consistent estimators for parameters of the market model are calculated and then applied to daily returns of securities listed in the NYSE and ASE.
Asset pricing and bid-ask spread
P Asquit,H Mendelson +1 more
TL;DR: In this article, the effect of the bid-ask spread on asset pricing was studied and it was shown that market-observed expexted return is an increasing and concave function of the spread.
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Distribution-Free Statistical Tests
TL;DR: Tests are grouped together primarily according to general type of mathematical derivation or type of statistical "information" used in'conducting the test, and mathematical interrelationships among the tests are indicated.