Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.

The Effect of Environmental and Social Performance on the Stock Performance of European Corporations

Abstract: This paper examines the effect of sustainability performance of European corporations on their stock performance, measured as the average monthly stock return from 1996 to 2001 The econometric analysis is based on common empirical asset pricing models, particularly on the multifactor model according to Fama and French (1993, Journal of Financial Economics, 33:3–56) The consideration of sustainability performance is two-fold: The average sustainability performance of the industry in which a corporation operates and the relative sustainability performance of a corporation within a given industry The main result is that the average environmental performance of the industry has a significantly positive influence on the stock performance In contrast, the average social performance of the industry has a significantly negative influence The variables of the relative environmental or social performance of a corporation within a given industry have no significant effect on the stock performance As a by-product, the econometric analysis implies that some results of Fama and French (1993, 1996, The Journal of Finance, LI (1):55–84) regarding the risk factors of the multifactor model need not hold true for different observation periods, for different stock markets, and for the use of single stocks (instead of portfolios)

Stock Market Reaction to Food Recalls

Abstract: The costs of food recalls are examined from the perspective of capital markets. A partial event analysis technique is used in this quantitative investigation of firm-specific repercussions of incidents of microbiological contamination of food. These recalls vary by product, company size and scope, and severity. Returns to shareholders fell in some cases, but stock market reaction was not discernible in other incidents. Effects on volatility of returns also are mixed. These findings point out the potentially distinct crisis management tools that would be used for reputation in the stock market versus measures to communicate with the general public.

Stock Market Reaction to Regulatory Action in the Continental Illinois Crisis

Abstract: Continental Illinois Corporation is a bank holding company whose principal subsidiary is Continental Illinois National Bank, a wholesale unit bank.' In December 1983, it was the eighth largest bank in the United States and the largest in the Midwest. It had assets of $42.1 billion, 75% of which were financed by rate sensitive liabilities.2 Restricted by Illinois law from branching, Continental relied heavily on large deposits from other domestic banks (about 16%) and on foreign deposits (40%). These were liquid short-term deposits, and their withdrawal was the precipitating factor in the virtual collapse of the bank in May 1984. Moreover, insured deposits amounted to only $3 billion (Isaac 1984, p. 3). Thus Continental Illinois was bearing high liquidity risk and interest rate risk, relative to other money center banks. This study examines the stock market reaction to the Continental Illinois crisis and the regulatory action taken in response to that crisis. Through the use of stock market data, this study reveals that there was significant market response to the crisis in terms of both negative abnormal returns and positive abnormal volume of trading. The most significant effect was found in those banks that had a large amount of Latin American debt and other nonperforming assets. But while there was a clear market reaction to information revealed in the crisis about banks' asset quality and regulatory policy, depositors apparently did not withdraw funds in the massive way that regulators anticipated. * I am grateful for the comments and suggestions of Joseph Aharony, Gabriel Hawawini, Barbara Paul, Ramon Rabinovitch, Anthony Saunders, Henny Sender, and the referees of this Journal. 1. The distinction between the holding company and the bank is an important regulatory issue in the Continental Illinois crisis and is discussed later (see Black, Miller, and Posner 1978; Swary 1983). The terms "bank" and "holding company" are used interchangeably. 2. For various measures of these risks and an industry comparison, see Bank Analysts' Quarterly Handbook (1984).

New York Stock Exchange Systems and Trading Procedures

Abstract: This paper is an expanded and updated version of NYSE Working Paper "Orders, Trades, Reports and Quotes at the New York Stock Exchange." The comments and opinions contained in this paper are those of the authors and do not necessarily reflect those of the directors, members or officers of the New York Stock Exchange, Inc. This paper does not constitute an official statement and interpretation of Exchange rules and procedures and it has no legal standing. Whenever possible, the paper provides citations to official sources. Preface This paper provides a selective description of New York Stock Exchange systems, trading rules and procedures. The paper's primary objective is to provide researchers with a detailed institutional framework for studying quote and transaction data generated by U.S. securities trading. It is also meant to serve as a guide to the New York Stock Exchange system, for economics, business and legal scholars needing a reference aid for their research. Among the topics examined are: order entry and execution, trade and quote reporting, the audit trail, SuperDot, the Intermarket Trading System, crossing orders and the upstairs positioning of large block trades. The paper provides descriptions of New York Stock Exchange systems, rules and procedures that are constantly changing, as they were at the beginning of 1993.

Does Risk Sharing Motivate Interdealer Trading

Abstract: We use unique data from the London Stock Exchange to test whether interdealer trade facilitates inventory risk sharing among dealers. We develop a methodology that focuses on periods of “extreme” inventories—inventory cycles. We further distinguish between inventory cycles that are unanticipated and those that are anticipated because of “worked” orders. The pattern of interdealer trade during inventory cycles matches theoretical predictions for the direction of trade and the inventories of trade counterparts. We also show that London dealers receive higher trading revenues for taking larger positions.