In China's securities market, the performance of stock price of ex-SEO and post-SEO is different from that of developed market, which there is significant positive abnormal return (AR) after SEO has done.
In order to investigate whether the stock market react to the environmental disclosure events, the abnormal return of stock prices (ARit), the average abnormal return of stock prices (AARt) and the accumulate average abnormal return of stock prices (CAART) are computed and statistical tested.
This paper investigates 121 listed companies which change investment project of fund raised in Chinese stock market of 2004. Through calculate market abnormal return we find that there is generally a significant negative effect during the period of announcement, but it was insignificance when considering the every-day abnormal return during the process.
This paper also analyzed the factors which affect the reaction of abnormal return, and we find that the percentage of bonus shares in the reform plan, the market value of tradable shares, the stock price, the special commitment of non-tradable shareholders and the supporting rate of tradable shareholders to the reform plan are the main factors.
5th, analysis influence factor of abnormal return of rename stocks in 2000 and 2001, discovering abnormal return is not obvious relevance with company's management achievement, year, the different exchange, but hasremarkable inverse correlation with company scale and company's stock price.
The paper uses the abnormal return to measure the announcement effect with market-adjusted returns method over a two-day period, and get the result of the significant negative 2.289%, which approves the announcement effect also occurs in China.
The writer compares the respond of high cash dividend with that of low cash dividend, the cumulative abnormal return(CAR) as the index, finding that the responds of the two styles are completely different.
We find that the change of executive's compensation is significantly positively correlated with corporate performance of the current year and instably positively correlated with the change of corporate performance, the executive's average compensation increases by only RMB 3.8 with the shareholder's value increasing by RMB 1,000,000, the executive's average compensation increases by 1.58% with the firm's abnormal return rate increasing by 10%.
This paper examines index effects of Shanghai Stock 50 Index using indexreplacements information by January 2006. The empirical results show that, whencomposite stock enrolls index, at announcement day abnormal return rate is consistentwith anticipated income return, but ratio is on the small side.
2) During the term of test, the trend of six portfolios reverse, most of daily return being negative, and cumulate abnormal return being prominently negative, which is suited with our noise trading model.
The unconditional probability of abnormal return is estimated by the EM algorithm.
This paper investigates the determinants of leveraged buyout activity through the use of an abnormal return premium from the time of the first announcement through the final trading day.
Specifically, the issuance of SEOs with warrant-based compensation has a significantly less negative impact on abnormal return performance than the issuance of SEOs with cash-based compensation.
The 'after-transaction cost' abnormal return from the short strategy is about 0.5% for the period 1946-94.
It concludes that tests which use the announcing firm's abnormal return to proxy for the information signal generally overstate the significance of information transfer due to cross-covariation of regression disturbances.