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PurposeToday, information systems and technology provides a wide set of tools for companies to increase the efficiency of their businesses. Although technology offers many benefits to businesses, it also brings risks as the information systems security breaches. Security breaches and their financial impact is a constant concern of the researchers and practitioners. This paper explores information systems breaches and their financial impacts on the publicly traded companies in different sectors.Design/methodology/approachAfter a comprehensive data collection process, data from 192 events are analyzed by employing Event Study Methodology and a comparison of the results between the four highly affected sectors (Consumer Goods, Technology, Financial and Communications) is presented. The abnormal returns on the prices of stocks after the events are calculated with the Market Model. Also, the results of the Market Adjusted Model and Mean Adjusted Model are presented to support the results.FindingsWhile information systems security breaches have a significant negative impact on the Financials and the Technology sectors for all the event windows in the study ([−5, 0], [−5, 1], [−5, 5], and [−5, 10]), the significant negative impact is observed only on the [−5, 5] and [−5, 10] event windows for the Consumer Goods sector. No significant negative impact is observed in the Communications sector, in fact, the cumulative abnormal returns are positive for this sector.Originality/valueThe contribution of this paper to provide evidence about the financial impacts of the information systems breaches for businesses in different sectors. While there are studies that have previously focused on the information systems breaches and their financial impacts on businesses, to the best of our knowledge, this is the first study that compares this effect between the four highly impacted sectors. With a relatively larger sample size and broader event windows than the past studies in the literature, statistical evidence is provided to managers to justify their investments in information security and build preventive measures to secure the market value of their firms.

Using an event study methodology, we investigate how unexpected political events affect climate-sensitive sectors. We find that events related to climate change policy have significantly impacted r...

Motivated by the risen linkage between events and Bitcoin return, this paper first defines Bitcoin-related events (BREs) based on the change points analysis and then divides these events into two categories. Furthermore, we model the impact of BREs on the Bitcoin market activities, using an event study methodology and a GARCH-X model. Empirical results show that the shock directions of Bitcoin-related events on Bitcoin price are heavily correlative with types of events. Additionally, there is a significant positive influence of domestic events on reaction volatility, whereas the foreign events impose their influences on both the expectations of market reactions and volatility.

Although there is a plethora of studies which examine the impact of the COVID-19 pandemic on India's financial sector, we contribute by investigating the effect of the ongoing COVID-19 pandemic on stock returns of Indian pharmaceutical companies. By employing an event study methodology, our results indicate that the average returns of the pharmaceutical sector are positive during the COVID-19 phase although mixed evidence is found at the firm level. This finding is also robust to alternative model specifications. © 2021 Bank Indonesia Institute. All rights reserved.

This study uses stock market data to examine whether China’s Environmental Protection Tax Law (EPT Law) effectively influences firms’ environmental behavior. Using the event study methodology, we f...

PurposeThe purpose of this research is to study the impact of divestitures on shareholder wealth. This study covers selloffs of publicly traded companies in Germany, Austria and Switzerland (DACH region) during the period 2002–2018. It aims to understand the overall effect of selloffs on shareholder wealth as well as the impact of important influencing factors.Design/methodology/approachThis study is part of capital market studies which investigate shareholder wealth effects (abnormal returns) using event study methodology. To determine the significance of abnormal returns, a standardized cross-sectional test as suggested by Boehmer et al. (1991) was applied. The sample consists of 393 selloffs of publicly traded companies with a deal value of at least EUR 10m.FindingsThe findings confirm the overall positive impact of selloffs on shareholder wealth. The average abnormal return on the announcement day of the sample companies amounts to 1.33%. The type of buyer, the relative size of the transaction as well as the financial situation of the seller in particular seem to influence abnormal returns positively.Originality/valueThis study investigates shareholder wealth creation through selloffs in the DACH region, a largely neglected region in divestiture research, but now very relevant due to increasing pressure of active foreign investors. Sophisticated statistical methods were used to generate robust findings, which are in line with the results of similar studies for the US and the UK.

International audience; Since cryptocurrencies were first created, the related markets have been known for their fluctuations, whether in terms of high volatility or illiquidity. Partially for those reasons, public authorities and regulators around the world have frequently attempted to regulate those markets. We aim in our study to examine whether cryptocurrency traders perceive market regulation in a beneficial way. Using an event study methodology for daily data covering the 2015-2019 period, we assess how regulatory news and events have affected returns in cryptocurrency markets. We further assess whether financial cryptocurrency characteristics and in particular their liquidity can explain cross-sectional variations in cryptocurrency return reactions. The results suggest that events that increase the probability of regulation adoption are associated with negative abnormal returns for the cryptocurrencies concerned. We also find that the magnitude of the return reactions is not the same across all the cryptocurrencies in our sample. We show that investors reacted less negatively for the most illiquid cryptocurrencies and for those that incurred more information asymmetry risk. Finally, we analyze a longer-term effect of regulatory events by studying the performance of cryptocurrencies. The risk-adjusted return in the preevent period is positive and significant, but it appears not to be significantly different from zero in the post-event period.

The growing threat of cyber breach as become one of the most feared risks corporations around the world are currently dealing with. The dynamic nature of cyber risk, along with evolving global regulations, necessitates that corporate management strategically address cyber risk to minimize effects on corporate value. This paper uses event study methodology to analyze global shareholder value effects of cyber breaches occurring between the periods 1990 to 2019. Cumulative Average Returns (CARs) are calculated by country, and in aggregate, from first notice date to periods of up to 90 days post announcement to compare short term and long term effects of cyber breaches on stock price. Similar to other smaller studies, results for this much larger data set show significant negative returns for US corporations in all sample windows. However, the changes in shareholder value are much smaller than were previously seen in other studies. Unlike its US counterparts, short term results for the five major non-US countries in this sample show no significant changes to price as a result of cyber breach announcements, even though the non-US firms also trade on US exchanges. Long term results for the aggregate non-US sample show significance only at the 0 to 30 day window. Long term results for some of the individual countries do support some various positive and negative event windows, but no common patterns are seen among countries. These results point to differences in how news of a cyber breach, by country, is perceived in the market. These results are interesting in that they also follow some of the patterns that insurance companies have seen in the reticent buying habits of global companies with respect to cyber insurance worldwide.

Purpose The purpose of this paper is to analyse the impact of spin-off announcements on the parent firm’s share prices. Also, it is studied that during which period the announcement impacts the share prices significantly thereby affecting the shareholder wealth. Design/methodology/approach A sample of 76 Indian firms has been taken which announced the spin-off of their one or more divisions during 2010–2011 to 2015–2016. The authors have used the event study methodology with an event window period of −35 to +35. Estimation window of 256 (−290, −35) days is considered in the study. S&P BSE 500 is used as a market index. Findings The authors found that spin-offs have a significantly positive influence on the share prices of the parent firm. The authors also found that average abnormal return (AAR) of all the 76 companies taken together have been highest on day 0 and the cumulative AAR is highest for day +1. These results are in consonance with what had been concluded by Hite and Owers (1983), Cusatis et al. (1993), Miles and Rosenfeld (1983) and Rosenfeld (1984). All these studies are based on the data derived from the USA. Outcome of this study substantiates the same results when Indian spin-offs are analysed. Originality/value This paper provides the first comprehensive analysis of the impact of Indian spin-offs on the shareholder’s wealth.

This study investigates whether uncertain events affect stock market outcomes. To perform a natural experiment, we measure the effect of the uncertain event of Jamal Khashoggi’s disappearance on the Saudi Stock Exchange. We use traditional event-study methodologies to analyse the data. The findings indicate that this event supports a downward trend in cumulative abnormal returns across all companies, implying a negative effect of uncertainty on stock returns.

This study examines the market reactions of Chinese stock markets to 28 announcements of financial innovation regulations in the period of 2008–2015. Using a well-established event study methodology, we observe average positive market reactions to regulations, thus implying positive impacts of regulations on firm operations. We refer to such an impact as an ‘innovation effect’. Such an effect inversely relates to managerial characteristics (managerial financial connections and political connections). Managerial characteristics have worse influences on market reactions for Non-State-Owned Enterprises (Non-SOEs) than for SOEs. Our results are robust to diverse fixed-effects and potential endogeneity issues.

Purpose The purpose of this paper is to explore if hedge fund variables (HFVs) are associated with long-run compounded raw returns (CRRs) for seasoned equity offering (SEO) firms for a six-year window around the offering month for firms undergoing SEOs. Design/methodology/approach The event study methodology is used to calculate long-run CRRs that are used in a regression model as dependent variables. Independent variables include HFVs and nonhedge fund variables (NFVs) with standard errors clustered at the month level. Findings Three new long-run findings, consistent with recent short-run findings, are offered. First, HFVs are significantly associated with long-run CRRs for SEO firms. Second, HFVs perform competitively compared to NFVs. Third, a potential omitted-variable bias results if HFVs are not used. Research limitations/implications This research assumes that hedge fund managers can identify good (poor) performing SEO firm that allow for profitable long (short) positions. The proportion of hedge funds using a strategy will change in the hypothesized manner needed to make profit. Practical implications Hedge fund managers can use long-run strategies to capitalize on price movements around significant corporate events. Social implications Larger institutional traders have investment advantages due to superior knowledge and greater ability to manipulate prices. Originality/value This research is the first study to detail the significant association between hedge fund stratagems and long-run stock returns for firms undergoing key corporate events. This study demonstrates the need to consider hedge fund strategies when trying to understand stock price movements.

This study investigates US industry-based price response to domestic natural disasters over the period 1960–2015. Using an event study methodology, we estimate pre-, during and post-disaster impacts. We document a slower response in the pre-disaster period than in the post-disaster period. We further find that industries react differently to the same disaster and that reactions are not always negative. For example, meteorological disasters have a positive (negative) market impact on Gold (Banking). Moreover, we provide evidence that not every industry responds similarly to different disasters, e.g., Gold reacts positively (negatively) to meteorological (geophysical) disasters.

Technological development and digitalization plays a crucial role in financial sector by allowing firms to create value in a rapidly changing environment. The acquisitions of firms related to financial technologies are one of the ways to obtain vital knowledge. In order to identify the fintech companies we are looking at firms that are involved in business activities in both the IT and financial sectors. By examining the growing role of fintech firms in the recent mergers and acquisitions from an investor point of view, this paper contributes to the existing literature by investigating the post-acquisition performance of the acquirer firms measured by abnormal returns. We discovered significant positive average abnormal return after acquisition of fintech companies in the short-term and negative average abnormal return in the long-term using event study methodology. The specifics of cross-border acquisitions, the level of the domestic market development of the acquirer, and other characteristics of M&A deals are considered in order to explain the reaction of investors to announcements of fintech firms’ acquisitions. The determinants of corresponding M&A deals in emerging and developed markets were revealed.

This study looks into the role of corporate life cycle on market discounts and firm performance in private placements. Using the standard event study methodology with 1854 private placements, this study finds that issuing firms on average offer discounts to their investors. While growth firms obtain higher returns around the issuance of private placements, these growth firms generate poor long run post-announcement returns. The results suggest that investors may be over-optimistic to future prospects for growth firms. As old firms generally obtain higher returns in premium offers, the evidence suggests that managers of old firms would put more efforts in managing their firms after private placements. Overall, the evidence indicates that corporate life cycle can play a role to influence firm performance in private placements. The empirical findings shed lights on the importance of corporate life cycle on firm performance in private placements.

The objective of this paper is to examine whether terror attacks that took place in the Eurozone in the 21st century had a significant effect on the price of the Euro. Its novelty is twofold: it is the first study that assesses the impact of such events on the price of the Euro and employs a relatively large number of these events. The event-study methodology is used to deduce whether, after a terror event, the value of the Euro declines vs. other major currencies. We found that it does not, since following such an event, the decline was seldom over 0.5%. We also found, however, evidence of some diversion to safe-haven currencies, such as the Swiss Franc. Regression analysis revealed that factors such as the ‘number of attacks’, the ‘type of target’ and the ‘type of attack’, but not the number of casualties, affected the price of the Euro.

We propose a new and direct measure of firms’ political connections under the Chinese political system, namely, the first-time elections of corporate executives as deputies to the National People's Congress. We use the event study methodology to estimate the value of political connections and firm value in China. We find that an executive's first-time election as a deputy is associated with positive abnormal returns following the announcement of elections, and such abnormal returns are more significant for private firms than for state-owned firms. Our results provide new evidence on the value of political connections.

We argue that the analysis of multiple political connections in an event study framework can improve the study of institutional change. Based on a unique dataset of multiple political relationships of 4,936 South Korean board of director members, we show that the large business conglomerates, the chaebol, did not benefit from the unexpected conservative election victories in the 2012 South Korean parliamentary and presidential elections. By contrast, personal connections to candidates and to the opposition party were still considered to matter for small firms. Our findings suggest that Korea's political economy has evolved into a hybrid regime in which the political power of large multinational corporations is limited, but the influence of political connections is still relevant for smaller firms. The corruption scandal that led to the impeachment of President Park in 2017 and the long‐term development of market capitalization appear to be congruent with the results of our study.

This paper assesses the effects of the unconventional monetary policies taken by the European Central Bank, the Bank of England and the Federal Reserve on European securities markets. Using the event study methodology, we evaluate the price reaction of market indices around the announcement dates from 2008 to 2018. Our results show that the impact is mixed on European government bonds, but positive and significant on stocks, with some evidence of international spillovers. We also find that coordinated policy actions exert a stronger influence than individual measures. Furthermore, the announcements generate surprise effects, albeit with a different magnitude and direction.

Theory predicts that bank loan announcements could increase share prices of loan recipients through a certification effect. We provide complementary evidence using the novel market setting of project finance loans. Since the loans are off-balance-sheet, there should be no certification effect. Applying an event study methodology and the Carhart 4-factor model to a large international dataset, we find that project sponsors do not experience positive abnormal returns after announcements, but lenders do. We also find that sponsors and lenders tend to experience greater equity return volatility after announcements.

This paper examines the impact of reclassifying equity Real Estate Investment Trust (REITs) in the S&P 500 by transferring them from the Financials sector to a new Global Industry Classification Standard sector named Real Estate in an event-study context. The creation of the new sector had a significant impact on REITs included in the new Real Estate sector. Prior to the event date, REITs experienced significant negative returns. But after the event date, REITs also experienced significant positive returns which dissipated over time. The returns prior to (after) the event date would have resulted in a retail investor incurring losses (gains). While the magnitude of the trading volume increased noticeably prior to the event date, overall trading volume was not discernibly impacted.

The importance of sovereign credit ratings and Eurobonds issued by governments have come to the fore in Africa in the last decade. We examine whether changes in sovereign credit ratings impact Eurobond yields in 8 countries over the period of 2014–2019. Our approach reviews rating changes impact on Eurobond yields utilising the event study methodology. Our findings reflect that, on average, close to a third of rating actions directly impact bond yields in African countries. The statistically significant events include the downgrades of South Africa and Namibia to non-investment grade in 2017 reflecting critical transitions and bond investors’ reactions. Overall, the low percentage of a third, relative to previous international studies, suggests that largely rating changes are anticipated, do not have much new information and perhaps the perceived power of credit rating agencies may be overstated. In our view, the results reflect that pre-announcements of rating review dates since 2014 makes rating actions predictable and less impactful to bond yields. In addition, they reflect that bond investors adjust in real time as new information come in, resulting in less reliance on the opinions of CRAs and using their own assessments.

This paper examines the alignment between initial price reaction and post-cross-listing performance for non-American firms cross-listed in the U.S. Using an event study methodology, we show that, while cross-listed firms exhibit long-term performance, short-term valuation gain is more important. We also find a significant difference between short and long-term price reactions, explained by legal investor protection considerations. Additional analysis shows that the change in the U.S. regulatory environment has no diminishing effect on cross-listing economic benefits. We also show more important short-run price reactions in crisis time, leading to more significant misalignment between short and long-term performance. Our results are robust to several control firm and country characteristics.

We investigate whether election of Donald Trump as the president of the United States of America (the US) and subsequent changes in environmental policies and regulations affected any of the 49 different industry sectors in the US. We analyze 19 different events during Trump’s tenure that were mainly rollbacks of previously created regulations and policies. To analyze stock market effects, an event study methodology is used to assess industry reactions. We assume that Trump loosened environmental regulations and policies to strengthen the US economy. Results show that the lax enforcement of environmental regulations and policies was not effective. Only the coal industry can be considered a beneficiary because it experienced repetitive significant positive abnormal returns, whereas other industries experienced mixed or negative reactions or discontinuous positive reactions. Our results contribute to the extant literature on the US environmental policy within the scope of industry.

This paper examines the impact of the Sino-US trade and non-trade disputes on Chinese stock market. By employing the event study methodology, we investigate the abnormal returns in Chinese stock market and identify the actions which are in favor of and against bilateral relations between US and China. We find that: (1) The negative actions of the United States and positive actions of China exert significant negative effects on Chinese stock market, while the positive actions of the United States and negative moves of China are opposite. (2) The effects of Sino-US non-trade disputes are similar to that of trade disputes, but the impact of non-trade disputes is statistically significantly greater than that of trade disputes. (3) China's moves incur a greater impact than the United States. We also find that most of the industries affected by the US actions are directly sanctioned by the United States, such as media, computer application and computer and electronic equipment industries, while the industries affected by China's actions are mostly related to people's livelihood such as energy, media, food, beverage and tobacco and utility industries. Our findings are statistically robust and have economic significance for investors to make trading strategies and Chinese policy makers to maintain financial market stability.

We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004–2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004–2006), second (2007–2009), and third (2010–2020) period. We find that liquidity improvement is short-lived in the first and second periods, while it is a long-lived phenomenon in the third period. Firms in the first and second period experienced liquidity improvement only on the split announcement day, while it lasts up to a year after the Ex-date for firms in the third period. Our findings also show a liquidity improvement after the Ex-date only in the third period for the groups of firms categorized based on the liquidity, split factor, and other simultaneous announcements. The findings suggest a positive effect of stock split rule changes implemented by the Securities Commission.

This study examines the performance of glamour versus value firms in M&As. Specifically, the current study takes into account the market timing to explore the performance of glamour versus value firms in M&As. Using the standard event study methodology with 1109 targets and 6980 bidders during the 2000–2013 period, the results show that glamour (value) firms are more likely to choose the hot (cold) market condition to engage in M&As for both targets and bidders. The evidence also reveals that the performance of glamour versus value firms is less sensitive to the market timing for targets. While glamour bidding firms obtain lower announcement returns, the losses are even more significant during long run post-announcement period. A further analysis indicates that bidders in general experience negative announcement returns in the hot market irrespective of glamour versus value firms. While glamour bidding firms obtain lower post-announcement returns in the hot market relative to their value counterparts, glamour bidders generate higher post-announcement returns during the cold market than value bidders. The regression analysis finds consistent results for bidders. Overall, this study sheds lights on the importance of the market timing on the performance of glamour versus value firms in M&As.

This paper provides a comprehensive analysis of the impacts of Japan’s 2011 earthquake on 19 stock market sector returns in Japan and its trading partners both in the short and long run. Using an event study methodology, we find that the impact of this event was not limited to Japan or industries directly hit by the earthquake. Our short-run analysis indicates that all sector indices in Japan and many in its trading partners were affected by the earthquake. The direction of the impact on trading partners, however, was not the same for all sectors; while the earthquake adversely affected the majority of the sectors analyzed, some sectors benefited. Further, we find that the magnitude of the abnormal returns did not systematically vary across trading partners according to their shares in Japan’s trade flow. The long-run analysis reveals how the consequences of the earthquake unfolded beyond the event date.

Purpose The purpose of this paper is to examine the common stock price reaction and the changes to the risk exposure of the cross-listing for real estate investment trusts (REITs). Design/methodology/approach The paper adopts the event study methodology to assess the abnormal returns (ARs). Pre- and post-cross-listing changes in the risk exposure for the domestic and foreign markets are examined, via a modified two-factor international asset pricing model. A comparison is made for two broad cross-listings, namely, the depositary receipts and the dual ordinary listings, to examine the impacts from institutional differences. Findings Cross-listed REITs generally experience positive and significant ARs throughout the event window, implying significant superior returns associated with the cross-listing for REITs. On systematic risks, REITs exhibit significant decline in their domestic market β coefficients after the cross-listing. However, the foreign market β coefficients do not yield conclusive evidence when compared across the sample. Research limitations/implications Results are consistent with prudential asset allocation for potential diversification gains from the cross-listing, as the reduction from the domestic market beta is more significant than changes in the foreign market beta. Practical implications The results and findings should incentivise REIT managers to explore viable cross-listing. Social implications Such cross-listing for REITs should enhance risk diversification. Originality/value This is a pioneer study on cross-listing of REITs. It provides a basis for investment decision making, and could provoke further research and discussion.

This study analyzes the impact on housing price growth of targeted macroprudential policies—specifically limits on the loan-to-value (LTV) and debt-to-income (DTI) ratios in Korea, one of the few developed countries with relatively long and successful experience in implementing these policies. Using an event study methodology with real-transaction data for a monthly panel of 73 districts, we find that DTI limits play important roles in stabilizing housing prices than LTV limits. The loosening of both DTI and LTV limits boosts house price growth whereas the tightening only of DTI limits reverses it. After factors other than implementation of these regulations are controlled for, the results are robust except for the cases of LTV loosening. Furthermore, we uncover that the levels of and extents of changes LTV limits are important factors that can amplify or reduce the regulation effects. Overall, the results suggest that macroprudential policies, especially DTI limits, can be useful tools for curbing excessive household debt and subsequent house price bubbles.

The winner’s curse is often associated with acquisitions of publicly-traded firms but not with private acquisitions. Using an event study methodology for over 22,000 private acquisitions of U.S. firms between 1985 and 2015, we examine a possible winner’s curse for such acquisitions. While the average return to private acquisitions is slightly positive, fully 46% of acquirers experience statistically significant negative abnormal announcement returns, strongly suggesting a winner’s curse. We also find that acquirer competition, informational asymmetries, and overconfidence all reduce announcement returns, which is consistent with the winner’s curse. In addition, we carry out a comparative analysis of acquisitions of publicly-traded targets and find a statistically significant negative average return, as is consistent with much previous work. We find that 54% of acquirers of publicly-traded firms obtain statistically significant negative returns, suggesting a stronger winner’s curse for public than for private acquisitions.

This article examines the Japanese government’s ‘Project for Green Consumer Electronics to Promote Business through the Use of Eco-points’ and its economic impact on consumer electronics firms’ stock prices. There has been little research on the economic effect of this project. In order to achieve our aim, we employ event study methodology. Our results show that stock prices responded positively to programme adoption, thereby indicating that the programme had positive effects on the related firms’ performance. The results also show that the programme’s economic effects gradually decreased over each subsequent programme extension. This probably occurred because the programme targeted durable goods, which consumers do not replace frequently.

According to a recent survey by McKinsey and Company, the Indian manufacturing sector is expected to touch US$ 1 trillion by 2025.This study analyses the impact of the announcement of cash dividends on the stock price returns of the manufacturing companies listed on Bombay Stock Exchange using event study methodology. Further, it explores whether the US financial crisis recession impacted average abnormal returns (AARs) in the period of study. The empirical results show that cash dividend announcements have positive AARs. Overall, the results lend support to the signalling and informational content hypotheses of dividends. The paired samples t-test indicates a significant difference in the mean values of AARs in the pre-and post-recession phases, highlighting the impact of recession.

The objective of this paper is to analyse the significance of a change in dividend payment frequency. We initially argue that a change in dividend payment frequency is significant and relevant in the same manner as a change in dividend policy. We analyse the subject using an event study of Sechaba Holdings, a firm listed on the Botswana Exchange` that decided to change its dividend payment frequency from quarterly to bi-annual payment to examine the subject. We specifically used an event study methodology that analyses the significance of abnormal returns that occurred during the event period. The study revealed that the firm’s decision to change its dividend payment frequency did not significantly affect abnormal returns during the event period. The study therefore contradicted our initial argument that a change in dividend payment frequency is significant and relevant.

The Brexit referendum may result in new border controls and a separation of Great Britain from the EU and Continental Europe. These consequences will impede the import and export of goods and can therefore have a strong effect on the valuation of logistic companies. We employ event study methodology and regression analysis, examining 107 logistic companies from continental EU countries and Great Britain. While the results indicate an overall negative value effect, UK based companies have a significantly poorer performance than logistic companies from Continental Europe. Companies that focus on the road transport as well as diversified firms are less affected.

Informed trading has a strong liaison with the options market, as the risk in the options market is limited to the premium, leverage is high and the transaction cost is less. The purpose of this paper is to analyze the effect of options availability on the informed trading, occurring well before the merger and acquisition (M&A) announcements along with the crisis period and regulation effect.,The study employs event study methodology for 864 M&A announcements done by Indian acquiring companies in order to compute the abnormal returns and also examine the implied volatility and volume of call, putting options for the robustness check.,The results indicate that option listing status increases the possibility and magnitude of informed trading in the M&As, which gets more/less pronounced during and immediately after the crisis period when new regulatory reforms are introduced.,This study contributes to the efficient market theory and affirms that stock market of acquiring companies in India follow a semi-strong form of market efficiency around M&A announcements in the presence of options market.

We examine the effect of the introduction of Morningstar’s Sustainability Rating in March 2016 on U.S. mutual equity fund flows. Using panel regressions, propensity score matching, and an event study methodology we find strong and robust evidence that retail investors shift money away from low-rated and into high-rated funds. The effect is driven by the publication of the Morningstar Sustainability Rating and not due to a general attractiveness of sustainable funds. Institutional investors do not react to the publication of the Rating. We estimate that an average high-rated retail fund receives between $ 4.1 million and $ 10.1 million higher inflows and an average low-rated retail fund suffers from $ 1.0 million to $ 5.0 million lower net flows than an average-rated fund during the first year after the Rating was published.

© 2019 Elsevier B.V. Market microstructure data availability has significantly improved over time and it is now possible to estimate liquidity measures at the nanosecond level. However, this level of data is unavailable in all markets and time periods and there is a significant cost and computational burden of high-frequency data. Goyenko et al. (2009) and Fong et al. (2017) show that various low-frequency liquidity measures can proxy for high-frequency benchmarks and show that the results are robust across countries and time. However, liquidity measures do not always behave in the expected fashion during periods of information asymmetry (Collin-Dufresne and Fos, 2015). Drawing from Ball and Brown (1968), we use an event study methodology to investigate whether the low-frequency measures of liquidity can proxy for high-frequency measures around earnings announcements (i.e., periods of information asymmetry). We find that the Closing-Price-Quoted-Spread is the best proxy for the percent-cost high-frequency benchmarks. In contrast, using cross-sectional, portfolio and individual time-series correlations the most consistent low-frequency cost-per-dollar proxies are the High-Low-Impact and Closing-Price-Quoted-Spread-Impact, however, the performance of these proxies weakens in the pre- and post-announcement periods around the earnings announcement.