The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts.However,only a limited number of free tools are...The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts.However,only a limited number of free tools are available for this purpose.Given this lack of tools,the present study provides two approaches to facilitate the implementa-tion of an event study.The first approach consists of a set of MS Excel files based on the Fama–French five-factor model,which allows the application of the event study methodology in a semi-automatic manner.The second approach is an open-source R-programmed tool through which results can be obtained in the context of an event study without the need for programming knowledge.This tool widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama–French five-factor model but also other models that are common in the finan-cial literature.It is a user-friendly tool that enables reproducibility of the analysis and ensures that the calculations are free of manipulation errors.Both approaches are freely available and ready-to-use.展开更多
On April 29, 2005, the reform of non-tradable shares was started. 46 companies were selected as the first and second batches of non-tradable share pilot reform, and among them 45 pilot companies finished their non-tra...On April 29, 2005, the reform of non-tradable shares was started. 46 companies were selected as the first and second batches of non-tradable share pilot reform, and among them 45 pilot companies finished their non-tradable share reform. This study examines the abnormal stock returns of the 45 pilot companies finishing their non-tradable share reform to determine whether tradable shareholders gain profits from this non-tradable share reform. By employing event study analysis, we find that tradable shareholders do gain profits from the non-tradable share reform. The average abnormal return of the 45 pilot companies was 10.62% on the resumption trading day after they finished their non-tradable share reform, which was statistically significant. We also find that the average abnormal return of high-compensation package group is significantly higher than that of low-compensation package group.展开更多
This study is essentially an experiment on the control experiment in the August 1975 catastrophe which was the heaviest rainfall in China's Mainland with a maximum 24-h rainfall of 1060.3 mm, and it significantly ...This study is essentially an experiment on the control experiment in the August 1975 catastrophe which was the heaviest rainfall in China's Mainland with a maximum 24-h rainfall of 1060.3 mm, and it significantly demonstrates that the limited area model can still skillfully give reasonable results even only the conventional data are available. For such a heavy rainfall event, a grid length of 90 km is too large while 45 km seems acceptable. Under these two grid sizes, the cumulus parameterization scheme is evidently superior to the explicit scheme since it restricts instabilities such as CISK to limited extent. The high resolution scheme for the boundary treatment does not improve forecasts significantly.The experiments also revealed some interesting phenomena such as the forecast rainfall being too small while affecting synoptic system so deep as compared with observations. Another example is the severe deformation of synoptic systems both in initial conditions and forecast fields in the presence of complicated topography. Besides, the fixed boundary condition utilized in the experiments along with current domain coverage set some limitations to the model performances.展开更多
Introduction.The study of catastrophic events that affected past marine ecosystems provides us the unique opportunity to establish models which can be applied to ongoing environmental changes and to understand future ...Introduction.The study of catastrophic events that affected past marine ecosystems provides us the unique opportunity to establish models which can be applied to ongoing environmental changes and to understand future evolution of the biotas.The growing interest of the society for the ongoing and potential future environmental changes attests for the value represented by the analysis of past climatic changes.In the case of the Toarcian Oceanic Anoxic Event(T-OAE,Early Jurassic;~182 Ma),a dramatic change of marine ecosystems related to massive extinction has been documented in several areas around the world.The Pliensbachian–Toarcian transition and the T-OAE are two global episodes recording worldwide palaeoenvironmental perturbations(Jenkyns,1988;Jenkyns and Clayton,1997;Hesselbo et al.,2007).The end of the Pliensbachian regression is followed by a transgression occurring in the Early Toarcian(Haq et al.,1987;de Graciansky et al.,1999).This transgression was also coeval with a widespread deposition of black shales(Jenkyns,1988),a global warming(Garcia Joral et al.,2011;Korte and Hesselbo,2011;Suan et al.,2011),and perturbations of the carbon cycle indicated by a negative carbon isotopic excursion(CIE)documented in both marine and terrestrial material(Jenkyns and Clayton,1986;Schouten et al.,2000;Hesselbo et al.,2007;Al-Suwaidi et al.,2010;Caruthers et al.,2011;Izumi et al.,2012;Reolid,2014).展开更多
The COVID-19 pandemic caused an outbreak on the global productive chains,transforming companies and society in general.Governments adopted anticyclical policies such as basic interest rates reduction as response.Brazi...The COVID-19 pandemic caused an outbreak on the global productive chains,transforming companies and society in general.Governments adopted anticyclical policies such as basic interest rates reduction as response.Brazil basic interest rate is denominated Selic.The application of these policies requires the protagonist of bank’s financial intermediation.This study aims to verify two events-under the perspective of the efficient markets’theory.The first is the communication of the first death by COVID-19-and the subsequent,Selic rate reduction to 2%p.a.-and its effects on bank’s shares prices.The hypotheses presented are:H1-The announcement of the first death by COVID-19 negatively impacts the banks’shares returns and H2-The announcement of the Selic interest rate-during the COVID-19-positively impacts the return of the banks’shares.We adopt event study methodology in a final sample of nine and 15 banks to Events 1 and 2 respectively.The results confirm H1 as well as the semi-strong informational efficiency market.H2 is not confirmed.Results confirm the non-effectiveness of the anticyclical policy of basic interest rate reduction.This contributes to the discussion about the impacts of COVID-19 and the efficacy of anticyclical policies.展开更多
The enduring impact of the COVID-19 crisis on the financial sector is undeniable,persisting far beyond the eventual waning of the pandemic.This research examines central bank interventions during the pandemic,using a ...The enduring impact of the COVID-19 crisis on the financial sector is undeniable,persisting far beyond the eventual waning of the pandemic.This research examines central bank interventions during the pandemic,using a quantitative event study approach over a five-day window to analyse the impact of 188 monetary policy announcements on banking stocks in China,the U.S.,and Europe.Our results demonstrate how monetary policy announcements targeting different economic mechanisms have produced a diverse market reaction throughout the COVID-19 pandemic.Namely,cuts in interest rates and the maintenance of a low interest rate environment by the Federal Reserve resulted in negative abnormal returns in the U.S.A.,while short-term announcements surrounding intra-day credit and liquidity provisions boosted banking sector stock prices.In Europe,a muted reaction by the banking sector was observed,with negative abnormal returns observed in response to the ECB’s 2% inflation objectives.Finally,banking stocks in China responded strongly and positively to foreign currency and exchange-related announcements by the People’s Bank of China.The results and insights from this analysis can thus inform preparations made by policymakers,governments,and financial market stakeholders in the event of future waves of COVID-19,or further extreme societal disruptions.展开更多
This study aims to investigate whether Corporate Social Responsibility(CSR)activities reduce supply chain disruptions by examining the impact of the Suez Canal obstruction on the Ever Given container ship in March 202...This study aims to investigate whether Corporate Social Responsibility(CSR)activities reduce supply chain disruptions by examining the impact of the Suez Canal obstruction on the Ever Given container ship in March 2021.This study conclude that the more responsible companies have higher returns and are less affected by this event than the less responsible companies;the less responsible companies have lower returns.The companies with better CSR have a lower impact on their supply chains when faced with disruptions in the supply chain.展开更多
This research explored the effects of the coronavirus disease(COVID-19)outbreak on stock price movements of China’s tourism industry by using an event study method.The results showed that the crisis negatively impact...This research explored the effects of the coronavirus disease(COVID-19)outbreak on stock price movements of China’s tourism industry by using an event study method.The results showed that the crisis negatively impacted tourism sector stocks.Further quantile regression analyses supported the non-linear relationship between the government’s responses and stock returns.The results present that the resurgence of the virus in Beijing did bring about a short-term negative impact on the tourism industry.The empirical results can be used for future researchers to conduct a comparative study of cultural differences concerning government responses to the COVID-19.展开更多
Despite blockchain’s potential to transform corporations by providing new ways of organizing business processes and handling information,extant research pays inadequate attention to how and under what conditions bloc...Despite blockchain’s potential to transform corporations by providing new ways of organizing business processes and handling information,extant research pays inadequate attention to how and under what conditions blockchain technology provides additional financial value for shareholders.Drawing on the efficient market hypothesis and signaling theory,we examined the relationship between firms’blockchain use,development announcements,and stock market reactions.We used the event study methodology to analyze a sample of blockchain projects initiated by US firms between 2016 and 2019.The sample contains 114 firm-event observations.The findings show that the average abnormal return over a 2 days event period(including the day of the announcement and the day after the announcement)was positive.This positive stock market reaction is even more substantial when firms announce blockchain projects that focus on saving cost or time.Our findings also indicate that blockchain announcements tend to elicit more positive market reactions from smaller firms.We analyzed 249 firm-event observations containing firms from around the world and conclude that blockchain technology has a non-significant long-term impact on operating performance.The contingency approach adopted in our research provides advice for selecting the right mix of blockchain investment initiatives that is most suitable for a given organizational context.展开更多
This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis.The model r...This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis.The model reconciles empirically-observed price overreactions to fake news with empirically-observed price underreactions to real news,and predicts a novel secondary impact of fake news:that fake news in a security amplifies underreactions to subsequent real news for the security.Evaluating the model against a large-sample event study of the 2019 Chinese ADR Delisting Threat fake news and debunking event,this paper finds strong qualitative validation for its model’s dynamics and predictions.展开更多
The objective of this paper is to investigate whether mergers create value for shareholders in both the short and long term. For this purpose, 120 announcements of mergers that were registered in Italy during the peri...The objective of this paper is to investigate whether mergers create value for shareholders in both the short and long term. For this purpose, 120 announcements of mergers that were registered in Italy during the period 1994-2006 among listed companies were examined. The short-term analysis was conducted using the event study methodology in order to estimate the cumulative abnormal returns （CARs） in the time window around the announcement date （-10, ＋10）. In this work, the sample of 120 mergers was divided into two sub-samples： the first considers the mergers that were carried out in all sectors of the economy, and the second focuses only on bank mergers. From the results obtained it would appear that, while the sub-sample of all mergers registered a statistically significant value creation for the shareholders of both the bidder and target companies, values also confirmed by combined analysis, the second sub-sample registered negative values for bidder companies and positive values for target companies. Negative values also seem to be confirmed by the results of the combined analysis both at the date of announcement and throughout the entire period of observation. For the long-term analysis, the Buy and Hold Abnormal Returns （BHARs） methodology was used, with which it was possible to observe the returns for three years. In the 36 months following the merger, the portfolios showed a significant destruction of value展开更多
The Japanese Taxation Agency （JTA） introduced transfer pricing taxation （TPT） in order to suppress the outflow of profits and therefore taxes of Japanese companies, which are expanding overseas. There have been ma...The Japanese Taxation Agency （JTA） introduced transfer pricing taxation （TPT） in order to suppress the outflow of profits and therefore taxes of Japanese companies, which are expanding overseas. There have been many press reports regarding the application of TPT, and so there is much public attention on this issue. TPT is applied to unnatural transfer prices （TP）. If TPT is applied to a multinational company （MNC）, the company will need to bear enormous documentation costs in its calculation of the ratable price. In addition, in the last few years, the target of TPT is shifting to the overseas transfer of intangible assets, such as trademarks, royalties, patents, and charges income. As a result, companies have become more careful about TPT and investors tend to pay attention to companies＇ TPT strategy. With regard to this point, this paper examines how the market evaluates news regarding TP by investigating the market reaction to an initial press report mentioning that a firm was involved in a TP manipulation and may be guilty of tax underpayment. We examine these events both because press reports are currently under intense scrutiny and because there has been very little research on firms that engage in tax sheltering （see, e.g., Graham ＆ Tucker, 2006; Hanlon ＆ Slemrod, 2009）. Some view the fact that not all firms engage in tax sheltering as surprising because of the widespread view that shelters, at least in the 1990s, in expectation, offered a positive net present value position. The potential negative public relations effect is often cited as one reason for this ＂under-sheltering＂ phenomenon （Bankman, 2004）. On the event study analysis, we find that the Japanese capital market has shown a statistically significant negative reaction to the press reports. This result is due to a strong distrust of corporate activity regarding TP strategies. Moreover, in order to clarify the reason why the market responds to reports of TPT being applied, we compute the cumulative abnormal returns （CARs） around the date of the press report and conduct two-stage least-squares estimation to examine where this result regarding the market reaction comes from. Our results indicate that the variables for intangible assets and effective tax rate and the variables which represent the extent of corporate governance （CG） are statistically significant with respect to these reactions.展开更多
Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetar...Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.展开更多
The merger of Sainsbury’s and Asda caused huge impacts on Britain retail industry.Since the announcement that J Sainsbury plc would acquire Asda for £7.5 billion was published in April,2018,the changes in the UK...The merger of Sainsbury’s and Asda caused huge impacts on Britain retail industry.Since the announcement that J Sainsbury plc would acquire Asda for £7.5 billion was published in April,2018,the changes in the UK grocery market have been discussed and questioned.And the grocery market in UK will be reordered without doubt.This essay firstly introduces Sainsbury by using Pestle model,then aims to figure out the type and the benefits of this M&A,analyze the market response and how investors react to this event in the first two parts.In the third and the last part,we aim to explain why the CMA blocked the merge.展开更多
Given the importance of web search volume for reflecting tourists'preferences for certain tourism services and destinations,incorporating these data into forecasting models can significantly improve forecasting pe...Given the importance of web search volume for reflecting tourists'preferences for certain tourism services and destinations,incorporating these data into forecasting models can significantly improve forecasting performance.This study enriches the literature on tourism demand forecasting and tourists'search behavior through segmented Baidu search volume data.First,this study divides Baidu search volume data based on volume sources and periods.Then,by analyzing the most relevant keywords in tourism demand in different segments,this study captures the dynamic characteristics of tourist search behavior.Finally,this study adopts a series of econometric and machine learning models to further improve the performance of tourism demand and forecasting.The findings indicate that tourists’search behavior has changed significantly with the prevalence and popularization of 4G technology and suggest that search volume improves forecasting performance,especially search volume on mobile terminals,from 2014M1–2019M12.展开更多
Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can...Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies,fluctuations in the underlying stocks of the Chinese stock market,and decision support for the formulation and revision of relevant policies.This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period,the excess return gap between the stocks which are in the program and which are not in the program,and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks.Based on the CAPM model and the Fama-French 3-factor model,this paper uses t test to study the significance of the abnormal rate of return.By establishing a difference-in-difference(DID)model,the regression of the abnormal rate of return is tested,and the sample volatility is analyzed according to the influence of the fund transaction.The study found that the stocks in the program have significant abnormal rate of returns during the window period.The Shanghai Stock Connect has brought about a huge change in transaction amount,and policy makers need to improve related and similar policies.展开更多
The aim of this paper is to verify if the M＆As implemented in the past decade in the banking sector have created value for shareholders. For this purpose a sample of 72 deals carded out during the period of 1994-2005...The aim of this paper is to verify if the M＆As implemented in the past decade in the banking sector have created value for shareholders. For this purpose a sample of 72 deals carded out during the period of 1994-2005 were examined using the ＂event study＂ methodology. These deals were subdivided into three sections： acquisitions, mergers and M＆As. The results obtained seem to suggest a creation of value for the target companies and a destruction of value for the bidders in all three cases. From the analysis of the combined values, on the other hand, a significant destruction of value is deduced in both mergers and in M＆As.展开更多
基金the Secretaria d’Universitats i Recerca del Departament d’Empresa i Coneixement of the Catalan government,and to Universitat Ramon Llull for their financial support.The financial support for this work did not influence its outcome.
文摘The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts.However,only a limited number of free tools are available for this purpose.Given this lack of tools,the present study provides two approaches to facilitate the implementa-tion of an event study.The first approach consists of a set of MS Excel files based on the Fama–French five-factor model,which allows the application of the event study methodology in a semi-automatic manner.The second approach is an open-source R-programmed tool through which results can be obtained in the context of an event study without the need for programming knowledge.This tool widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama–French five-factor model but also other models that are common in the finan-cial literature.It is a user-friendly tool that enables reproducibility of the analysis and ensures that the calculations are free of manipulation errors.Both approaches are freely available and ready-to-use.
文摘On April 29, 2005, the reform of non-tradable shares was started. 46 companies were selected as the first and second batches of non-tradable share pilot reform, and among them 45 pilot companies finished their non-tradable share reform. This study examines the abnormal stock returns of the 45 pilot companies finishing their non-tradable share reform to determine whether tradable shareholders gain profits from this non-tradable share reform. By employing event study analysis, we find that tradable shareholders do gain profits from the non-tradable share reform. The average abnormal return of the 45 pilot companies was 10.62% on the resumption trading day after they finished their non-tradable share reform, which was statistically significant. We also find that the average abnormal return of high-compensation package group is significantly higher than that of low-compensation package group.
基金The project is supported by the National Natural Science Foundation of ChinaState Meteorological Administration Typhoon Research Fund.
文摘This study is essentially an experiment on the control experiment in the August 1975 catastrophe which was the heaviest rainfall in China's Mainland with a maximum 24-h rainfall of 1060.3 mm, and it significantly demonstrates that the limited area model can still skillfully give reasonable results even only the conventional data are available. For such a heavy rainfall event, a grid length of 90 km is too large while 45 km seems acceptable. Under these two grid sizes, the cumulus parameterization scheme is evidently superior to the explicit scheme since it restricts instabilities such as CISK to limited extent. The high resolution scheme for the boundary treatment does not improve forecasts significantly.The experiments also revealed some interesting phenomena such as the forecast rainfall being too small while affecting synoptic system so deep as compared with observations. Another example is the severe deformation of synoptic systems both in initial conditions and forecast fields in the presence of complicated topography. Besides, the fixed boundary condition utilized in the experiments along with current domain coverage set some limitations to the model performances.
基金This is a contribution of the IGCP-655 project of the IUGS and UNESCO.
文摘Introduction.The study of catastrophic events that affected past marine ecosystems provides us the unique opportunity to establish models which can be applied to ongoing environmental changes and to understand future evolution of the biotas.The growing interest of the society for the ongoing and potential future environmental changes attests for the value represented by the analysis of past climatic changes.In the case of the Toarcian Oceanic Anoxic Event(T-OAE,Early Jurassic;~182 Ma),a dramatic change of marine ecosystems related to massive extinction has been documented in several areas around the world.The Pliensbachian–Toarcian transition and the T-OAE are two global episodes recording worldwide palaeoenvironmental perturbations(Jenkyns,1988;Jenkyns and Clayton,1997;Hesselbo et al.,2007).The end of the Pliensbachian regression is followed by a transgression occurring in the Early Toarcian(Haq et al.,1987;de Graciansky et al.,1999).This transgression was also coeval with a widespread deposition of black shales(Jenkyns,1988),a global warming(Garcia Joral et al.,2011;Korte and Hesselbo,2011;Suan et al.,2011),and perturbations of the carbon cycle indicated by a negative carbon isotopic excursion(CIE)documented in both marine and terrestrial material(Jenkyns and Clayton,1986;Schouten et al.,2000;Hesselbo et al.,2007;Al-Suwaidi et al.,2010;Caruthers et al.,2011;Izumi et al.,2012;Reolid,2014).
文摘The COVID-19 pandemic caused an outbreak on the global productive chains,transforming companies and society in general.Governments adopted anticyclical policies such as basic interest rates reduction as response.Brazil basic interest rate is denominated Selic.The application of these policies requires the protagonist of bank’s financial intermediation.This study aims to verify two events-under the perspective of the efficient markets’theory.The first is the communication of the first death by COVID-19-and the subsequent,Selic rate reduction to 2%p.a.-and its effects on bank’s shares prices.The hypotheses presented are:H1-The announcement of the first death by COVID-19 negatively impacts the banks’shares returns and H2-The announcement of the Selic interest rate-during the COVID-19-positively impacts the return of the banks’shares.We adopt event study methodology in a final sample of nine and 15 banks to Events 1 and 2 respectively.The results confirm H1 as well as the semi-strong informational efficiency market.H2 is not confirmed.Results confirm the non-effectiveness of the anticyclical policy of basic interest rate reduction.This contributes to the discussion about the impacts of COVID-19 and the efficacy of anticyclical policies.
文摘The enduring impact of the COVID-19 crisis on the financial sector is undeniable,persisting far beyond the eventual waning of the pandemic.This research examines central bank interventions during the pandemic,using a quantitative event study approach over a five-day window to analyse the impact of 188 monetary policy announcements on banking stocks in China,the U.S.,and Europe.Our results demonstrate how monetary policy announcements targeting different economic mechanisms have produced a diverse market reaction throughout the COVID-19 pandemic.Namely,cuts in interest rates and the maintenance of a low interest rate environment by the Federal Reserve resulted in negative abnormal returns in the U.S.A.,while short-term announcements surrounding intra-day credit and liquidity provisions boosted banking sector stock prices.In Europe,a muted reaction by the banking sector was observed,with negative abnormal returns observed in response to the ECB’s 2% inflation objectives.Finally,banking stocks in China responded strongly and positively to foreign currency and exchange-related announcements by the People’s Bank of China.The results and insights from this analysis can thus inform preparations made by policymakers,governments,and financial market stakeholders in the event of future waves of COVID-19,or further extreme societal disruptions.
文摘This study aims to investigate whether Corporate Social Responsibility(CSR)activities reduce supply chain disruptions by examining the impact of the Suez Canal obstruction on the Ever Given container ship in March 2021.This study conclude that the more responsible companies have higher returns and are less affected by this event than the less responsible companies;the less responsible companies have lower returns.The companies with better CSR have a lower impact on their supply chains when faced with disruptions in the supply chain.
基金This research was supported by the Jiangxi Humanities and Social Sciences Project of University(NO.JJ20125).
文摘This research explored the effects of the coronavirus disease(COVID-19)outbreak on stock price movements of China’s tourism industry by using an event study method.The results showed that the crisis negatively impacted tourism sector stocks.Further quantile regression analyses supported the non-linear relationship between the government’s responses and stock returns.The results present that the resurgence of the virus in Beijing did bring about a short-term negative impact on the tourism industry.The empirical results can be used for future researchers to conduct a comparative study of cultural differences concerning government responses to the COVID-19.
文摘Despite blockchain’s potential to transform corporations by providing new ways of organizing business processes and handling information,extant research pays inadequate attention to how and under what conditions blockchain technology provides additional financial value for shareholders.Drawing on the efficient market hypothesis and signaling theory,we examined the relationship between firms’blockchain use,development announcements,and stock market reactions.We used the event study methodology to analyze a sample of blockchain projects initiated by US firms between 2016 and 2019.The sample contains 114 firm-event observations.The findings show that the average abnormal return over a 2 days event period(including the day of the announcement and the day after the announcement)was positive.This positive stock market reaction is even more substantial when firms announce blockchain projects that focus on saving cost or time.Our findings also indicate that blockchain announcements tend to elicit more positive market reactions from smaller firms.We analyzed 249 firm-event observations containing firms from around the world and conclude that blockchain technology has a non-significant long-term impact on operating performance.The contingency approach adopted in our research provides advice for selecting the right mix of blockchain investment initiatives that is most suitable for a given organizational context.
文摘This paper proposes an original behavioural finance representative agent model,to explain how fake news’empirical price impacts can persist in finance despite contradicting the efficient-market hypothesis.The model reconciles empirically-observed price overreactions to fake news with empirically-observed price underreactions to real news,and predicts a novel secondary impact of fake news:that fake news in a security amplifies underreactions to subsequent real news for the security.Evaluating the model against a large-sample event study of the 2019 Chinese ADR Delisting Threat fake news and debunking event,this paper finds strong qualitative validation for its model’s dynamics and predictions.
文摘The objective of this paper is to investigate whether mergers create value for shareholders in both the short and long term. For this purpose, 120 announcements of mergers that were registered in Italy during the period 1994-2006 among listed companies were examined. The short-term analysis was conducted using the event study methodology in order to estimate the cumulative abnormal returns （CARs） in the time window around the announcement date （-10, ＋10）. In this work, the sample of 120 mergers was divided into two sub-samples： the first considers the mergers that were carried out in all sectors of the economy, and the second focuses only on bank mergers. From the results obtained it would appear that, while the sub-sample of all mergers registered a statistically significant value creation for the shareholders of both the bidder and target companies, values also confirmed by combined analysis, the second sub-sample registered negative values for bidder companies and positive values for target companies. Negative values also seem to be confirmed by the results of the combined analysis both at the date of announcement and throughout the entire period of observation. For the long-term analysis, the Buy and Hold Abnormal Returns （BHARs） methodology was used, with which it was possible to observe the returns for three years. In the 36 months following the merger, the portfolios showed a significant destruction of value
文摘The Japanese Taxation Agency （JTA） introduced transfer pricing taxation （TPT） in order to suppress the outflow of profits and therefore taxes of Japanese companies, which are expanding overseas. There have been many press reports regarding the application of TPT, and so there is much public attention on this issue. TPT is applied to unnatural transfer prices （TP）. If TPT is applied to a multinational company （MNC）, the company will need to bear enormous documentation costs in its calculation of the ratable price. In addition, in the last few years, the target of TPT is shifting to the overseas transfer of intangible assets, such as trademarks, royalties, patents, and charges income. As a result, companies have become more careful about TPT and investors tend to pay attention to companies＇ TPT strategy. With regard to this point, this paper examines how the market evaluates news regarding TP by investigating the market reaction to an initial press report mentioning that a firm was involved in a TP manipulation and may be guilty of tax underpayment. We examine these events both because press reports are currently under intense scrutiny and because there has been very little research on firms that engage in tax sheltering （see, e.g., Graham ＆ Tucker, 2006; Hanlon ＆ Slemrod, 2009）. Some view the fact that not all firms engage in tax sheltering as surprising because of the widespread view that shelters, at least in the 1990s, in expectation, offered a positive net present value position. The potential negative public relations effect is often cited as one reason for this ＂under-sheltering＂ phenomenon （Bankman, 2004）. On the event study analysis, we find that the Japanese capital market has shown a statistically significant negative reaction to the press reports. This result is due to a strong distrust of corporate activity regarding TP strategies. Moreover, in order to clarify the reason why the market responds to reports of TPT being applied, we compute the cumulative abnormal returns （CARs） around the date of the press report and conduct two-stage least-squares estimation to examine where this result regarding the market reaction comes from. Our results indicate that the variables for intangible assets and effective tax rate and the variables which represent the extent of corporate governance （CG） are statistically significant with respect to these reactions.
文摘Although Brazil has a long history of having insider trading laws （IT laws） in place and became the first emerging country to enforce the IT laws （Bhattacharya ＆ Daouk, 2002）, criminal sanctions and hefty monetary penalties were only made possible by the amendment of its laws against IT on October 31, 2001. We study the stock price effects of merger announcements made by 151 firms over two periods, before and after the change of IT laws. Our empirical results suggest that target firms attained positive price run-ups in pre-announcement windows before, but not after, the legal regime change. While acquiring firms had strong positive pre-announcement reactions in both legal regimes, the abnormal returns （AR） decreased in the more stringent legal regime. These results indicate that more stringent IT laws may deter IT and improve market efficiency in an emerging country.
文摘The merger of Sainsbury’s and Asda caused huge impacts on Britain retail industry.Since the announcement that J Sainsbury plc would acquire Asda for £7.5 billion was published in April,2018,the changes in the UK grocery market have been discussed and questioned.And the grocery market in UK will be reordered without doubt.This essay firstly introduces Sainsbury by using Pestle model,then aims to figure out the type and the benefits of this M&A,analyze the market response and how investors react to this event in the first two parts.In the third and the last part,we aim to explain why the CMA blocked the merge.
基金partly supported by the National Natural Science Foundation of China under Grant No.72101197by the Fundamental Research Funds for the Central Universities under Grant No.SK2021007.
文摘Given the importance of web search volume for reflecting tourists'preferences for certain tourism services and destinations,incorporating these data into forecasting models can significantly improve forecasting performance.This study enriches the literature on tourism demand forecasting and tourists'search behavior through segmented Baidu search volume data.First,this study divides Baidu search volume data based on volume sources and periods.Then,by analyzing the most relevant keywords in tourism demand in different segments,this study captures the dynamic characteristics of tourist search behavior.Finally,this study adopts a series of econometric and machine learning models to further improve the performance of tourism demand and forecasting.The findings indicate that tourists’search behavior has changed significantly with the prevalence and popularization of 4G technology and suggest that search volume improves forecasting performance,especially search volume on mobile terminals,from 2014M1–2019M12.
文摘Shanghai-Hong Kong Stock Connect Program,which is a new starting point for the opening up of the mainland capital market,still has many uncertainties.Research on the benefits and market volatility of such policies can provide investors with time to invest in such policies,fluctuations in the underlying stocks of the Chinese stock market,and decision support for the formulation and revision of relevant policies.This paper studies whether there is significant abnormal rate of return in the selected stocks which are in the Shanghai Stock Connect Program within the specified period,the excess return gap between the stocks which are in the program and which are not in the program,and the impact of the Shanghai Stock Connect Program on the volatility of the relevant stocks.Based on the CAPM model and the Fama-French 3-factor model,this paper uses t test to study the significance of the abnormal rate of return.By establishing a difference-in-difference(DID)model,the regression of the abnormal rate of return is tested,and the sample volatility is analyzed according to the influence of the fund transaction.The study found that the stocks in the program have significant abnormal rate of returns during the window period.The Shanghai Stock Connect has brought about a huge change in transaction amount,and policy makers need to improve related and similar policies.
文摘The aim of this paper is to verify if the M＆As implemented in the past decade in the banking sector have created value for shareholders. For this purpose a sample of 72 deals carded out during the period of 1994-2005 were examined using the ＂event study＂ methodology. These deals were subdivided into three sections： acquisitions, mergers and M＆As. The results obtained seem to suggest a creation of value for the target companies and a destruction of value for the bidders in all three cases. From the analysis of the combined values, on the other hand, a significant destruction of value is deduced in both mergers and in M＆As.
