Je ne regrette rien? An Empirical Test of Regret Theory and Stock Returns

This study investigates the differential effect of the Sarbanes-Oxley Act of 2002 (“SOX”) on unsophisticated individual investors and sophisticated institutional investors. I examine the relationship between abnormal stock returns around quarterly earnings announcements before and after SOX and investor sophistication. Empirical test results show that SOX positively affected stock returns reaction around the quarterly earnings announcement, consistent with prior literature. However, the increased stock returns reaction in the post-SOX period appears to be unrelated to individual investors. I find that the impact of SOX on institutional investor reaction to earnings announcement is statistically significant, whereas individual investor reaction to earnings announcement is not affected by SOX. This suggests that institutional investors have improved on the extent to which earnings information is efficiently priced after SOX, but not individual investors. These findings are important because the differential effect of the accounting disclosure regulation on investors has received little attention in the literature.

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Empirical Test of Fama and French Three-Factor Model in the Egyptian Stock Exchange

Financial Assets and Investing ◽

10.5817/fai2020-2-1 ◽

2020 ◽

Vol 11 (2) ◽

pp. 5-18

Author(s):

Mustafa Hussein Abd-Alla ◽

Mahmoud Sobh

Keyword(s):

Stock Returns ◽

Factor Model ◽

Stock Exchange ◽

Empirical Test ◽

Expected Return ◽

Book To Market Ratio ◽

Excess Stock Returns ◽

Fama And French ◽

Egyptian Stock Exchange ◽

Three Factor

We test the empirical validity of the three-factor model of Fama and French in the Egyptian Stock Exchange (EGX) using monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. Our findings do not support Fama and French three-factor model, where the coefficient of the beta was insignificant. The “SBM” coefficient and the “HML” coefficient were equal to zero and insignificant, which confirms the absence of the small firm effect and book-to-market ratio effect in the market. We conclude that there is no relation between expected return and Fama-French risk factors.

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DAMPAK FAKTOR EKONOMI TERHADAP PENDAPATAN SAHAM DI PASAR MODAL INDONESIA:SUATU UJI KOINTEGRASI

Jurnal Kajian Akuntansi dan Auditing ◽

10.37301/jkaa.v0i0.5367 ◽

2010 ◽

Author(s):

Antoni Antoni ◽

Mukhlizul Hamdi

Keyword(s):

Stock Returns ◽

Stock Return ◽

Stock Exchange ◽

Empirical Test ◽

Southeast Asian ◽

Stock Index ◽

Economic Factors ◽

Economic Variables ◽

Correction Model

A study explores the relation. ships between stock return and precified economic indicators and identifies a set of economic variables that correspond most closely with the stock return obtained from factor analysis. Determining the number of economic factors domestic and regional in Southeast Asian that explain stock return plays an in2poriant role in empirical lest. We found that stock returns are significantly influenced by a number of systematic economic force and by composite stocks index in Southeast Asian Stock Exchange. This reseath also examines cointegration of relationship between a set of economic variables with stock return on long-term by empirical test of the Error Correction Model (ECM). We found that there was significantly cointegration between economic variables and composite stock index in Southeast Asian Stock Exchange with stock return in Indonesian Stock Exchange on long-term.

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Prospect Theory and Stock Returns: An Empirical Test

SSRN Electronic Journal ◽

10.2139/ssrn.2528149 ◽

2014 ◽

Cited By ~ 2

Author(s):

Nicholas Barberis ◽

Abhiroop Mukherjee ◽

Baolian Wang

Keyword(s):

Stock Returns ◽

Prospect Theory ◽

Empirical Test

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