Corporate Disclosure, Materiality, and Integrated Report: An Event Study Analysis

Purpose This study Investigates Shareholders' value adjustment in response to financial institutions (FIs) merger announcements in the immediate event window and in the extended event window. This study also investigates accounting measures performance, comparison of post-merger to pre-merger, including several cash flow measures and not just profitability measures, as the empirical literature review suggests. Finally, the authors examine FIs mergers orientations of diversification and focus create more value for shareholders (in the immediate announcement window and several months afterward) and/or generates better cash flows, profitability and less credit risk. Design/methodology/approach This study examines FIs merger effect on bidders’ shareholder’s value and on their observed performance. This examination deploys three techniques simultaneously: a) an event study analysis, to estimate and calculate abnormal returns (ARs) and cumulative abnormal returns (CARs) in the narrow windows of the merger announcement, b) buy and hold event study analysis, to estimate ARs in the wider window of the event, +50 to +230 days after the merger announcement and c) an observed performance analysis, of financial and capital efficiency measures before and after the merger announcement; return on equity, liquidity, cost to income ratio, capital to total assets ratio, net loans to total loans, credit risk, loans to deposits ratio, other expenses and total assets, economic value addition, weighted average cost of capital and return on invested capital. Deal criteria of value, mega-deals, strategic orientation (as in Ansoff (1980) growth strategies), acquiring bank size and payment method are set as individually as control variables. Findings Results show that FIs mergers destroy share value for the bidding firms pursuing a market penetration strategy. Market development and product development strategies enable shareholders’ value creation in short and long horizons. Diversification strategies do not influence bidding shareholders’ value. Local bank to bank mergers create shareholders’ value and enhance liquidity and economic value in the short run. Bank to bank cross border mergers create value for bidders’ in the long term but are associated with high costs and higher risks. Originality/value A significant advancement over the current literature is in assessing mergers, not only for bank bidders but also for the three pillars FIs of the financial sector; banks, real-estate companies and investment companies mergers. It is an improvement over current finance literature because it deploys two different strategies in the analysis. At a univariate level, shareholder value creation and market reaction to merger announcements are examined over short (−5 or +5 days) and long (+230 days) windows of the event. Followed by regressing, the resultant CARs and BHARs over financial performance variables at the multivariate level.

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Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence

Management and Labour Studies ◽

10.1177/0258042x21991015 ◽

2021 ◽

pp. 0258042X2199101

Author(s):

Prabhdeep Kaur ◽

Jaspal Singh

Keyword(s):

Event Study ◽

Abnormal Returns ◽

Price Impact ◽

Exchange Traded Funds ◽

Study Analysis ◽

Jel Codes ◽

Securities Transaction Tax ◽

Underlying Stocks ◽

Transaction Tax ◽

The Impact

The advent of exchange traded funds (ETFs) has rendered index trading much affordable compared to their futures counterparts. The present study attempts to examine the impact of ETF listing on the price of the constituent securities of the index that it aims to track. The sample comprises of all the equity ETFs listed in India from 1 January 2002 to 31 March 2019. Event study analysis has been used to examine whether listing of ETFs bore any price impact on the constituent stocks of ETFs. To account for robustness, both parametric and non-parametric tests have been employed. The estimates obtained from event study analysis revealed that the constituent stocks generated insignificant returns for the period extending from January 2002 to March 2009 and April 2009 to March 2013 but positive and significant cumulative average abnormal returns (CAARs) post ETF listing for the period ranging from April 2013 to March 2019, thus providing evidence in support of positive price impact. The permission granted to pension funds, insurers and Employees’ Provident Fund Organisation (EPFO) to invest their funds in ETFs as well as reduction in Securities Transaction Tax (STT) account for the observed price differential. An analysis of the factors accounting for the variation in valuation effects ascertained that the stocks that were traded thinly prior to ETF listing and those forming part of ETFs with larger asset base experienced positive price impact following ETF listing. JEL Codes: G11, G14

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How Does Financial Sector Reacts After Special Events? An Event Study Analysis of Tunisia after the Revolution of 2011.

JOURNAL OF SOCIAL SCIENCE RESEARCH ◽

10.24297/jssr.v4i2.6662 ◽

2014 ◽

Vol 4 (2) ◽

pp. 584-599

Author(s):

Amira KADDOUR ◽

Mourad ZMAMI

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Event Study ◽

Banking Sector ◽

Financial Sector ◽

Study Analysis ◽

Special Events ◽

Egarch Model ◽

The Exchange Rate ◽

The Impact

Using an event study analysis, we aim to investigate the impact of political, economic, social and terrorism events, on the Tunisian financial sector, over the period of the Tunisian Revolution; from (12)2010 to (04)2014. Based on a daily data analysis using three selected variables ; Sectoral index of performance of Tunisian banks ,Index of Tunisian stock market and the exchange rate Euro/ Dinar, the EGARCH model results have highlighted that general events decrease the return of our variables, and increase their volatility. More, results have shown that stock market is very sensitive to political and terrorism events, bad economic events increase the volatility of the exchange rate, and decrease the performance of banking sector. Political events remain the more important component, they affect negatively all the endogenous variables; coefficients in the mean equation show an important decline in term of the return of banking sector ,the stock market and the exchange rate.

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THE IMPACT OF TERRORISM ON TURKISH BANKS’ STOCKS AND CROSS-BANK VARIATION OF ABNORMAL RETURNS

Global Economy Journal ◽

10.1142/s2194565920500116 ◽

2020 ◽

Vol 20 (02) ◽

pp. 2050011

Author(s):

EDA ORHUN

Keyword(s):

Regression Analysis ◽

Event Study ◽

Banking Sector ◽

Terrorist Attack ◽

Abnormal Returns ◽

Income Level ◽

The Other ◽

Terrorist Attacks ◽

Study Analysis ◽

The Impact

This paper investigates the impact of the recent terrorist attacks on the Turkish banking sector. Specifically, an event study analysis is executed to estimate the abnormal returns of banks’ stocks in Turkey. According to the results, negative and significant abnormal returns were observed on the event dates of terrorist attacks, those of which especially occurred at international points and touristic places. The study continues with a regression analysis that looks into the cross-bank variation of abnormal returns by using important bank characteristics as predictors. The regression analysis exhibits that banks with higher leverage and larger size are prone to getting more negatively affected by the terrorist attack. On the other hand, banks with higher liquidity and higher income level are likely to have less negative abnormal returns.

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