Capital Increase & Abnormal Return From Evidence Tehran Stock Exchange

Subject Areas : Financial Knowledge of Securities Analysis

جواد عبادی ^{1 *} , اسماعیل حسن پور ^{2 *}

1 - مسئول مکاتبات
2 - ندارد

Received: 2011-04-10 Accepted : 2011-06-30 Published : 2011-06-22

Keywords: capital increase, abnormal return, ratio of capital increase to m, volatility of daily returns, Firm Size, market cumulative return,

Abstract :

In this paper the factors influencing abnormal return on common stock will be addressed. Regarding capital increase in Tehran Security Stock Exchange the four independent factors potential efficacy abnormal return. The factors are as following capital to increase the market value of outstanding shares; volatility of daily returns, firm's size (in terms of market value of outstanding shares) and market cumulative return (MCR). This paper addresses factors influencing abnormal returns of common stocks, in regard to “capital increase” in Tehran Security Exchange. We identify and examine four factors potentially influencing abnormal return. These factors are: capital increase to market value of outstanding shares, volatility of daily returns, firm's size (in terms of market value of outstanding shares) and market cumulative return (MCR). Our sample consists of 96 capital increase in firms listed in Tehran Security Exchange between 1383 and 1386. To examine the effects of capital increase on abnormal return, we use an event study. Cumulative abnormal returns are calculated for two thirty-day windows before and after the event. We use a multi-variable regression to compare the results in these two windows. We find that capital increase cause “negative” abnormal returns. Among four independent variables, only volatility of daily returns influences abnormal returns.