List of Articles event study

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  1 - Macroeconomics variables and corporate events effect on systematic risk according to jump beta
  Ali Askarinejad Amiri Mohammad E. FadaeiNejad GholamHossein Assadi
  We suppose jump beta and continuous beta as two indexes of systematic risk, then studying macroeconomics variables and corporate events effects on them. The results shows that macroeconomics variables effect on continuous beta is greater than its effect on jump beta. Wh More

  We suppose jump beta and continuous beta as two indexes of systematic risk, then studying macroeconomics variables and corporate events effects on them. The results shows that macroeconomics variables effect on continuous beta is greater than its effect on jump beta. While inflation rate has no sensible effect on both betas, growth rate increase causes increase in both and exchange rate increase causes decrease in both betas. The decrease is for times greater in jump beta. According to event study, two or three weeks before capital increase, considerable decrease in jump beta and a week before capital increase, sensible increase in continuous beta are seen. As observed about profit announcement event, news of positive adjustments reach sooner to market than negative adjustments. Positive adjustment cause a little increase in continuous beta, three or four weeks before event and negative adjustment cause considerable decrease in continuous beta around event, while profit announcement has no effect on jump beta.       Manuscript profile
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  2 - Misevaluation and Behavioral Biases in the Tehran stock exchange
  Jamal Tavosi Jamal Tavosi Aminreza Kamalian
  According to efficiency market hypothesis security prices respond quickly to new information and accurately reflect their fundamental values. More recent work indicates that market frictions and the psychological limitations of traders can cause asset prices to deviate More

  According to efficiency market hypothesis security prices respond quickly to new information and accurately reflect their fundamental values. More recent work indicates that market frictions and the psychological limitations of traders can cause asset prices to deviate from their fundamental values for a considerable length of time. To investigate theoretical concepts, the composite error model and event study approach and for specification model Particular Swarm Optimization were used in this study. The results from Coelli one-sided likelihood ratio test in the event period shows that there are the biases in IKCO’s returns. This study develops an empirical method that tests for and estimates the degree of valuation bias. Being better able to detect valuation bias reveals profit opportunities and may improve the efficiency of financial markets if it sufficiently changes trader behavior. Manuscript profile
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  3 - Studying the stock price effect of bulk dealing of Tehran Stock Exchange companies and the occurrence front-running using the event study method
  Mohammad hosein Ameri
  With considering the importance of the information along with the stocks bulks order of companies are presented in the Tehran Stock Exchange, We analyze the stock price effects of bulk order announcement published publicly in Tehran Stock Exchange over the period years1 More

  With considering the importance of the information along with the stocks bulks order of companies are presented in the Tehran Stock Exchange, We analyze the stock price effects of bulk order announcement published publicly in Tehran Stock Exchange over the period years1394–1396. We use an event study model to show the significant impact of bulk order announcement published publicly on the share prices changes then we observe that cumulative returns being very high around the announcement published day for Tehran Stock Exchange companies. Bulk order announcement has significant positive cumulative abnormal returns, indicating that Bulk order on average increases firm value. Next, we regress cumulative average abnormal returns of different Event windows on dummy variables to show that positive cumulative abnormal returns created under the effect of the bulk order. Finally, we conclude that bulk order announcement information leakage before event day on average cause positive abnormal returns for insider Manuscript profile