Stock price reaction to profit warnings: the role of time varying betas
| Autor: | Abdelhafid Benamraoui, Shuxing Yin, Khelifa Mazouz, Brahim Saadouni |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
Transaction cost Heteroscedasticity 050208 finance HF Financial economics 05 social sciences Business Management and Accounting(all) Contrarian 04 agricultural and veterinary sciences General Business Management and Accounting Profit (economics) Efficient-market hypothesis Corporate finance Stock exchange Accounting 0502 economics and business Economics Econometrics 0401 agriculture forestry and fisheries Profitability index Finance health care economics and organizations |
| Zdroj: | Yin, S, Mazouz, K, Benamraoui, A & Saadouni, B 2017, ' Stock price reaction to profit warnings: the role of time-varying betas ', Review of Quantitative Finance and Accounting . https://doi.org/10.1007/s11156-017-0623-3 |
| ISSN: | 0924-865X |
| DOI: | 10.1007/s11156-017-0623-3 |
| Popis: | © 2017 The Author(s)This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange. The standard event study methodology indicates the presence of price reversal patterns following both positive and negative warnings. However, incorporating time-varying betas, event-induced variance and conditional heteroskedasticity in the modelling process results in post-negative-warning price patterns that are consistent with the predictions of the efficient market hypothesis. These adjustments also cause the statistical significance of some post-positive-warning cumulative abnormal returns to disappear and their magnitude to drop to an extent that minor transaction costs would eliminate the profitability of the contrarian strategy. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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