Detecting Abnormal Returns of Infrequently Traded Stocks in an Event Study

Leemakdej, Arnat

doi:10.2139/ssrn.1436090

Cited by 3 publications

(3 citation statements)

References 20 publications

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“…A potential methodological issue with conducting event studies in the small-cap resource sector is non-synchronous or thin trading biasing results (Brown and Warner, 1985;Kallunki, 1997;Leemakdej, 2009). To provide confidence that non-synchronous trading does drive or bias the main results we pro-rate allocate daily returns to any immediately preceding non-trading days, which produces consistent, although slightly weaker results (Kallunki, 1997).…”

Section: Robustness and Sensitivity Testingmentioning

confidence: 99%

“…9 The resulting sub-sample produces similar, but stronger results. Fourth, as non-parametric rank tests can provide superior insight in samples prone to non-synchronous trading (Leemakdej, 2009), we compare whether there is a difference between the abnormal return on event day 0 relative to the 15 days before and after using the non-parametric Mann-Whitney U test and find significantly higher returns on event day 0 (z-score = 2.575). This result also holds in the sub-sample of firms that trade continuously.…”

Section: Robustness and Sensitivity Testingmentioning

confidence: 99%

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Market reactions to Australian boutique resource investor presentations

Ferguson¹,

Scott²

2011

Resources Policy

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This paper examines the market reactions to 817 investor presentations by 326 Australian resource firms and finds evidence suggesting these events are informative. Furthermore, the positive returns do not reverse over the following 15 days, which contrasts with previous investor presentation research. However, consistent with the prior literature, extended long run cumulative abnormal returns are not significantly different from zero. This paper also documents stronger reactions to first time presenting firms, presentations that are announced to the market and firms exhibiting at the Africa Downunder and Excellence in Oil & Gas conferences. There are also stronger reactions for firms with lower ownership concentration. Examining boutique resource firm investor presentations adds to the existing disclosure and dissemination literature due to the presence of relatively high information asymmetry in the extractive industries, a unique setting which contrasts with previous studies.

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Section: Robustness and Sensitivity Testingmentioning

confidence: 99%

Section: Robustness and Sensitivity Testingmentioning

confidence: 99%

Market reactions to Australian boutique resource investor presentations

Ferguson¹,

Scott²

2011

Resources Policy

View full text Add to dashboard Cite

show abstract

“…Non-synchronous trading has been shown to cause a number of problems in event studies (Leemakdej, 2009). In particular, it introduces biases in the calculation of the abnormal returns associated with (i) the preponderance of zero returns assigned to stocks on non-trading days and (ii) biases that this introduces into the estimation of the expected return model (e.g.…”

Section: Event Study Methodologymentioning

confidence: 99%

The market response to exploration, resource and reserve announcements by mining companies: Australian data

Bird

Grosse

Yeung

2013

Australian Journal of Management

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This paper is the first to conduct an event study on the market response to exploration, resource and reserve announcements made by mining firms. Results from an event study using a matched firm approach that suggest that markets react positively to both the exploration and the resource announcements at the time of their release but find information value in the reserve announcements possibly because all of the information in these announcements have been anticipated by the market. In fact, there is evidence to suggest a high level of anticipation of all three types of announcements which should be a matter of concern for the regulators. The other major surprising finding in the study is that in every instance the market seems to have been overly enthusiastic about the announcements, as share prices turns down almost immediately afterwards and trends downward for an extended time. This leaves open the question as to why does the market get them so horribly wrong.

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Is the Romanian Market for Corporate Control Atypical? Empirical Evidence on Takeover Bids: 1998-2002

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Detecting Abnormal Returns of Infrequently Traded Stocks in an Event Study

Cited by 3 publications

References 20 publications

Market reactions to Australian boutique resource investor presentations

Market reactions to Australian boutique resource investor presentations

The market response to exploration, resource and reserve announcements by mining companies: Australian data

Is the Romanian Market for Corporate Control Atypical? Empirical Evidence on Takeover Bids: 1998-2002

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