How Airbnb moves markets: asymmetric financial responses across global market types

This study examined the effect of corporate governance variables of board independence, institutional ownership, managerial ownership, board size, and director expertise on the market reaction to seasoned equity offering (SEO) announcements by firms in the Nigerian stock market. The event study methodology was employed, and abnormal returns were computed using the market model. A total of 62 announcements by 38 firms listed on the Nigerian stock exchange from 1st January 2006 to 31st December 2016 were included in the analysis. The study recorded significant positive cumulative abnormal returns before and after the announcement day, and a significant negative cumulative abnormal return upon the announcement day of SEOs. Similarly, significant positive cumulative abnormal returns were recorded six months before the SEO announcement day and negative significant cumulative abnormal returns six, twelve, and twenty-four months after the announcements. Furthermore, there were significant cumulative abnormal returns upon SEO announcements for all the proxies of corporate governance assessed by the study. The implication of the findings of negative significant cumulative abnormal returns on the day of the announcement and beyond was consistent with previous arguments that firms issuing SEOs earn negative abnormal returns on the day of the announcement was the result of the information asymmetry between managers and investors. By contrast, the significant cumulative abnormal returns based on corporate governance suggested that corporate governance significantly impacted on SEO announcement returns in Nigeria. These findings suggest that policy makers should pay more attention to directors’ expertise, institutional ownership, board independence, and board size, as our results showed that investors might view them as dependable pointers of positive corporate information for the market, thus guaranteeing the best use of SEO proceeds.

Benefits of financial market integration include cheaper and alternative options of saving and borrowing for households and entrepreneurs. In the global financial market, asset choices for households widen so that individuals can manage their idiosyncratic income risk more effectively. On the other hand, financial market integration makes investors who hold foreign assets more vulnerable to global financial shocks. In the recent financial crisis, financial market distress which initially arose in the U.S. had an enormous impact on the peripheral countries. This example shows that the strong shock propagation occurs via integrated financial markets. The existing literature shows that financial market integration has a sizable impact not only on business cycles in the short run, but also on economic growth in the long run. However, there has been little attention to income distribution, specifically in related to the financial market integration. In this paper, we fill the void in the literature by focusing on the following two stylized facts: income inequality has been exacerbated in most countries over the past two decades, and the financial market has been integrated across countries during the same period. In particular, we answer three research questions to investigate the relationship between the two facts. First, how does financial market integration affect income inequality? Second, how do financial market integration and financial market development interact to change income inequality? Third, what components do theoretical model need to explain the interaction effect of financial market development and integration on income inequality? We test hypotheses that the effect of financial market openness on inequality is conditional on the level of domestic financial market development when the financial market opens. An empirical study with panel data comprised of 174 countries for the period 1995-2017 finds that the overall effect of financial integration on income inequality is nonlinear. Financial market integration creates the intensive and extensive margins of credit supply which may depend on the development level of financial market disproportionally. This paper uncovers a novel empirical evidence that financial market integration and financial market development interact to change income inequality. When other things are controlled, the effect of financial market integration on in-come inequality depends on financial market development. In a country with underdeveloped financial market, income inequality gets worse as financial market opens. On the other hand, when financial market is highly developed, the effect of financial market openness on income inequality is mostly insignificant in a statistical sense. The results are still valid with different measures of financial market development, integration, and income inequality. We check that the results are robust as an endogeneity issue among financial market development and integration is controlled. We also suggest some important structures for the conventional economic model to account for our empirical finding as theoretical implications. Based on these implications, extensions of the conventional small open economy model with financial constraints having suggested components such as heterogeneous holdings of foreign assets across income and asset levels and entrepreneurial shocks will be necessary to understand an interaction of financial market openness and domestic market development on the distribution of income in a country. Our finding also echoes that studying an economic mechanism in which economic growth, financial market outcomes, and inequality are endogenously determined.

This study presents the effect of Global Merger on stock prices of Tata Chemicals. We examine shareholder wealth gains of Tata Chemicals that acquired British Salt in Dec 2010. This study analyses global merger by Tata Chemicals in UK and the returns to shareholders as a result of the merger, using the event study methodology (Brown and Warner, 1980, 1985; and MacKinlay, 1997).We find that foreign acquirers experience positive and significant abnormal returns of nearly two percent over days (- 10,+ 10) when they acquire target in the UK. To capture the impact on stock prices as a result of global M&A using the event study methodology. Using the single-factor model the study finds that the average cumulative abnormal return (CAR) of the Tata Chemicals is positive and substantial. These results are statistically significant also. Thus, the bidder firm got significant positive abnormal returns. The single-factor model finds that the combined CAR is positive, significant and substantial. The bidder firm created a wealth of Rs 33.73 million in a one day window (single-factor model) as a result of the merger. The merger announcements of Tata Chemicals have positive and significant shareholder wealth effect both for bidder and target firm. The aim is to understand the shareholder wealth effects of merger. *Using the single-factor model, the study finds that the average cumulative abnormal return (CAR) of the Tata Chemicals is positive and substantial. These results are also statistically significant. Thus, the bidder firm got significant positive abnormal returns. *The single-factor model finds that the combined CAR for the target firm is positive, significant, and substantial. The bidder firm created a wealth of Rs 33.73 million in a one-day window (single factor model) as a result of the merger.

This paper is the first study on the intra-industry effects of proxy contests. Using a sample of proxy contests from January 1988 through December 2008, we identify a striking cross-sectional difference in market reaction to the target companies. As much as 61% of the target firms have significant positive cumulative abnormal return (CARs) in the period (‒10, 10) around the announcement day, while 39% of the target firms have the negative CARs in the same event window. Moreover, we find that the stock market reaction to the target firms’ competitors is primarily driven by the target-related factors when the market reacts favorably to a proxy contest. In contrast, the stock market reaction to the competitors is mainly affected by the competitor-related factors when the market reacts unfavorably to the proxy contest. We further reveal that competitors experience a significant negative abnormal stock return when the target firms receive negative market reactions, while competitors have no significant abnormal return when the target firms receive a positive market reaction. Our findings enrich the corporate governance research by showing the impact of the target firms’ corporate governance change on the firms’ competitors.

This paper is the first study on the intra-industry effects of proxy contests. Using a sample of proxy contests from January 1988 through December 2008, we identify a striking cross-sectional difference in market reaction to the target companies. As much as 61% of the target firms have significant positive cumulative abnormal return (CARs) in the period (‒10, +10) around the announcement day, while 39% of the target firms have the negative CARs in the same event window. Moreover, we find that the stock market reaction to the target firms’ competitors is primarily driven by the target-related factors when the market reacts favorably to a proxy contest. In contrast, the stock market reaction to the competitors is mainly affected by the competitor-related factors when the market reacts unfavorably to the proxy contest. We further reveal that competitors experience a significant negative abnormal stock return when the target firms receive negative market reactions, while competitors have no significant abnormal return when the target firms receive a positive market reaction. Our findings enrich the corporate governance research by showing the impact of the target firms’ corporate governance change on the firms’ competitors.

This study tests whether there are significant stock prices changes around the cum-dividend date. In particular, it examines the stock price movement of two days before and two days after the cum-dividend date. It uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal return is measured using the single index model. Results show that there are no significant abnormal returns around the cum-dividend date. In addition, there is no significant abnormal return difference between two days before and two days after the cum-dividend date. The implication of the reported findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date as the trading strategy.

Cryptocurrency markets operate at a global scale and are lightly regulated compared to traditional securities markets. Cryptocurrencies like Bitcoin trade across multiple secondary markets that differ significantly in term of liquidity, governance and trust. This study explores 327 exchange listings of 180 cryptocurrencies on 22 different cryptocurrency exchanges and examines the resulting price effects using event study methodology. The results show a significant average abnormal return of 5.7% on the day of the listing event and 9.2% in the window of three days before until three days after the listing. The effects clearly differ for individual cryptocurrency exchanges, with listings on only a few exchanges yielding significant positive short-term abnormal returns of up to 25.5% on the day of the listing. Other exchanges show no significant effects at all or even significant negative returns, which suggests informed trading or market manipulation. Additional tests show that higher market capitalization in combination with lower trading volume leads to higher abnormal returns at exchange listings of blockchain-based assets.

The Brexit referendum in June 2016 led to different publications analysing stock market reactions. This study addresses a research gap, regarding the consideration of other Brexit events and the focus on stock prices of European insurance companies, by using a further refined event study approach based on indexation and sub-indexation. In scope are 17 listed insurance companies based in the European Union or the United Kingdom represented by the Insurance Index. To analyse potential dependencies between abnormal returns and the location of the company (European Union or United Kingdom) or the share of insurance business written in the United Kingdom, the Insurance Index is divided into four sub-indices. The results show significant positive or negative abnormal returns of the Insurance Index. In addition, the sub-indices react differently to the events under consideration. Trends are suggesting that significant abnormal returns may depend on the location and the share of insurance business written in the United Kingdom.

Effects of commodity exchange-traded note introductions: Adjustment for seasonality

Real estate and real estate investment trust performance has been examined in a number of papers. In general, there has been little evidence that real estate investment trusts (REITs) have earned significant positive abnormal returns based on REIT indices such as NAREIT and Wilshire. There is, however, empirical evidence that REITs exhibit positive abnormal returns in the case of initial public offerings (IPOs). While short-run REIT IPO behavior has been examined, the long-run behavior of REIT IPOs has not been examined within the context of a factor-based asset pricing model. We find that REIT IPOs generate long-run positive abnormal returns based on a sample of REIT IPOs. This sample period coincides with a period of two initial public offering waves for the REIT industry. We find that (using a Fama and French (1993) type four factor model for long-run IPO behavior) REIT IPOs generated significant and positive abnormal returns in the 1990s but not the 1980s. In comparison, the NAREIT and Wilshire Indices did not generate positive and significant abnormal returns over the same period.

The impact of fintech M&A on stock returns

This paper examines price and liquidity effects associated with scheduled index reorganisation in NIFTY surrounding its announcement and effective days. The results show that there are no significant abnormal positive returns associated with index inclusion surrounding announcement day. Significant positive abnormal returns associated with inclusion are present on effective day but fails to sustain. Significant negative price effect associated with exclusion of stocks is observed through the announcement window and indicates that exclusion from index is treated as negative. Negative price effect is observed for exclusion closer to and on effective day but that also does not sustain. No significant and sustainable change in trading volume is associated with index reorganisation. Increase in volume associated with inclusion and exclusion of securities is found on effective day, which can be attributed to index funds and ETF activity. Results of this study offers evidence for price pressure and against liquidity hypothesis.

To validate the existence of abnormal returns, the most of empirical studies use the event study methodology which examines the behavior of firms’ stock prices around corporate event. However, this methodology was been the source of several limits. Some defenders of efficiency theory assert that the abnormal returns are due to the event study methodology failures and econometric problems. However, partisans of behavioral finance demonstrate that the abnormal returns are due to psychological bias. The main purpose of this paper is to verify if the abnormal returns resulting from the event study methodology are due to econometric problems or to psychological bias generated by irrational investors’ reactions. For the econometric bias, five problems are studied: the choice of market index; the missing observations; the abnormal returns normality, joined hypothesis; and the variance volatility in the event window. Results show that abnormal returns are far from being due to the event study methodology failures and econometric bias. For the psychological problems, based on trading volumes, the results show negative and significant abnormal returns (investors’ under-reaction); a strong positive correlation between abnormal returns and abnormal trading volumes and a significant causal sense between them. So, abnormal returns are due to psychological bias.

Every year the Super Bowl creates enormous media buzz, not only concerning the teams and players but the advertisers. Previous research has investigated the relationship between Super Bowl advertising investment and stock prices. The results of these studies have found conflicting results. The authors reviewed changes in Super Bowl advertisers’ stock prices around the time of the event from 2000 to 2010. Ratings of Super Bowl ads by USA Today’s AdMeter were also collected for the same years. During the study period 211 ad placements were made by 72 publically traded companies during the Super Bowl. The event study analyzed cumulative abnormal returns for several windows. Cumulative abnormal returns for windows five days or less before and after each Super Bowl were calculated. The study also used a Fama-French Three Factor financial model to remove the effects of the market. Overall, most companies did not have significant abnormal returns in the period before or after the Super Bowl. There was no correlation between the AdMeter ratings and abnormal returns. With a few exceptions most companies neither won nor lost by investing in Super Bowl advertising. Of the 72 companies 44 had significant abnormal returns. Twenty one had negative returns and nineteen had positive returns. The remaining 4 had both negative and positive returns in various windows before and after the Super Bowl. Overall most of the companies neither won nor lost on their investment in Super Bowl advertising. Does this mean that investments in Super Bowl advertising is not effective in generating returns for the companies? Of the multitude of companies that did not have significant abnormal returns either positive or negative, the conclusion is that the investments paid off in terms of returns.

This paper examined the firm-specific abnormal returns of transportation and travel services sectors from the USA, UK, France, China, India, Mexico, Turkey, and Thailand in response to Coronavirus Disease 2019 (COVID-19) using event study methodology. Our results revealed that investors in developed countries provide significant long term abnormal returns for the first 101 days. Furthermore, no significant cumulative average abnormal returns (CAAR) were found in response to the COVID-19 outbreak, travel restrictions, lockdown, stimulus package, and historical decline in oil prices except in the case of the USA. It is concluded that with the gradual increase in new cases and deaths, abnormal returns are also adjusted, making the effects of these events insignificant at the time of their occurrence. Results also showed that firms in developing countries recognized significant negative abnormal returns in response to the second wave of COVID-19. These results are useful for investors in devising investment strategies relevant to contextual settings.