Target Firm Abnormal Returns and Trading Volume Around the Initiation of Change in Control Transactions

This paper examines the ability of cash flow and earnings based measures of return to assess the differences between target firms and their industries and to explain target firms' abnormal returns during the takeover period. In a sample of 63 completed takeovers over the period 1977 to 1989, takeover targets have mean cash flow to total assets and earnings to total assets below their industry average in each of the three years preceding the year of the takeover. If these ratios are interpreted as measures of managerial performance, the implication is that target firms were underperformers which may have been taken over for a better use of their asset potential. Target firm abnormal returns observed during the takeover period are significantly related to both the difference between target firm and average industry earnings to total assets and to the difference in cash flow to total assets. Abnormal returns are negatively related to the difference in earnings to total assets, suggesting that target firm assets are indeed underutilized. The difference between target firm and target industry cash flow to total assets is positively related to target firm abnormal returns, suggesting that acquiring firms value the near term cash flow of targets.

Capital market investors think that the issuance of audit reports issued by both Big Four and Non-Big Four accounting firms can provide positive signals that can be used as one of the basis for decision-making in investing in the capital market. The main objective of this study is to analyze whether there is a change in stock price as measured by average abnormal return (AAR) and changes in stock trading volume as measured by average trading volume activity (XTVA) before and after the announcement of the audit report. In conducting the analysis, this study uses an event study that observes the movement of AAR and XTVA during a window period of 7 days before and 7 days after the announcement of the audit report. The sample selection for this study used a purposive sampling method on the population of manufacturing companies listed on Indonesia Stock Exchange during the period from 2017 to 2018. In this study, using Paired Samples T-test with a significance of 5% or 0,05. Based on the results of the test conducted, it can be concluded that there is no significant difference to AAR and XTVA before and after the announcement of the audit report with an unqualified standard form audit opinion issued by Big Four and Non-Big Four accounting firm, and an unqualified audit opinion with an explanatory paragraph. Keywords: Audit Report, Big Four and Non-Big Four accounting firm, Share price, Average abnormal return, Trading volume activity, Average trading volume activity, Event study

The income bond puzzle

This paper examines the ability of value added to assess the differences between target firms and their industries and to explain target firms' abnormal returns during the takeover period. In a sample of 234 completed takeovers over the period 1977 to 1989, takeover targets have lower value added to total assets ratios than other firms in their industries in the year preceding the year in which the takeover is completed. Target firm abnormal returns observed during the takeover period are positively related to the difference between target Firm and average industry value added to total assets. This suggests that while acquired firms are on average underperformers, acquiring firms value the access to, and possibly the ability to redistribute, the resources of target firms.

The purpose of this study was to analyze the differences in the average abnormal return, the average trading volume of activity, and the average bid-ask spread on the stock of oil palm companies in Indonesia before and after the announcement of New Normal in Indonesia and the opening of lockdown in the country export destination. In this study, three countries were taken by the Netherlands, Malaysia, and Singapore. 13 companies sampled in this study are determined using purposive sampling techniques. The data used in this study are secondary data accessed by researchers through the Yahoo Finance website and the Indonesia Stock Exchange. The variables used in this study are abnormal returns, trading volume activities, and bid-ask spreads. The testing carried out in this study used a paired t-test and tested Wilcoxon test. The results of this study indicate: (1) The results of statistical testing on the average abnormal return during the event, there is a difference in the normal new event in Indonesia, the opening of lockdown in the Netherlands and Singapore. The average value of the abnormal return is positive, so it can be concluded that this event is categorized as good news. (2) The results of statistical testing on the average trading volume activity during the event show a difference in the opening of the lockdown in Malaysia. (3) The results of testing at the average bid-ask spread during the event show a difference in the opening of the lockdown in Malaysia. Keywords: Covid-19, palm oil, abnormal return, trading volume activity, bid-ask spread

Research indicates that at the time of a takeover announcement, target firm shareholders receiving cash earn larger abnormal returns than those receiving stock. Our work confirms that cash targets receive larger direct payments from bidders and that the size of target firm abnormal returns is related to the relative size of this direct payment. Once we control for the size of the payment, however, we find the target firm abnormal returns to be unrelated to the payment method. Thus the relationship between payment method and target firm abnormal returns is indirect. This finding is important because it casts doubt on the signaling (asymmetric information) hypothesis. That is, cash offers do not seem to be valued by the market as a means of reducing this uncertainty. Something else, such as the tax implication differences between cash and stock offers, drives cash target firms to demand larger payments from bidding firms.

The objective of this research is to assess and analyze the reaction of the capital market to the initial trading of carbon exchange, which is measured using abnormal return, cumulative abnormal return, dan trading volume activity, before and after the event. This event study assesses the impact of an event on stock prices. The research period is fifteen working days, i.e. seven days before, one day during, and seven days after the initial carbon trading. Using purposive sampling, six companies consisting of forestry industry, paper, and renewable energy firms listed on the Indonesia Stock Exchange were selected as the sample. The incorporated methods are Wilcoxon signed-rank test and paired sample t-test before and after the event. This study finds that the average abnormal returns before and after the initial carbon trading are not different, that the cumulative average abnormal returns before and after the event are different, and that the average trading volumes before and after the carbon trading are not different. Abstrak Penelitian ini memiliki tujuan untuk menguji dan menganalisis reaksi pasar modal terhadap perdagangan perdana bursa karbon yang diukur melalui variabel indikator abnormal return, cumulative abnormal return, dan trading volume activity pada sebelum dan sesudah peristiwa. Jenis penelitian yang digunakan adalah studi peristiwa untuk menilai dampak dari suatu peristiwa terhadap harga saham. Periode penelitian yang digunakan adalah 15 hari kerja Bursa Efek Indonesia yang terdiri dari 7 hari sebelum, 1 hari event date, dan 7 hari sesudah perdagangan perdana bursa karbon. Penelitian ini menggunakan teknik purposive sampling sehingga didapatkan 6 sampel perusahaan industri perhutanan, kertas, dan energi terbarukan yang terdaftar di Bursa Efek Indonesia. Metode penelitian yang digunakan adalah uji beda wilcoxon signed rank test dan paired sample t-test pada sebelum dan sesudah peristiwa. Hasil dari penelitian ini adalah variabel average abnormal return pada sebelum dan sesudah perdagangan perdana bursa karbon tidak memiliki perbedaan. Sedangkan, variabel cumulative average abnormal return pada sebelum dan sesudah perdagangan perdana bursa karbon memiliki perbedaan. Kemudian, variabel average trading volume activity tidak memiliki perbedaan pada sebelum dan sesudah perdagangan perdana bursa karbon.

This study aims to examine the abnormal return and stock trading volume to environmental pollution events. This research is included in quantitative research. Data source in this research is secondary data. Sources of data in this study were obtained from the 3 most trusted online mass media, namely; Kompas, Republika and Koran Tempo to find information about environmental pollution events conducted by the company, as well as for financial data of share price and trading volume through Indonesia Stock Exchange website or other providers such as, yahoo finance and World Investment. Based on the test results, it can be concluded that, the hypothesis stating that there is a market reaction to environmental contamination events indicated by the decrease in average abnormal return before and after the reporting of environmental pollution events conducted by companies listed on the Indonesia Stock Exchange was rejected, The difference in market reaction to environmental contamination events is indicated by the decrease in average abnormal return after the reporting of environmental pollution events conducted by companies listed on the Indonesia Stock Exchange. The second hypothesis is rejected, the hypothesis that there is a market reaction to environmental contamination events is indicated by a decrease in average trading volume before and after the reporting of environmental pollution events conducted by companies listed on the Indonesia Stock Exchange, there is no market reaction to the event of environmental contamination Which is indicated by a decrease in average trading volume after the reporting of environmental pollution events conducted by companies listed on the Indonesia Stock Exchange.

An innovative financial strategy of the government involves establishing financial holding companies (FHCs) in Taiwan. This investigation considers the stock values of the FHC target firms, and applies the Market Model of Event Study Method to determine whether the stock values of the target firms will be affected by FHC acquisition announcements. The results indicate that the target firms had markedly abnormal average returns on the announcement day (t = 0), before and after the announcement day (t = –1, t = +1) and some trading days during the event period. The target firms exhibited positive 3.46% significantly cumulative abnormal average returns during (–3, +3), but during other event periods ( – 10, +10), (–20, +20) and (–30, +30) the cumulative abnormal average returns were not significant. Furthermore, the target firms displayed 11.98% significant positive cumulative average abnormal returns during (–30, –1) but 8.72% significant negative cumulative abnormal average returns during (+1, +30), and 17.84% significant negative cumulative abnormal average returns from the announcement day to the stock transformation date. The results of this work provide a good reference to help investors make decisions regarding selling, buying or holding FHC stocks.

This research entitle LQ45 stock reaction to the announcement of the cabinet work in 2014 on thestock exchange Indonesia. This analysis technique applies traditional techniques saturated samples. The population of 45 companies in LQ45 period of August 2014-January 2015 with the observation period of 10 days before and 10 days after the announcement/ the analaytical approach used to determine the stock price reaction before and after using one sample t test, while an analysis approach to distinguish the average of abnormal return and trading volume by using a paired sample t test using the alpha level () of 5%. The results of collecting data is to analyze of stock price reaction. It shows that there is no stock price reaction before and after the announcement of the Working cabinet. Because of abnormal return only occurs on H-7 (0.024) and H+8 (0.018), while others do not. The researches used a writting test. Test results of the test on average abnormal return is no difference in the average abnormal return and the announcement of the cabinet work before and after. The test results mean that there are many differences in volume average trading volume before and after the announcement of Labor cabinet.

This study aims to determine the impact of the announcement of COVID-19 on abnormal stock returns and trading volume activity. The variables were abnormal return and trading volume activity in 61 days, 30 days before and after the incident, and the day the COVID-19 incident occurred. This research is an event study. This study uses secondary data, namely the daily stock price and the active trading volume of each infrastructure company during the study period. The data analysis method used is the paired sample t-test and Wilcoxon signed rank test to determine the significant impact before and after the announcement of COVID-19. This study shows that there is no significant abnormal return, and the average abnormal return before the announcement of COVID-19 is smaller than after the announcement of COVID-19. There is significant trading volume activity on the day of the announcement of COVID-19 in the infrastructure sector in Indonesia, and the average trading volume activity before the announcement of COVID-19 is smaller than after the announcement of COVID-19.

The purpose of this study is to analyze the response of Indonesian capital markets to differences in average abnormal returns and average trading volume activity before and after the strengthening of the IDR/USD exchange rate. This study is a quantitative study using the event study method. The sample used consists of the stocks included in the LQ45 index. the most active stocks with a large daily trading volume. Hypothesis testing and paired t-test. The results of the hypothesis test show that: there is no significant difference in the average abnormal returns before and after the strengthening of the rupiah against the US dollar because are sig. (2-tailed) value of 0.417 > 0.05; there is no significant difference in the average trading volume activity before and after the strengthening of the rupiah against the US dollar because sig. (2-tailed) value of 0.080 >0.05. Keyword: Market Reaction; Event Study; Abnormal Return; Trading Volume Activity; Exchange Rate

The Market Abuse Directive came into effect on 1 October 2005. One of its purposes is to reduce illegal insider trading and leakage of information prior to official releases by increasing penalties. Applying an event study approach to a dataset of almost 5,000 corporate news announcements, the analysis reveals that the information value of announcements, measured by the announcement day abnormal return and abnormal volume, is not significantly different after the new regulation than it was before although the number of releases has increased significantly. Trading suspicious of illegal insider trading and leakage of information, measured in terms of cumulative average abnormal returns and volumes for the 30 days prior to the news announcement, has significantly declined for small capitalization firms, for announcements containing information about alliances and mergers and acquisitions and for firms in the technology sector.

This study develops a structural equation model linking both abnormal stock returns and abnormal trading volume to unexpected changes in accounting ratios that result from the issuance of annual accounting data. The three contributions of this study are as follows: (a) a simultaneous investigation of both the price and the trading activity stock market reactions to the issuance of annual financial statements; (b) the application of a measurement model to depict the changes in a firm's financial characteristics, which result from the issuance of financial statements; and (c) a causal model structure is developed, estimated, and tested. Through overidentification of the model, the hypothesized model structure is evaluated. Instead of investigating the price and trading activity reactions separately, as was done in previous studies, the two reactions are modeled simultaneously and are linked. A measurement model is hypothesized to aggregate the unexpected changes in 13 financial ratios into the unexpected changes in 4 latent financial dimensions: liquidity, leverage, profitability, and activity. The structural model then links the unexpected changes in the financial dimensions to abnormal stock market returns and trading volume. The 13 equations of the measurement model and the 2 structural equations are estimated simultaneously using LISREL, a full information maximum likelihood estimation procedure. The model is estimated, and the hypothesized model configuration recreates 82% of the generalized variance in the observed data. The individual parameter estimates show that the major source of variation in abnormal returns is the unexpected changes in profitability. None of the unexpected changes in the financial dimensions are found to be significantly linked directly to abnormal trading volume. Instead, the link is indirect through the relationship between abnormal returns and abnormal volume.

Political events can affect stock prices in economic or non-economic terms. The political events of the general election are quite interesting topics for testing the information content of stock prices on the IDX which is intended to measure market response using abnormal returns, average abnormal returns and trading volume activity as well as average trading volume activity. The purpose of this research is to be able to prove the difference between abnormal return, average abnormal return and trading volume activity as well as average trading volume activity after and before the 2019 Indonesian presidential election. The population of this study is the index published by the IDX and the sample in this study is 45 companies listed in the LQ 45 index. The type of research conducted is quantitative research and secondary data in this study were obtained from the Indonesia Stock Exchange (IDX) and Yahoo Finance. Analysis of the test data using the normality Kolmogrov-Smirnov test and the Ranking Test Wilcoxon because the observation time in the test is 7 days after and 7 days before the 2019 Indonesian presidential election. 2019 there is no significant difference to the average abnormal return and average trading volume activity.