Change Announcements Research Articles

The Phenomenon of Dividend Announcement on Stock Abnormal Return (Case in ASEAN Countries)

Research aims: to examine the existence of stock’s abnormal return after dividend announcement activity.Design/methodology/approach: event study with 1.330 samples of dividend announcement in ASEAN countries during 2018. The research period was 21 days around the dividend announcement’s date.Research findings: this analysis's results agreed with the dividend signaling theory hypotheses, where the increase, decrease, or constant dividends could be an informative aspect for investors. Theoritical contribution/originality: it was shown by the presence of a positive abnormal return between an increase and a constant dividend, while a negative abnormal return between decrease dividends.Practitioner/policy implication: in the ASEAN capital market, it could be concluded that the change of dividend nominal would signal the firm’s prospect.Research limitation/implication: this research used the earliest dividend announcement before revision. Suggestions for further research are to pay attention to announcements of changes in dividend distribution dates and nominal revision, whether they contain information for investors, which will affect stock price movements.

The impact of size, composition and duration of the central bank balance sheet on inflation expectations and market prices

We analyse the effects of announcements of changes in the Eurosystem’s balance sheet size, duration and composition on inflation expectations, the exchange rate, the 10-year euro area government bond yield and stock returns, using local projections. We explicitly take into account interaction effects between the three balance sheet dimensions. We provide evidence for the duration extraction channel of monetary policy transmission as we find that the bond yield is sensitive to the combined impact of shocks to balance sheet size and duration. The exchange rate is also affected by a joint size-duration shock. Moreover, the bond yield and exchange rate are sensitive to the joint effect of changes in size and composition. The results indicate that interactions between balance sheet dimensions matter.

The Impact of Size, Composition and Duration of the Central Bank Balance Sheet on Inflation Expectations and Market Prices

We analyse the effects of announcements of changes in the Eurosystem’s balance sheet size, duration and composition on inflation expectations, the exchange rate and the 10-year euro area government bond yield, using local projections. We explicitly take into account interaction effects between the three balance sheet dimensions. We provide evidence for the duration extraction channel of monetary policy transmission, as we find that the bond yield is sensitive to the combined impact of shocks to balance sheet size and duration. The exchange rate is also affected by a joint size-duration shock. Moreover, the bond yield and exchange rate are sensitive to the joint effect of changes in size and composition. The results indicate that interactions between balance sheet dimensions matter.

What moves stock prices around credit rating changes?

Using monthly and multi-day return windows, research shows that credit rating downgrades often reveal new information and lead to significant stock price reactions but that upgrades do not. Using intraday data, we revisit these findings and extend them by examining the possibility of informed trading ahead of the announcement of credit rating changes. Credit rating agencies delay public announcements of rating changes to provide issuers with time to review and respond to rating reports, which opens the door for informed trading in advance of credit rating changes. Using data on rating changes from S&P, Moody’s, and Fitch, we find a more modest price reaction to rating downgrades than documented elsewhere and show that stock prices respond to changes in long-term issuer ratings but not to changes in ratings of a single instrument or a subset of instruments. Most interestingly, we find that prices start moving before a downgrade announcement, controlling for other news and investor anticipation. These pre-announcement movements are concentrated among observations where credit analysts are motivated to disclose private information to advance their careers. The beneficiaries of these disclosures appear to be institutional investors.

The Impact of Blockchain Related Name Changes on Corporate Performance

This paper examines the impact of blockchain and crypto-related name changes on corporate and financial performance of the corporations. We document several pieces of evidence suggesting that companies who partake in such naming practices become more volatile and offer substantial and persistent stock market premiums as a reward for their corporate identity change. However, the retroactive name changes harm firm’s short-term profitability and have a dampening effect on financial leverage of the company. This paper advances the Dotcom effect literature by providing novel results on the changing traditional pathways of price discovery and information flows after the announcement of corporate name changes to blockchain-related names. The identified contagion channels display that crypto-exuberant companies become more susceptible to cryptocurrency markets, which should interest regulators and investors.

Communication of Credit Rating Agencies and Financial Markets

The ability of credit rating agencies (CRAs) to influence financial markets has been widely debated in the academic literature, policy circles and general press. While some commentators think that CRAs’ announcements have relevant effects on the markets, others reckon that they may simply follow investor opinion. To address the issue, the empirical literature has mainly employed the event study methodology, analyzing the behavior of financial markets around rating change announcements. Following a recent trend that has emphasized the use of high-frequency data to achieve credible identification in macroeconomics, in this paper, we use the instrumental variable-local projection (IV-LP) methodology to obtain the effect of structural shocks to CRAs’ communication on financial markets. Applying this approach to Mexico, we find that CRAs’ communication about the sovereign has statistically significant effects on CDS spreads, interest rates and the exchange rate.

Announcement of changes to the editorial board

Announcement of changes to the editorial board

Announcement of changes to the editorial board

Announcement of changes to the editorial board

The impact of blockchain related name changes on corporate performance

This paper examines the impact of blockchain and crypto-related name changes on corporate and financial performance of the corporations. We document several pieces of evidence suggesting that companies who partake in such “crypto-exuberant” naming practices become more volatile and offer substantial and persistent stock market premiums as a reward for their corporate identity change. However, the retroactive name changes harm firm's short-term profitability and have a dampening effect on financial leverage of the company. This paper advances the Dotcom effect literature by providing novel results on the changing traditional pathways of price discovery and information flows after the announcement of corporate name changes to blockchain-related names. The identified contagion channels display that crypto-exuberant companies become more susceptible to cryptocurrency markets, which should interest regulators and investors.

Announcement of changes to the editorial board

Announcement of changes to the editorial board

R2 and the corporate signaling effect

AbstractIf corporate announcements provide additional signals about firms' future prospects, the degree of investors' dependency on these news should vary with the relative importance of firm‐specific information on such publicly traded firms. We show that price, volume and volatility reactions to dividend change announcements are significantly stronger for less synchronized firms (e.g., low R2 stocks). This indicates that lower R2 stocks are less informative and thus more surprises on firm‐specific news are experienced. These findings are particularly strong for dividend decrease announcements. We also show that signals about firms' earnings prospects from dividend decrease announcements are more reliable among these companies.

Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19

Penelitian ini bertujuan untuk mengetahui adanya perbedaan abnormal return sebelum dan sesudah pengumuman perubahan waktu perdagangan atas transaksi bursa pada Bursa Efek Indonesia selama pandemi covid 19. Populasi penelitian adalah seluruh perusahaan yang melakukan masuk ke dalam perusahaan LQ45 di BEI pada periode bulan Februari – Juli 2020 yaitu sebanyak 45 perusahaan. Sampel pada penelitian ini diambil dengan menggunakan metode sensus, berarti jumlah sampel yang diambil sama dengan jumlah anggota populasi. Untuk menguji hipotesis penelitian ini menggunakan Paired sample test. Uji ini digunakan untuk mengetahui ada atau tidaknya perbedaan rata-rata antara dua kelompok sampel yang berpasangan (berhubungan). Artinya, sebuah sampel tetapi mengalami dua perlakuan yang berbeda. Objek penelitian ini adalah abnormal return. Untuk melakukan perhitungan abnormal return, terlebih dahulu harus mencari actual return dan expected return. Untuk melakukan perhitungan expected return menggunakan pengukuran Market Adjusted Model.Hasil dari penelitian ini menunjukkan bahwa terdapat perbedaan abnormal return sebelum dan sesudah pengumuman perubahan waktu perdagangan atas transaksi bursa pada Bursa Efek Indonesia selama pandemi covid 19.

디지털 정부혁신을 위한 부동산에스크로시스템도입에 관한 연구

Korea integrated 18 kinds of real estate transaction-related certificates into one by spending big budgets over the years. Notwithstanding this effort, the online certificate developed by the government is only used as a reference for transactions. Meanwhile, taxes are evaded along with manipulated real transactions and total transaction services are not properly provided, since there are many parties to transactions. This is why there is a backward country type of real estate transaction that brings about various ill effects including real estate transaction incidents. Besides, covert transactions prevail due to veiled transaction amounts and this makes it impossible to impose a tax at a real transaction price. In order to settle problems of the existing real estate brokerage system, there is a need to improve the current simple agency-based brokerage system consisting of many subdivided domains, develop a system for transparent announcement of real transaction prices and change into a real estate escrow system that enables the government to see transaction funds at once. Above all, it is urgently needed to introduce an escrow system, which is an advanced country type of real estate service system to guarantee safe transactions 100% when real estate transaction incidents occur. It is anticipated that development of real estate escrow system will make a contribution to stabilization of real estate transactions by 1) making the domestic real estate transaction system transparent, 2) establishing real transaction prices and consequently, expanding revenues, 3) facilitating stable management of real estate transaction funds, 4) integrating real estate transactions, 5) protecting consumers and improving the compensation system for damages, 6) reducing diverse opportunity costs and transaction costs through online services and 7) upgrading the credit rating for Mortgage Backed Security(MBS) when overseas real estate is open.

Index Informativeness: An Empirical Study on Indonesia Stock Exchange

This study aims to determine the market's reaction to the announcement of company list change’s at LQ45 Index, Jakarta Islamic Index (JII), and SRI-KEHATI Index. Sample of this research is company stocks that include in or exclude from LQ45 Index, JII, and SRI-KEHATI Index during the period 2009 to 2018. The results showed that in general in the sample group of companies included in the Index, no significant market reaction was found. For the sample group of companies excluded from the Index, significant negative market reactions were found from all the Index. Furthermore, there was no significant difference in market reaction was found, both in the sample group included and in the sample group excluded from the Index. Significant different market reaction were only found in the LQ45 Index and JII.

From CATS to CAOS: Fiscal Multipliers and Agents’ Expectations in a Macroeconomic Agent-Based Model

This paper uses a macroeconomic agent-based model building on Delli Gatti et al. (2011) to investigate the influence of agents’ expectations and consumption choices on government expenditure multipliers. Following a thorough investigation of the size of the multiplier in the pre-existing baseline model, a modification is introduced, allowing agents to engage in inter-temporal optimization of consumption subject to a budget constraint which is based on estimates of future income. Compared to the baseline, the fiscal multiplier is strongly affected by this alternative consumption behavior, becoming significantly smaller. In a further step, agents’ beliefs about the effects of government expenditure shocks are explicitly introduced. In the case of exogenously imposed beliefs coupled either with adaptation of individual beliefs or switching behavior between different types of beliefs, it is shown that both optimistic and pessimistic expectations can be temporarily self-fulfilling and either increase or decrease the value of the multiplier. Both forms of belief dynamics also allow for the incorporation of announcement effects of fiscal policy. In a final experiment, agents are allowed to engage in least-squares learning in order to gain an estimate of the effect of government expenditure shocks on future income. It is shown that under least squares learning, beliefs are ‘rational’ insofar as they lead to broadly correct predictions on average. The paper hence contributes to addressing aspects of the Lucas critique as applied to macro-ABMs, since agents react systematically (and reasonably) to announcements of changes in fiscal policy.

Analisa Pengaruh Perubahan Fed Fund Rate, Index Harga Saham Gabungan dan Indeks LQ45 Terhadap Nilai Tukar Dollar Amerika – Rupiah

The economy in Indonesia is experiencing a decline which can be seen from the decline in the Composite Stock Price Index in Indonesia. The decline in the value of the Composite Stock Price Index and Liquid 45 Index (LQ45) affected the rupiah exchange rate against US dollars that have passed the psychological level limit of Rp. 15,000 per 1 USD. The weakening of the rupiah and the index value of the stock was triggered by an increase in interest rates set by the Federal which increase Fed Fund Rate to 2.25% in September 2018.This study aims to explain whether it is true that the announcement of changes in the central bank's fed funds rate in the United States can be related and influence the Stock Price Index and Exchange Rates in other countries, especially in Indonesia.After collecting and processing data with Path Analysis, the results show that the impact in average of the fed fund rate to the average return LQ45 index has the strongest effect compared to other variables, then the strongest effect value is produced by the effect of average return Composite Stock Price Index to the average return of the US Dollar - Rupiah which is negative 0.76. After going through the mediation process, the indirect effect that occurs between the average fed fund rate on the average return of the US Dollar – Rupiah is positive 0.451, which significantly stagnant and changes the direction of the effect compared to its direct effect of negative 0.46.

Announcement of a change in CDI’s editorship

Announcement of a change in CDI’s editorship

Change of monetary regime, contracts, and prices: Lessons from the great depression, 1932–1935

In this paper I analyze the process leading to the abandonment of the gold standard in the U.S. in 1933, and the devaluation of the dollar in 1934. I argue that most changes of monetary regime have an impact on contracts. In this specific case, contracts that were written in terms of gold, or “gold equivalent,” were rewritten in paper dollars. Congress did this on June 5, 1933, when it abrogated the “gold clause” retroactively. The Supreme Court validated the move in February 1935. The result was a very large transfer of wealth from creditors to debtors. I use daily data on commodity prices to investigate the extent to which these policies contributed to ending deflation. I find that commodity prices reacted strongly to the announcement of policy changes, and to legal procedures involving contracts. These results are consistent with the “change in regime” hypothesis of Sargent.

Temptation and forward-guidance

Motivated by the extensive experimental and empirical evidence on preference reversal in consumption choices, we introduce temptation with self-control preferences into a New Keynesian model to study the effects of forward guidance in monetary policy, and the related forward guidance puzzle. In our set-up, the representative agent faces a trade off between the temptation for immediate satisfaction (liquidate wealth) with his long-run best (smooth consumption), which he manages by exerting cognitive effort (or self-control). For higher risk aversion in temptation than in commitment utility, there is discounting in the linearized Euler equation. The latter makes the response of current real activity to the announcement of a future policy change declining in the forward guidance horizon, which then helps solving the puzzle. Our framework delivers testable aggregate and policy implications that distinguish it from alternative microfoundations for discounting in the Euler equation previously used to solve the puzzle.

The informativeness of derivatives use: Evidence from corporate disclosure through public announcements

Abstract We provide new evidence on the determinants of corporate derivatives use by studying how markets respond to announcements of changes in derivatives positions by gold-mining firms. Announcements of increases or decreases in derivatives positions are associated with, respectively, negative or positive reactions in equity prices for both the announcing firm and other gold-mining firms, and, respectively, negative or positive reactions in the gold market. The reactions in the gold market and stock market (both firm and industry) are significantly more positive or negative, respectively, when firms explicitly state that they are decreasing or increasing derivatives positions due to changes in their market views of future gold prices. We help bridge an important gap in the literature by providing evidence consistent with some firms possessing credible private information that underlies changes in their derivatives positions, despite the absence of documented shareholder benefits created by firms that engage in selective hedging. Our findings also provide support for distress-cost minimization as a rationale for corporate derivatives use.