Price Recovery Research Articles

The Ex-Dividend Effect for Reported Listed Companies in Taiwan

Past literature shows that investors use mental account when they are facing dividend distribution. That is, investors focus on dividend distribution and irrationally ignore the tradeoff of dividend payment and price decrease. The dividend is thus deemed as bonus to investors. Furthermore, investors tend to buy ex-dividend stocks after the ex-dividend day due to the expectation of price recovery. The buying forces around the ex-dividend day persistently push the price. After the ex-dividend, investors gradually become rational. The stocks thus are priced based on the fundametals. The overprice of stocks due to the ex-dividend events may consequently decreases. Past litearture regarding ex-dividend focuses on the announcemnet effect and ex-divend effect on the ex-dvidend day. The contribution of this project is to combine the issues of ex-dividend and media coverage to investigate whether the investing behavior bias of investors is strengthened after the coverage of ex-dividend news by media. Past literature has confirmed that investors refer to the media coverage when they are making stock picking decisions. However, the past literature did not further investigate the reaction of investors to the ex-dividend news. This study fills the gap of the literature to combine these two issues, which may provide a referecne for investors when they are making investing decisions.

Why Did Bank Stocks Crash during COVID-19?

Abstract A two-sided “credit-line channel”—relating to drawdowns and repayments—explains the severe drop and partial subsequent recovery in bank stock prices during the COVID-19 pandemic. Banks with greater exposure to undrawn credit lines saw larger stock price declines but performed better outside of crises periods. Despite deposit inflows, high drawdowns led to reduced bank lending, suggestive of capital encumbrance upon drawdowns. Repayments of credit lines unencumbered capital which explains the stock price recovery starting Q2 2020. Bank provision of credit lines resembles writing put options on aggregate risk, and we propose how to incorporate this feature into bank stress tests. (JEL G01, G21)

Damage versus risk perception: Why do house prices recover after hurricanes?

AbstractI study house price dynamics following Hurricane Sandy to explain the common puzzling finding of a price drop followed by a complete price recovery. Applying a quasi‐experimental difference‐in‐differences research design on Zillow parcel‐level sales data combined with Federal Emergency Management Agency data on damaged structures, I show that the extent of direct damages drives the decline in house prices. The extent of remodeling expenditures, as estimated from building permits, is found to be responsible for causing the return of prices to pre‐storm levels. Comparing flood insurance take‐up rates in the affected and non‐affected areas within floodplains and similarly for outside floodplains, I find no revision in perceived risk in the floodplain. In contrast, there has been an increase in flood insurance take‐up rates in affected areas outside of floodplains after the hurricane.

Is corporate social responsibility a stock price stabilizer during the public emergency? An integrated view of government response

PurposeThe aim of this study is to investigate the role of Corporate Social Responsibility (CSR) in assisting firms in their response to public emergency crises under the integrated view of government emergency response.Design/methodology/approachUsing event study and survival analysis method, the authors examine whether CSR can act as a stock price stabilizer for companies from China by splitting the stock price fluctuations into two phases – CSR price insurance, which decrease the shock on stock prices during the emergency crisis, and CSR price recovery, which helps stock prices rebound faster during the postcrisis phase.FindingsThe authors’ empirical results confirm the stabilizer role of CSR during crisis and that effective government response can strengthen such effect. Furthermore, the authors examine the different aspects of the government’s response and the impact of multiple waves of public emergency.Originality/valueThis study provides empirical evidence on the topic of CSR and the government’s response to public emergency under the emerging context.

Repercussions of Black Swan Event on The Indian Stock Market-A Case Study of Domestic Investors

As the stock market is constantly changing and is dependent on a wide range of unpredictable variables, predicting its behaviour is one of the most difficult tasks in the time-series prediction domain. Black Swan occurrences, which are very rare but sometimes deadly, can have a significant impact on the market. The stock market, like other financial markets, is vulnerable to what are known as ‘Black Swan’ occurrences, which are sudden and unexpected yet have a profoundly detrimental effect. If the successful stock trend can be forecast, regulators and investors may improve their trading tactics, lowering investment risk while increasing profits. First, this study examines the effect of the black swan event on the stock of the listed firms in which our sample of respondents invests, and then it compares the effectof the varied risk handling of many prominent enterprises on the stock price recovery. A more rapid reaction to risk occurrences means early processing time and less vulnerability to black swans.

How COVID-19 pandemic affected fisheries (catch volume and price): A case study in Europe

Portugal, with the highest per capita fish consumption and expenditure in the European Union, provides an excellent case study for examining the effects of COVID-19 containment measures on fishing activity. The present study focused exclusively on data obtained from mainland Portugal, covering the years 2015–2021. The analysis included different time periods: namely, pre-lockdown, during lockdown, and post-lockdown. The primary objective was to investigate and gain insights into the potential effects of lockdown measures on the quantity (catch volume) and price ($/Kg) of different fish species groups. During the lockdown, professional fishermen experienced lower quantities, compared to the average of previous years (2015–2019), in some months (March, April and May), of tuna (−44%: from 85 ton to 47 ton), small pelagic fish (−41.8%: from 4510 ton to 2627 ton), crustaceans (−31.9%: from 94 ton to 64 ton), and bivalves (−33.5%: from 412 ton to 274) being landed. Although prices fluctuated, only crustaceans showed a significant decrease in value (−34.8%: from 14.85$/Kg to 9.68 $/Kg). Groundfish, flatfish, cephalopods, and other marine fish groups did not experience any significant impacts on landing quantities. Although there was some recovery in catch volume and market prices in the post-closure period, indicating a certain level of resilience in the sector, the socio-economic context indirectly exacerbated the profitability challenges faced by the fishing industry due to COVID-19. Given the potential for future socio-economic crises, policymakers (e.g., country government) and stakeholders (e.g., Fishers’ associations, HORECA) should prepare comprehensive and easily implementable measures to strengthen the sector and minimize potential disruptions.

Impact of The Covid 19 Pandemic: Is There Overreaction in LQ 45 Stock?

The Covid-19 pandemic has had an impact on various aspects of life, including the capital market which has caused a negative response on most stock exchanges around the world, including the Indonesia Stock Exchange. The Effecieny Market Hypothesis (EMH) explains that the price of a stock will always be reflected from the information available in the market or investors tend to be rational. However, dramatic events such as COVID-19 allow investors to overreact. The results showed that there was an overreaction in both winner and loser stocks in the LQ 45 group on the IDX in 3 months of observation since covid was announced as a pandemic. This overreaction is then followed by a price reversal even though it has not given a significant return after t+13 for both winner and losser stocks. The speed of price recovery (magnitude effect) after the price reversal on the loser stock is higher (faster) than the winner stock. The speed of this price recovery is significantly affected by the company's capital structure and share ownership of individual investors (local and foreign).

Dividends and share repurchases during the COVID‐19 economic crisis

AbstractIn this article, we examine dividends and share repurchases of S&P 1500 firms during the COVID‐19 crisis characterized by the stock market crash and a relatively quick stock price recovery propelled by technology stocks. We find that the great majority of firms either maintain or increase the level of dividends during the crisis period. Yet, the relation between the dividend payout and reported earnings is negative and significant. This relation also holds for other types of payouts, including share repurchases and special dividends. Moreover, we find that both forecasted and realized earnings of up to 1 year into the future are negatively associated with current dividends, implying that existing payout policies are unsustainable in the longer term. Surprisingly, the difference‐in‐differences test shows that firms strongly affected by the COVID‐19 crisis have higher dividend payouts (relative to net earnings) compared to unaffected firms. The same test indicates that strongly affected firms significantly reduce repurchases.

ANALYSIS OF SEASONAL AND CYCLICAL VARIATION OF THE BRAZILIAN CELLULOSE PRICE IN THE USA MARKET FOR THE PERIOD OF 1997 TO 2018

The aim of this work was to analyse the seasonality in the price of the Brazilian pulp that is exported to the United States of America in order to support setting strategies and on the decision-making processes of the Brazilian companies in the international market framework. Data from the period between 1997 and 2018, related to the quantity and the value of exportation used in this work, was collected from the ALICE-WEB platform and then deflated using the month of April of 2018 as a base period. The results of the study show an instability in the prices of Brazilian pulp in the United States market, presenting four cycles with a non-periodic length and another fifth cycle that begins with a tendency of price recovery. The seasonal price movement tends to be greater during the second semester of each year, increasing mostly in the month of November. Therefore, the exportation of Brazilian pulp to the United States must be carried out, whenever possible, in the second semester, when the prices are higher, and stock the production from other months as well as look for alternative markets, having in mind a higher profitability for the companies.

Losses never sleep – The effect of tax loss offset on stock market returns during economic crises

We analyze to what extent more generous tax loss offset regulations are associated with a weaker decline and stronger recovery of firm stock prices during economic crises. We argue that an unrestricted loss carryforward and, particularly, an unrestricted loss carryback provides firms with additional liquidity, which should lower the risk of bankruptcy and can be used for investment purposes. Our empirical findings document that (1) an unrestricted loss carryforward and an unrestricted loss carryback result in a weaker decline and more timely recovery of stock prices during the considered crises, (2) this effect is stronger in high-tax countries, and (3) this effect is also dependent upon pre-crisis profitability.

House Prices and Flood Risk Exposure: An Integration of Hedonic Property Model and Spatial Econometric Analysis

The impact of climate change is devastating in developing countries where flood protection and insurance schemes are limited. Certain parts of Ho Chi Minh City, Vietnam are under the constant threat of inundation due to sea-level rise. We integrate the hedonic property model in a difference-in-differences framework and spatial econometric analysis into a single analytical framework to estimate the economic effect of pluvial flooding. We find prices for affected houses were discounted by 9% after a large flood event on 30 September 2017. This research contributes to the existing literature as follows. First, we study the economic impact of pluvial floods, which has received less attention in existing studies where large and irregular floods are their focus. Second, the inclusion of legal status as a control variable accounts for the unique character of the Vietnamese housing market. Third, we also identify the recovery of house prices after the flood event.

Application of Industrial Internet of Things (IIoT) in Crude Oil Production Optimization Using Pump Efficiency Control

The collapse of oil prices in mid-2014 and early 2016 was the biggest in modern history that witnessed more than a 70% drop in the price to around $40 barrel. It prompted companies to think seriously to maintain profitability. Most companies were able to survive partly by simplifying their operations. Price recovery in 2021 is only 70% of its peak value. Companies are focusing on reducing the cost of operations, increasing production simultaneously, and finding new and different strategies to survive. The current scenario is witnessing strong research focusing on the development of process control for oil and gas upstream and downstream to improve the control and preventive maintenance to reduce operating costs and increase production. This paper presents the Industrial Internet of Things (IIoT) practical solution that improves the oil production rate from the well and increases the average pump efficiency (fillage) to 90%. This paper proposes a mechanism for collecting, storing, and analyzing all required parameters to build valuable charts. These charts’ data help optimize the values and parameters for controller setpoints to prevent pump gas lock problems. An artificial lift is required to lift the oil from the well. In this paper, the sucker rod pump is driven by a gas engine fed by the well’s gas. At the same time, SCADAPack 535E remote terminal unit collects all pump and well parameters such as hydraulic pressure, casing pressure, tubing pressure, and pump speed in stroke per minute (SPM). The remote terminal unit sends the data through a wireless network using a 5 GHz antenna to the main control room. The IIoT platform is designed using a visual basic programming language. Microsoft DDE (Dynamic Data Exchange) and Kepware OPC server were used to work on the received data to monitor, generate charts, and apply the controllers.

Real estate investors and the U.S. housing recovery

AbstractU.S. house prices fell nearly 30% between 2006 and 2012. Meanwhile, homeownership rates declined as mortgage credit supply tightened and investors bought up properties. Although nationally house prices recovered to prebust levels by 2016, homeownership rates declined through mid‐2016, as investors, particularly those purchasing through corporations, gained market share. By exploiting heterogeneity in zip codes' exposure to Fannie Mae and Freddie Mac programs that affected investors' access to foreclosed properties, we find that increased presence of investors explains a significant fraction of the house price recovery. Investors reduced vacancies and shortened the time foreclosed properties spent in bank ownership.

Mortgage Refinancing, Consumer Spending, and Competition: Evidence from the Home Affordable Refinance Program

AbstractWe examine the ability of the government to impact mortgage refinancing activity and spur consumption by focusing on the Home Affordable Refinance Program (HARP) that relaxed housing equity constraints by extending government credit guarantee on insufficiently collateralized refinanced mortgages. Difference-in-difference tests based on program eligibility criteria reveal a significant increase in refinancing activity by HARP. More than three million eligible borrowers with primarily fixed-rate mortgages refinanced under HARP, receiving an average reduction of 1.45$\%$ in interest rate ($3,000 in annual savings). Durable spending by borrowers increased significantly after refinancing. Regions more exposed to the program saw a relative increase in non-durable and durable consumer spending, a decline in foreclosure rates, and faster recovery in house prices. Competitive frictions in the refinancing market hampered the program’s impact: the take-up rate and annual savings among those who refinanced were reduced by 10–20$\%$, with amplified effects for the most indebted borrowers.

Price recovery after the flood: risk to residential property values from climate change‐related flooding*

We take advantage of a combination of a severe weather event from 3 to 4 June 2015 and a local policy, to investigate the housing market response to climate change‐related flooding hazard. The study focuses on a residential area in a low‐lying coastal suburb of Dunedin, New Zealand, where the groundwater level is shallow and close to sea level. An unusually heavy rain event in June 2015 resulted in flooding of a significant portion of land in especially low‐lying areas. The city council responded by reviewing processes for storm‐water management and by imposing minimum‐floor‐level [MFL] requirements on new construction in the low‐lying areas previously identified as at risk of flooding. Applying a ‘diff‐in‐diff‐in‐diff’ strategy in hedonic regression analyses, we find that houses in the MFL zone sell for a discount of about 5 per cent prior to the flood. This discount briefly tripled in the area that flooded, but disappeared within 15 months, indicating either very short memory among homebuyers or no long‐run change in perception of hazard.

The modern phase of the polysilicon market

The current condition and outlooks of the world semiconductor and polycrystalline silicon (poly-Si) markets have been analyzed. A long period of low PS prices which hindered the growth of investments into the industry has now changed for price recovery to an investment attractive level. Demand and offer balance for the period until 2024 and for the long term has been analyzed, and the main currently used PS processes have been reviewed. The current poly-Si market proficiency is expected to remain in the near and medium terms. However the “green turn” of the energy industry announced by all the governments, the development of local markets and the price recovery to an investment attractive level have promoted the development of new PS fab projects. Of special importance for Russia is the choice of Siemens trichlorosilane process parameters. A specific feature of the Russian market is the presence of several very important fields (solar energy, microelectronics, high-power electronics, photonics and fiber optics) which are small by international standards and equally face raw material shortage. It appears that Russia will greatly benefit from integral projects delivering solutions of multiple raw materials supply problems.

Collapse and recovery of seafood wholesale prices in time of COVID-19.

The COVID‐19 pandemic has spread around the world, disrupting economies, societies and daily life. Early research anticipated significant negative impacts for the globalized seafood supply network. Here, we explore the impact of the COVID‐19 pandemic on wholesale prices from five major seafood markets around the world. An anomalies analysis was used to establish a 5‐year baseline price for each commodity. Daily price data from 2020 were compared to the baseline to identify collapses (>1.96 SE from baseline) and analyse collapse characteristics (timing, duration and magnitude). Non‐uniform price collapses were observed across, and within, the markets analysed. Toyosu (Tokyo) Market experienced price collapses to 51% of commodities, Rungis (Paris) 36%, Mercamadrid (Madrid) 19%, Mercado La Nueva Viga (Mexico City) 35% and the Portland Fish Exchange (Portland, Maine) 32%. Collapse magnitude varied from 11% to 79% of the 5‐year average price. Average collapse duration ranged from 13 to 24 weeks with some commodities (4%–22%) remaining collapsed at the end of 2020. For markets where volume data were available, collapses were also noted (59% of commodities in Toyosu, 10% in Mercamadrid and 19% in Portland Fish Exchange); in these cases, the volume collapse was more severe than the related price collapse. To better detect, anticipate and respond to future shocks, we recommend that relevant government agencies conduct comprehensive economic reviews of the COVID‐19 pandemic throughout the seafood supply chain, including the outcomes of emergency measures, short‐ and long‐term implications of market volatility and identify areas of supply and labour vulnerabilities.

Usefulness of KMAS as Perceived by The Farmers

Kisan Mobile Advisory Service (KMAS) delivers real-time agricultural information and customized knowledge to improve farmers’ decision-making ability so that they may enable to increase their production and productivity, better aligning the farm output to market demands; securing better quality and improved price recovery in a globally competitive agrarian economy. The study was conducted at Kolar district of Karnataka state. A total of 120 farmers who had registered under KMAS were selected randomly for the study. Ex-post facto research design was used for the study. Usefulness of KMAS was measured by employing the scale developed by Singh (2012) with due modifi cations. Majority of the registered farmers perceived KMAS messages as ‘most useful’ and ‘regularly utilized’ the information sent by KMAS.

Better opportunities created for investors by evolution of petroleum contracts in Iraq under the background of the recovery of oil prices

In order to revitalize its economy and oil industry, Iraq has gradually opened up its oil and gas market to the outside world in the past decade through public bidding. Service contracts were mainly adopted in 2008. Though some contractors really made a profit, some blocks were not so attractive. For the purpose of improving the distribution of profits and risks between the federal government of Iraq and overseas contractors, the government has been constantly adjusting the fiscal terms of service contracts, and even introduced a new contract model — development and production contract in 2018. To provide an insight into the changes and its consequence, the process and the trend of change in the contracts over the past decade are summarized, and furthermore, a quantitative analysis is conducted with a financial model. Especially, given the importance of oil prices, a sensitivity analysis is introduced to examine how oil prices impact the income of overseas contractors under different contract models. The results indicate that the federal government was being in the process of gradually sharing equally with contractors the profits and risks arising from price fluctuation, and the new contract model, especially with the recovery of oil prices, is creating better opportunities for overseas oil companies.

The modern phase of the polysilicon market

The current condition and outlooks of the world semiconductor and polycrystalline silicon (poly-Si) markets have been analyzed. A long period of low PS prices which hindered the growth of investments into the industry has now changed for price recovery to an investment attractive level. Demand and offer balance for the period until 2024 and for the long term has been analyzed, and the main currently used PS processes have been reviewed. The current poly-Si market proficiency is expected to remain in the near and medium terms. However the “green turn” of the energy industry announced by all the governments, the development of local markets and the price recovery to an investment attractive level have promoted the development of new PS fab projects. Of special importance for Russia is the choice of Siemens trichlorosilane process parameters. A specific feature of the Russian market is the presence of several very important fields (solar energy, microelectronics, high-power electronics, photonics and fiber optics) which are small by international standards and equally face raw material shortage. It appears that Russia will greatly benefit from integral projects delivering solutions of multiple raw materials supply problems.