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This study examines the market reactions to share repurchase announcements made by companies listed on the Johannesburg Stock Exchange from 2003 to 2012. We use an event study methodology and the Capital Asset Pricing Model to determine if there is an announcement effect when a share repurchase announcement is made. Our analysis show that consistent with signalling theory and the announcement effect, share repurchase announcements are associated with positive abnormal returns. The average abnormal return and cumulative average abnormal return noted was 0.46% and 3.81% respectively for the event period (t -20, t +20). There was an observable trend of declining share prices before the share repurchase announcement however the decline in the shares prices was not significant. We found some evidence of market timing ability in 2005 and 2010 however as a collective, we found no significant difference in timing a share repurchase announcement. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

This thesis uses an event study methodology to investigate the short- and long-term effect on shareholder value from Lex ASEA-approved spin-offs' on the Swedish market between 1991-2022. The impact of spin-offs has been examined by estimating the effects on the parent firm, the spun-off entity, and a value-weighted pro-forma entity. This study has also attempted to capture sources of any abnormal returns by testing several potential determinants. The study found positive but insignificant short-term abnormal returns for all measured entities, which contradicts the positive results of previous US and European studies. Testing for relative spin-offsize and industry focus as determinants for abnormal announcement returns indicated that smaller intra-industry spin-offs yield greater abnormal returns. The spun-off and pro-forma entities showed significant long-term abnormal returns compared to the OMXSPI index benchmark. When compared against a portfolio of matched firms, only the spun-off firms delivered significant abnormal returns, but only for one of the tested intervals. Testing for relative spin-offsize and industry focus as determinants for long-term performance found that cross-industry spin-offs yield positive long-term abnormal returns for the spin-off firm. Lastly, testing the proxies for operational performance for the parent firms show general improvements in ROA and EBITDA/TA post spin-off and inconclusive results for gross profit margin. Consequently, the short-term findings presented in this study do not exhibit any increase in shareholder value related to the announcement of spin-offs. In contrast, the long-term results show increased shareholder value for the spun-off entity and the hypothetical pro-forma combined firm.

This paper investigates the impact of dividend reduction announcements on the returns to stocks listed on the Stockholm Stock Exchange. We perform an event study on dividend cutting firms between 2002-2016 to determine if contrarian trading on the basis of negative dividend announcement yields abnormal returns. We evaluate the immediate market reaction during a three-day event window surrounding dividend announcements. Thereafter we test a contrarian trading strategy by examining abnormal returns during a holding period up to twenty days following the initial event. We evaluate the results in reference to previous literature on post earnings (dividend) announcement drift and contrarian investment strategies. The findings suggest that the initial market reaction to dividend cuts is negative, but that the abnormal returns to buying stock following dividend reduction announcements are negligible. Furthermore, we argue that there might be means of increasing these returns by supplementary analysis of firm specifics.

This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averaging to reduce the model uncertainty and find out why our abnormal returns estimates greatly vary across stud- ies. Our results suggest that one of the most important drivers are the standard-error terms. This subsequently proves that publication bias is the most responsible for the heterogeneity amongst our estimates. Our analysis fails to demonstrate any positive effects from M&A activity on a firm post-acquisition performance. We suggest that other motives are under-represented in the underlying theory that aims to assess M&A outcomes. Keywords Mergers and Acquisitions, Stock Returns, Abnormal Re- turns, Meta-Analysis, Publication bias Author's e-mail thibault.parreau@gmail.com Supervisor's e-mail...

This paper examines the lockup expiration date event for technology firms post Global Financial Crisis to investigate the existence of abnormal returns around this date and determine the explanatory power that insider trading and the increase in available shares have on the abnormal return. Contributions to literature include using an updated sampling, targeting the technology industry, and constructing unique variables such as the dollar value of insider trades around the lockup expiration date. There exists statistically significant three-day cumulative abnormal returns of -1.33%. Firms with higher percentages of insiders who sell their positions tend to experience a further decrease in cumulative abnormal returns (CAR). The supply effect of these shares being opened to the market is not significant at the 95% confidence level. Thus, insider trading rather than increased supply accounts for variations in the abnormal returns across technology firms.

This study investigates the effect of board networks on M&A transactions. I select 331 samples of M&A transactions among U.S. Fortunate 500 companies which are also U.S. public companies from 2002 to 2011. In addition, I use definition of board networks by Cai & Sevilir (2012) to identify whether there exist board networks in each sample. About research design, first I use event study methodology to estimates cumulative abnormal returns (CAR), and then examine the relationship between the board networks and M&A performance through regression analysis. Empirical analysis results are as follows:¡G 1. M&A announcement brings significantly negative abnormal returns to the U.S. Fortunate 500 companies. 2. The board networks will decrease the M&A performance for the U.S. Fortunate 500 companies. 3. The board networks are not efficient information channels for the U.S. Fortunate 500 companies.

The purpose of this thesis is to further examine the market dynamics of M&As in the cleantech and renewable energy industry. This study analyzes the abnormal returns of 273 announced and 54 completed buyout acquisitions that took place between 1997 and 2014. The event study method is used to test if cleantech deals experience higher returns than traditional energy and mining deals, if deal completions display similar effects as deal announcements (which is the unique contribution of this thesis) and if homogenous deals experience higher abnormal returns than heterogeneous deals. The outcomes are that the traditional energy and mining sector outperforms the cleantech sectors in homogenous deals. That deal completions effect follows the announcements effect for 11 out of 15 groups and that homogenous deals outperform heterogeneous deals.

I examine the effects of contemporaneous credit rating and watchlist announcements on the over-the-counter U.S. corporate bond market. I find significant negative daily abnormal returns (-2.91%) over a ten-day window associated with a downgrade announcement with negative watch. The effect is particularly strong over the two-day post-event window (-1.90%), while there is some weak evidence of market timing during the four days preceding a downgrade (-0.58%). Abnormal returns following upgrades with positive watch are weaker both in terms of statistical significance and magnitude. I also observe higher abnormal bond returns following downgrades with negative watch around rating-sensitive boundaries. These results suggest that bond abnormal returns could also be driven by regulation constraints, besides the information content of the ratings. Finally, a multivariate cross-sectional analysis on abnormal returns over the two-day window following downgrades shows that the negative watchlist state is a key determinant of bond market's response even when key control variables are included. / <p>Lic.-avh. Stockholm : Handelshögskolan, 2014</p>

Investors rely on secondary information sources, like cover stories, as market indicators due to time, information and resources constraints. However, studies in the US market gave mixed results about the potential use of cover stories while no publish research could be found in South Africa related to investors reaction to cover stories or whether an understanding of investment periods, company specific characteristics or bounded rational behaviour would yield superior abnormal returns from cover stories.In total, 1218 cover stories related to publicily listed companies were recorded from FinWeek and Financial Mail for the period 1985 to 2008 and categorised based on the Likert scale developed by Arnold et al. (2007). Event study methodology was used in the research.The research found evidence that investors did pay attention to very optimistic cover stories. Positive an neutral cover stories were contrarian indicators, while negative cover stories were momentum indicators of future company investment performances and the abnormal returns for an investment portfolio based on these cover story effects were optimised by short-selling cover story companies from healthcare, general retail and general mining industries and buying shares in control companies from the same industries and company sizes. The ability to earn long-term abnormal returns proofed weak form market inefficiency for the JSE. Copyright / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted