Directors of listed companies earn abnormal returns by trading in a contrarian manner. This research report investigated whether outside investors can earn abnormal returns by following director contrarian trades. The returns to directors and outsiders, following a director trade were analysed using the event study methodology. The event study methodology utilised director trading information from SENS announcements on the JSE Securities Exchange, daily share prices, betas and price to book values for the selected companies, and daily all share index prices. The focus of the analysis was the post trade Cumulative Average Abnormal Returns (CAAR), in the 20 days following the director trade. The overall CAAR for all transactions was a statistically significant but economically insignificant 0.43%. When viewed from a transaction type perspective, the CAAR was 0.72% and 0.44% for purchases and sales transactions respectively. This study shows that while directors of listed South African companies do earn abnormal returns, they do not do so while consistently trading in a contrarian manner. In fact, transactions not deemed contrarian generated higher abnormal returns for directors. In addition, the study shows that outside investors do not earn abnormal returns by mimicking directors, and actually, their following of director trades generates the abnormal returns for directors. Copyright / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

In this paper we examine abnormal returns during active repurchasing programs and if the intensity of repurchasing programs impacts the returns. Through the Jensen’s Alpha approach our findings show us that positive abnormal returns are experienced by repurchasing firms under our study period that ranges from 2010 to 2019. The results show us that during active repurchasing programs companies have showed positive average annual abnormal returns ranging from 1,8% to 6%. We also find that the intensity of share repurchases does not have a statistically significant effect on the given abnormal returns. However, our results indicate that the abnormal returns are higher when the repurchases occurred, rather than when they are authorized.

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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 thesis studies the momentum trading strategies, in which investors buy stocks that performed well in the past and sell stocks that underperformed over the same peiord of time. We examine the momentum strategies from January of 1995 to September of 2006. This thesis has two purposes. First, do the momentum trading strategies generate positive abnormal returns ? Second, do the momentum trading strategies generate positive abnormal returns even after we consider the limits of short-selling stocks ? The results indicate that the momentum trading strategies generate significant positive returns. Furthermore, the momentum trading strategies still offer positive abnormal returns even after the limits of short-selling shares are taken into account, although the magnitude of positive abnormal returns decreases.

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.