Brazilian market reaction to equity issue announcements
Autor(a) principal: | |
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Data de Publicação: | 2005 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UnB |
Texto Completo: | http://repositorio.unb.br/handle/10482/26559 https://dx.doi.org/10.1590/S1807-76922005000200004 |
Resumo: | We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. Our results are remarkably consistent with most of the international empirical literature. Some previous empirical findings have turned up abnormal returns before the announcement date, interpreted as signs of insider information. This evidence also appears in our study as we found an average cumulative abnormal return of -0.01 three weeks before the announcement. With respect to the announcement date, the evidence reported in the literature is virtually unanimous in showing negative abnormal returns, meaning that stock issues convey pessimistic information to the market. Our study confirms these findings with an average -0.03 cumulative abnormal return on the first three days following the announcement. Finally, the empirical literature has also collected evidence of long-term negative abnormal returns after the issues, which we also confirm, with an abnormal return of -0.28 after one year following the announcement. The results also show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation. |
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Medeiros, Otavio Ribeiro deMatsumoto, Alberto Shigueru2017-12-07T04:43:46Z2017-12-07T04:43:46Z2005BAR, Braz. Adm. Rev.,v.2,n.2,p.35-46,2005http://repositorio.unb.br/handle/10482/26559https://dx.doi.org/10.1590/S1807-76922005000200004We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. Our results are remarkably consistent with most of the international empirical literature. Some previous empirical findings have turned up abnormal returns before the announcement date, interpreted as signs of insider information. This evidence also appears in our study as we found an average cumulative abnormal return of -0.01 three weeks before the announcement. With respect to the announcement date, the evidence reported in the literature is virtually unanimous in showing negative abnormal returns, meaning that stock issues convey pessimistic information to the market. Our study confirms these findings with an average -0.03 cumulative abnormal return on the first three days following the announcement. Finally, the empirical literature has also collected evidence of long-term negative abnormal returns after the issues, which we also confirm, with an abnormal return of -0.28 after one year following the announcement. The results also show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation.Em processamentoANPAD - Associação Nacional de Pós-Graduação e Pesquisa em AdministraçãoBrazilian market reaction to equity issue announcementsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleBrazilian stock marketSEOsevent studymarket volatilityGARCHinfo:eu-repo/semantics/openAccessengreponame:Repositório Institucional da UnBinstname:Universidade de Brasília (UnB)instacron:UNBORIGINALv2n2a04.pdfapplication/pdf270282http://repositorio2.unb.br/jspui/bitstream/10482/26559/1/v2n2a04.pdfa75bfb94245d6782eeaac04ed7b49715MD51open access10482/265592023-09-28 17:57:30.555open accessoai:repositorio2.unb.br:10482/26559Biblioteca Digital de Teses e DissertaçõesPUBhttps://repositorio.unb.br/oai/requestopendoar:2023-09-28T20:57:30Repositório Institucional da UnB - Universidade de Brasília (UnB)false |
dc.title.pt_BR.fl_str_mv |
Brazilian market reaction to equity issue announcements |
title |
Brazilian market reaction to equity issue announcements |
spellingShingle |
Brazilian market reaction to equity issue announcements Medeiros, Otavio Ribeiro de Brazilian stock market SEOs event study market volatility GARCH |
title_short |
Brazilian market reaction to equity issue announcements |
title_full |
Brazilian market reaction to equity issue announcements |
title_fullStr |
Brazilian market reaction to equity issue announcements |
title_full_unstemmed |
Brazilian market reaction to equity issue announcements |
title_sort |
Brazilian market reaction to equity issue announcements |
author |
Medeiros, Otavio Ribeiro de |
author_facet |
Medeiros, Otavio Ribeiro de Matsumoto, Alberto Shigueru |
author_role |
author |
author2 |
Matsumoto, Alberto Shigueru |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Medeiros, Otavio Ribeiro de Matsumoto, Alberto Shigueru |
dc.subject.keyword.pt_BR.fl_str_mv |
Brazilian stock market SEOs event study market volatility GARCH |
topic |
Brazilian stock market SEOs event study market volatility GARCH |
description |
We have carried out an event study to investigate stock returns associated with the announcement of equity issues by Brazilian firms between 1992 and 2003 in order to determine market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. Our results are remarkably consistent with most of the international empirical literature. Some previous empirical findings have turned up abnormal returns before the announcement date, interpreted as signs of insider information. This evidence also appears in our study as we found an average cumulative abnormal return of -0.01 three weeks before the announcement. With respect to the announcement date, the evidence reported in the literature is virtually unanimous in showing negative abnormal returns, meaning that stock issues convey pessimistic information to the market. Our study confirms these findings with an average -0.03 cumulative abnormal return on the first three days following the announcement. Finally, the empirical literature has also collected evidence of long-term negative abnormal returns after the issues, which we also confirm, with an abnormal return of -0.28 after one year following the announcement. The results also show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation. |
publishDate |
2005 |
dc.date.issued.fl_str_mv |
2005 |
dc.date.accessioned.fl_str_mv |
2017-12-07T04:43:46Z |
dc.date.available.fl_str_mv |
2017-12-07T04:43:46Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
BAR, Braz. Adm. Rev.,v.2,n.2,p.35-46,2005 |
dc.identifier.uri.fl_str_mv |
http://repositorio.unb.br/handle/10482/26559 |
dc.identifier.doi.pt_BR.fl_str_mv |
https://dx.doi.org/10.1590/S1807-76922005000200004 |
identifier_str_mv |
BAR, Braz. Adm. Rev.,v.2,n.2,p.35-46,2005 |
url |
http://repositorio.unb.br/handle/10482/26559 https://dx.doi.org/10.1590/S1807-76922005000200004 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração |
publisher.none.fl_str_mv |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UnB instname:Universidade de Brasília (UnB) instacron:UNB |
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Universidade de Brasília (UnB) |
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UNB |
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UNB |
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Repositório Institucional da UnB |
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Repositório Institucional da UnB |
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Repositório Institucional da UnB - Universidade de Brasília (UnB) |
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