Stock price movements and trading behaviors around merger and acquisition announcements: Evidence from the Korean stock market

© 2019, Emerald Publishing Limited. Purpose: The purpose of this paper is to examine the relationship between price movements of target firms’ stocks and behaviors of local individual, local institutional and foreign investors in trading target firms’ stocks around mergers and acquisitions announcements in Korea. Design/methodology/approach: This study uses event study methodology and cross-sectional regressions for abnormal returns. Findings: Results reveal that the average abnormal return becomes significantly positive three days prior to the announcement date and becomes insignificant after the announcement date. Results also show that local individual investors tend to sell more intensely prior to announcements for target firms with larger wealth effects. In contrast, foreign investors tend to buy target stocks with larger wealth effects more intensely prior to the announcement date, and then they sell them more intensely in the post-announcement period. Originality/value: This paper provides evidence that foreign investors are able to identify target stocks with large wealth effects prior to the announcement date and they realize short-term profits by selling them following the announcement

Asset-Price Bubbles in the Australian Market

A study of market bubbles is generally considered a test of market eciency (or ineciency) since bubbles are concerned with rising prices that are detached from their fundamental values. Verifying the existence of such an ineciency requires us to be able to appropriately formulate fundamental value, which typically assumes homogeneous and rational investors. Requiring additional attention is the issue of persistence. Cochrane (1991) and Chung and Lee (1998) suggest that deviations, which slowly return to fundamental values, are more indicative of a \u27fad\u27 as opposed to a bubble. As such, an additional dimension in this de nition is associated with the duration of the ineciency

Foreign investors’ trading behaviors around merger and acquisition announcements: Evidence from Korea

© 2019 Elsevier Inc. This study examines foreign investors’ trading behaviors around merger and acquisition (M&A) announcements in the Korean stock market (both KOSPI and KOSDAQ markets). We find evidence that foreign investors are more likely to buy target stocks with larger wealth effects on the KOSPI market. In contrast, our results reveal that both foreign and domestic investors are not able to identify target stocks with larger wealth effects on the KOSDAQ market. Further, we find that in response to M&A announcements, only foreign investors can find target stocks with greater subsequent returns on the KOSDAQ market, but not on the KOSPI market

Intraday Trading Patterns in the Equity Warrants and Equity Options Markets: Australian Evidence

This paper extends the microstructure literature, by examining the previouslyundocumented intraday trading patterns in trading volume, price volatility, order depthand relative spreads for both the warrant and option market in Australia. Comparisons ofintraday variations across these derivative securities allows for insight to be drawn intocompeting market microstructure theories and provides the opportunity to examinewhether market design differences explain variations in observed intraday patterns. Wefind that intraday trading patterns documented in the warrant and option markets can beexplained by their market designs, along with theories relating to time-varying informationasymmetry and time-varying hedging trades around nontrading periods

The Scholarly Output of Universities and Academics in the Asia-Pacific Region Who Publish in Major Finance Journals: 2000-2007

The study examines the scholarly output of all universities and their finance academics in the Asia-Pacific region. We evaluate the scholarly output of 1,341 research academic staff across 300 leading Asia-Pacific universities in the period 2000 to 2007. A significant contribution of our study is that it presents ranking league tables for finance journals with respect to journal quality. The necessity of well defined ranking tables help university executive management, government policy and funding bodies in better assessing research performance. The study also constructs a new measure called to Research Productivity Dependency (RPD) index, which acts as a risk management mechanism to aid universities better assess their reliance on key individual research productive academics

Performance of Active Extension Strategies: Evidence from the Australian Equities Market

This study examines the performance of several active extension strategies, commonly known as 130/30, in the Australian equities market. A detailed analysis of the factors affecting performance is explored using Monte Carlo simulations based on eight years of historical returns for the constituents of the S&P/ASX 200 index under a variety of realistic cost assumptions. We find evidence of a statistically significant increase in performance of active extension strategies over equivalent long-only portfolios, holding all other factors constant. The observed increase is highest for managers with greater levels of skill, where any tracking error limit is high and total costs are low. This is one of the first studies in the Australian market and is expected to have a high degree of relevance to institutional investors considering active extension strategies

Trade execution, arbitrage and dealing in Australia

122 page(s

Firm, institutional and short sellers\u27 trading behavior around share repurchases

Purpose This study investigates the valuation motive for increasing share repurchases: the authors analyze the trading dynamics between short sellers, institutional investors and the firm itself around share repurchases. Design/methodology/approach The authors examine the valuation motive for share repurchases through an analysis of firm, institutional and short sellers\u27 trading behavior. The firm-level panel regression models using firm-quarter observations in the sample period are estimated. Findings The authors find that firms repurchase more intensely against increased short selling and that institutional investors trade in parallel with the repurchasing firm. Originality/value Results suggest that firms disagree with short sellers\u27 intrinsic valuation of the firm, which is consistent with findings of recent studies such as Muzere (2019) and Bargeron and Bonaime (2020)