This paper examines the market’s reaction to news of corporate mergers and acquisitions (M&A) by Japanese bidders during the 1990s. Domestic versus global bids and pro-M&A legislation are considered as determinants of bidders’ abnormal returns. The results show that bidders for domestic targets earn significant abnormal returns after the institutions of pro-M&A legislation in Japan. These findi...

Between 1998 and 2005, we identify 74 cross-border M&A transactions in which international banks acquired ownership stakes in 46 listed banks in emerging market economies (EME). A total of $1,057,515 million of bank assets was acquired for $38,172 million in Latin America, Central and Eastern Europe, and Asia. Using an event study approach, there is scant evidence of win-win situations when joi...

I propose a new measure of common, time-varying tail risk for large cross sections of stock returns. Stock return tails are described by a power law in which the power law exponent is allowed to transition smoothly through time as a function of recent data. It is motivated by asset pricing theory and is estimable via quasi-maximum likelihood. Estimates indicate substantial time variation in sto...

We examine the stock market reaction to inter-corporate (984 contractors and 575 contractees) and corporate-government (1963 contractors) contract announcements reported by Dow Jones between January 1, 1990 and December 31, 2000. Around contract announcement dates, we find statistically significant positive average abnormal return for contractors, but insignificant average abnormal returns for ...

This paper investigates the effects of the Sarbanes-Oxley Act (SOX) on CEO compensation, using panel data constructed for the S&P 1500 firms on CEO compensation, financial returns, and reported accounting income. Empirically SOX (i) changes the relationship between a firm’s abnormal returns and CEO compensation, (ii) changes the underlying distribution of abnormal returns, and (iii) significant...

This study aimed at introducing the panel data analysis to explore the determinants and the effect of ethics violations on the abnormal returns of the sponsors of Chinese Professional Baseball League (CPBL) by using the five negative incidents over 20 years. The financial secondary data collected from the CTMONEY database and the CPBL official website were employed to determine the relationship...

The anomalies literature in capital markets research in finance and accounting is based (almost) exclusively on average realized returns. In contrast, we construct accountingbased expected returns for dollar-neutral long-short trading strategies formed on a wide array of anomaly variables, including book to market, size, composite issuance, net stock issues, abnormal investment, asset growth, i...

Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-known micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a rel...

In recent years, there has been an increasing interest in using information technology to improve supply chain management (SCM) performance. This study examines the shareholder wealth effects of SCM software initiatives, and thereby contributes to the literature on IT investments and SCM. Specifically, we examined the abnormal stock returns to SCM software initiatives announced by firms between...

This paper investigates hedge fund performance and risk. The empirical evidence indicates that hedge funds differ substantially from traditional investment vehicles such as mutual funds. The funds with watermarks significantly outperform the funds without watermarks. The average hedge fund returns are related positively to incentive fees, the size of the fund, and the lockup period. Hedge funds...