This study demonstrates that standard analyst coverage proxies contain information about firm-level expected returns. I decompose analyst coverage proxies into abnormal and expected components using a simple characteristic-based model and show that firms with abnormally high coverage outperform firms with abnormally low coverage by approximately 80 basis points per month. Abnormal analyst cover...

Using theories of internal capital markets, this paper examines the link between financial market integration and the value of global diversification. Based on a sample of 1,491 completed cross-border mergers and acquisitions (M&As) conducted by US acquirers during the 1990–2003 period, we find that, in general, US shareholders gain significant positive abnormal returns following the announceme...

The COVID-19 outbreak has severely affected equity markets and most stock index around the world. Indonesia is no exception, social restriction policy (PSBB) imposed by government caused IHSG to be corrected negatively. One of sectors that was at beginning pandemic property sector. This study aims see reaction sector stocks due Covid-19 incident abnormal returns occurred during early days pande...

Intellectual property portfolios that include unique inventions and discoveries are potentially inimitable resources that provide strategic leverage to Information Technology (IT) firms. The increasing patent related litigations in the IT industry, and the high costs associated with litigations make this an economically significant activity. Taking a market oriented view to this issue we invest...

We examine the ability of online ticker searches (e.g. XOM for Exxon Mobil) to forecast abnormal stock returns and trading volumes. Specifically, we argue that online ticker search serves as a valid proxy for investor sentiment – a set of beliefs about cash flows and investments risks that are not necessarily justified by the facts at hand – which is generally associated with less sophisticated...

The predictability of asset prices works against the notion an efficient market where reflect all available and relevant information. This paper examined Bitcoin 51 other cryptocurrencies that have been classified into following five categories: Application, Payment, Privacy, Platform, Utility. Two efficiency tests (Ljung-Box autocorrelation Runs tests) were run on daily returns 52 unique MSCI ...

This paper uses firm-level information to examine how the Asian and Russian crises affected different types of firms around the world. It constructs a new data set of financial statistics, industry information, geographic data, and stock returns for over 10,000 companies in 46 countries. Results indicate that firms that competed with exports from the crisis countries, and firms which had direct...

A robust finding in the literature is that seasoned equity offerings (SEOs) are followed by negative long-run abnormal returns, which can be seen as evidence of market timing. In this paper I document the cost of market timing, based on the idea that investors view companies with the most negative abnormal returns in the year following a SEO, as most likely to have timed the issue. I find that ...

This study aims to determine the effect of announcement entry COVID-19 in Indonesia on abnormal returns, trading volume activity and bid-ask spread Miscellaneous industry sector listed Stock Exchange (IDX). The sampling technique used this was using census method from data were obtained as many 45 companies industry. is an event study, where window consists 7 days before after Indonesia. Hypoth...

Using event study methodology and regression analysis method, this had examined quarterly earning announcement its impact on the stock returns. The announcements were divided in to three groups: (1) Good news (quarterly positive earnings announcement), (2) No neutral announcement) (3) Bad negative announcement). result confirmed that both good bad a strong which is significant statistically sha...