... in the study. S&P BSE 500 is used as a market index. Findings The authors found that spin-offs have a significantly positive influence on the share prices of the parent firm. The authors also found that average abnormal return (AAR) of all the 76 companies taken together have been highest on day 0...

... and exclusion of companies from the FTSE-ASE 20 index in the period 2000-2012 were used. The authors performed an event study analysis using a constant return model and a market model. Two different measures of aggregated abnormal returns, namely the cumulating abnormal returns and the buy-and-hold abnormal...

... also conducts abnormal returns analyses (both portfolio and regression analysis) to determine whether the market accurately prices the different strategies, given the complexity in both the nature and the implementation of such strategies. Findings The analysis shows that markets place a positive...

...Monzurul Hoque; Jamshid Mehran; Alex Meisami; John R. Busenbark Purpose The purpose of this paper is to investigate the impact of Jewish holidays on US stock market returns. Design/methodology/approach The authors use event study and regression methodology to determine abnormal returns...

.... Further, the evidence indicates that an EP trading rule based on gross margin‐to‐price generates an abnormal return not fully explained by the market, size, and book‐to‐market. © Emerald Group Publishing Limited 2004 Quality of earnings Earnings‐to‐price ratio Trading rules Abnormal returns...