Search Results (49)

Prior research often portrays Corporate Social Responsibility (CSR) as a coercive institutional force compelling firms to passively conform for legitimacy. More recent studies, however, suggest firms actively pursue CSR to gain sustainable competitive advantages. Yet, how and when CSR buffers firms against adverse shocks of crises remains insufficiently understood. This study addresses this gap by using multiple regression analysis to examine the buffering effects of CSR investments during the COVID-19 crisis, which severely disrupted capital markets and firm valuation. Drawing on signaling theory and CSR literature, we analyze the stock market performance of China’s A-share listed firms using a sample of 2577 observations as of the end of 2019. Results indicate that firms with higher CSR investments experienced significantly greater cumulative abnormal returns during the pandemic. Moreover, the buffering effect is amplified among firms with higher debt burdens, greater financing constraints, and those operating in regions with stronger social trust and more severe COVID-19 impact. These findings are robust across multiple robustness checks. This study highlights the strategic value of CSR as a resilience mechanism during crises and supports a more proactive view of CSR engagement for sustainable development, complementing the traditional legitimacy-focused perspective in existing literature. Full article

This study examines how cumulative abnormal returns (CARs, the sum of abnormal returns over a period) and volatility behave around Bitcoin halving events, focusing on whether these patterns have evolved as the cryptocurrency market matures. Halvings are periodic events defined by Bitcoin’s algorithm, during which the reward—in the form of newly issued bitcoins—paid to miners for validating network transactions is reduced, impacting miners’ profitability and potentially influencing the asset’s price due to a decreased supply. To carry out the analysis, we collected data on returns and risk for the 2012, 2016, 2020, and 2024 halving events and compared abnormal returns before and around the event, focusing on the 2020 and 2024 halvings. The results reveal significant shifts in Bitcoin’s price behavior within the event window, with an increased occurrence of abnormal returns in 2020 and 2024, alongside variations in average return, volatility, and maximum drawdown across all events. These findings suggest that Bitcoin’s returns and volatility during halvings are decreasing as the cryptocurrency market becomes more regulated and attracts greater participation from institutional investors and governments. Full article

Green bonds are a relatively new financial product that offers investors a variety of alternatives. However, many individuals continue to be suspicious about its long-term returns and risks. To clarify this issue, this study employed two global environment events—COP26 and COP27—to influence investor attention and investor yield of green bonds and conventional bonds. The data are collected from 15,188 bonds, including 779 green bonds and 14,409 conventional bonds issued from 2021 to 2023 worldwide. The event study method has been conducted with pre- and post-event data to estimate the impact of green bond issuance before and after COP26 and COP27 on investor returns, as well as the impact of investor attention on investment returns. The research results show that investors should buy shares of companies that issue green bonds after major environmental events to benefit from the higher CAR of these companies. Investors can also use the S&P 1200 index as a measure to assess risk and abnormal returns when making short-term investments in shares of organizations that issue green bonds. Full article

Over the past four decades, China’s real estate industry has experienced rapid growth, accompanied by frequent regulatory interventions. These shifts present an ideal context for examining the characteristics of private equity placements (PEPs) under varying industrial policy environments. This study examines the PEPs of Chinese real estate firms from 2006 to 2023, calculating the cumulative abnormal returns during announcement periods and the transaction discounts across various regulatory phases. The analysis reveals significant positive announcement effects, even in times of policy tightening, with these effects becoming more pronounced during periods of policy relaxation. However, regression analyses suggest that the policy environment does not significantly impact the announcement effects. Contrary to traditional views, PEP discounts tend to be shallower during policy tightening and deeper during policy loosening. Further analysis indicates that investors are willing to accept smaller discounts in exchange for more valuable investment opportunities. Full article

Word-of-mouth (WOM) can be considered one form of public opinion, reflecting consumers’ views towards product or service quality. With the development of social media, WOM holds influence over investors and subsequently impacts the stock prices of companies. The purpose of this study is to uncover the dynamics encompassing the factors that influence WOM, its propagation mechanisms, and the consequential impact on reality illustrated through fluctuations in stock prices. The mathematical model to describe the whole process can be separated into two components: information propagation model and stock price fluctuation model. The cumulative abnormal return (CAR) is used to demonstrate fluctuations in stock prices. Utilizing a Lyapunov function, it is proven that the equilibrium point of the model is globally asymptotically stable. As for the real world, it suggests that WOM will eventually prevail online, leading to fluctuations in stock prices. Based on the event study method, the empirical examination of 43 real events shows that our model can effectively predict the CAR and reflect the influence on stock prices caused by WOM in real-world scenarios. Full article

In recent years, the field of “ESG finance” has seen rapid growth, resulting in the emergence and expansion of ESG ratings and rating agencies. This study investigates how financial investors react to updates in ESG ratings provided by two prominent ESG rating agencies, namely MSCI and Refinitiv. The main objective is to determine whether any positive or negative changes in a company’s sustainability ratings directly impact its market value. The Event Study methodology was used for this investigation, which analyses the Cumulated Average Abnormal Returns (CAARs) of economic events to assess their influence on corporate valuations. We analysed over 840 rating updates (events) using a sample of 75 companies across various industries, all listed on major stock exchanges. Our findings indicate that shifts in sustainability ratings, as evaluated by the two rating agencies, do not significantly impact companies’ market capitalisation. Furthermore, these outcomes remain consistent over time, suggesting that financial markets are not assigning increasing significance to ESG ratings. We offer potential explanations for these findings, which are discussed in light of the existing literature on the subject. Full article

This paper examines the impact of a firm’s Corporate Social Responsibility (CSR) level on abnormal stock returns around merger and acquisitions (M&A) announcements. Using a sample of transactions announced by German DAX-listed acquirers from 2017 and 2022, the analysis assesses whether CSR creates value for acquiring firms’ shareholders and offers a comprehensive discussion of potential factors supporting or opposing this notion. Our study seeks to fill a notable gap in the German literature on the relationship between CSR performance and abnormal stock returns surrounding M&A announcements. Building upon prior research findings in the US and in an international sample, our investigation focuses on the German market. Employing event study methodology, our results indicate that M&A transactions of German-listed acquirers did not yield significant negative or positive cumulative abnormal returns for event windows of 3 and 11 days. Furthermore, based on multiple linear regression, no evidence was found that CSR positively or negatively influenced abnormal stock returns following M&A announcements, suggesting that positive and negative effects potentially offset each other. The outcomes of our research have important implications for investors, as CSR initiatives do not serve as a positive trading signal, guaranteeing excess returns, which contrasts findings from previous studies in other developed countries. For managers, it is essential to concentrate on factors beyond CSR performance, such as synergies and fit. Finally, both managers and investors should not view CSR as a shareholder value-enhancing short-term investment but as an integral component of fostering sustainable business development. Full article

This article studies the relationship between renewable energy stocks’ performance and climate risk. It shows that publicly held renewable energy stocks underperform as a reaction to climate policy information releases, modeled by feed-in tariff (FIT) legislation announcements. The study examined stock price behaviors 2 days before and 30 days after FIT policy announcements. The stock sample used in the study has 3702 firm-day combinations, which included 180 cleantech firms and 32 events from 2007 to 2017. Based on the residual analysis of the sample’s abnormal return, it indicated that the FIT announcements are associated with significant declines in returns. The cumulative abnormal return until Day 18 was a significant −0.83%, while the average abnormal return on the day was −0.16% at normal levels. The study partially excluded the likelihood of a transitory result by varying the measurement horizon. It also adopted both the market model and the Fama–French three-factor models to rule out model misspecification when estimating abnormal returns and thus increased the robustness. In fact, the results were stable to changes in estimating the model’s specifications. In addition, the study compared the portfolio’s performance with mimicking portfolios in terms of size, book-to-market equity (BE/ME), and the firms’ geographic location. It demonstrated that the documented anomaly of the portfolio of renewable energy companies is robust. Full article

This paper aims to measure the effects of delisting on stock returns for the Vietnam stock market. This study employs a sample of 118 stocks that were compulsorily delisted from the market between January 2011 and December 2021. Using an event study methodology, the empirical findings confirm that the delisting has negative effects on stock returns in the Vietnam stock market. Specifically, results derived from tests show that the average abnormal return of delisted stocks continuously declines during three trading days following the announcement of delisting. Moreover, it is found that the differences in cumulative abnormal returns between post-delisting and pre-delisting periods are significantly negative for all tracking periods. Apart from the negative effect of delisting on stock abnormal returns, we also find that the impact of delisting on stock returns for smaller companies is greater than for bigger companies. These results imply that investors can earn abnormal returns by using delisting information in the Vietnam stock market. Full article

The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market. Full article

This study analysed how positive, neutral, and negative sustainability news impacted the share prices of American and European energy companies, focusing on short-term market reactions. Our goal was to understand whether or not the sustainability narrative had similar effects on share-holder behaviour in both markets, and whether the COVID-19 pandemic changed the way shareholders invested as they faced uncertainty. We used the event study methodology to analyse the cumulative average abnormal returns (CAAR). We gathered 2134 event studies according to the type of energy source (renewable, fossil fuel or nuclear) and news sentiments. We analysed all global and digital news on sustainability from 2017 to 2020 using the GDELT news database as a source of information, which contains 295,093 viral news stories (high-volume news). The results showed notable differences between the American and European market reactions. The American market was much more optimistic, particularly during the pandemic. At the same time, the European market was more negative, showing declines in prices even in the face of positive news about nuclear and renewable energy. Nevertheless, both markets agreed that nuclear power was still on investors’ agenda. Finally, fossil fuels were less penalised by investors following negative or neutral news than other types of energy and were equally or more rewarded following positive news. So, it could be concluded that fossil fuel investors were less impacted by negative news about the energy market before and during COVID-19. These results could be relevant for policy makers in the context of changing the current shareholders’ narratives and incentives towards an effective sustainable energy transition through the use of new incentives/legislations. Full article

This study investigates how shareholders of leading US energy companies value sustainability narratives. Leveraging the Global Database of Events (GDELT) from 2017 to 2019, 207,386 news items were extracted, 4101 event studies were performed, 3393 cumulative average abnormal returns (CAAR) were analysed, and 708 Abnormal volatilities (AV) were analysed. The magnitude of the analysis and further segmentation of the viral news by tone, type of energy, and environmental consequence help us to understand shareholders’ investment decisions and narrative. We proved that the sustainability narrative has a significant impact on shareholder value. There is a clear negative bias on sustainability news, impacting negatively on the market. More importantly, we’ve identified positive news about fossil fuels impacting the market more than positive renewable energy news. These results provide empirical evidence for the case of greenwashing in businesses. There must be a common shareholder’s narrative to penalise and reduce incentives for highly polluting investments to push forward an effective ecological transition. These results provide an objective for regulators to develop further regulations and incentives to fight against false sustainability news. Full article

This study extends the application of behavioral portfolio optimization by estimating the return of behavioral stocks (B-stocks). With the cause-and-effect relationships of the respective irrational behaviors on the stock price movements and the unique information provided by B-stocks in terms of knowing with a calculated probability when (time duration) a specific effect (e.g., positive cumulative abnormal return) after a certain trigger point (cause of the irrational behavior) is spotted, regression analysis is applied on the information in the duration to have more accurate return estimates. To fit in the framework of behavioral portfolio optimization, the scenarios used for the optimization are generated utilizing regression analysis, based on which the safety-first scenario-based mixed-integer program is applied to obtain the optimal portfolios. This study also proposes two new types of B-stocks with corresponding operational definitions for herding and ostrich-effect, along with the previously identified over-reaction, under-reaction, and disposition-effect B-stocks. Back-test results show that the portfolios are profitable and can significantly outperform a benchmark and the market. Full article

Dividend tax policy is one of the important tools of government taxation. Observing the dividend tax policy and the behavior of stock prices around ex-rights will not only shed light on investment strategies, but also give us a clearer understanding of the microstructure of the capital market. Taiwan went through dividend tax policy and National Health Insurance (NHI) supplementary premium changes from 2014 to 2016. Therefore, this paper adopts the event study method to conduct empirical research on this major event period. The research conclusion points out: (1) During the research period, the company studied had a positive cumulative abnormal return before and on the ex-right day, and there was a negative cumulative abnormal return after the ex-right day. (2) When the tax reduction effect is more favorable to investors, there will be only a positive relationship with positive abnormal returns. (3) There is no statistical significance between the dividend tax reform policy and the negative abnormal return after ex-rights. The empirical results of this paper can help to better understand the pricing process of stocks by market microstructure systems such as dividend tax policies and help build a more stable stock market transaction structure. On the other hand, investors and companies can also gain their own investment or dividend policy inspiration from this research. Full article

China is commonly viewed as a country with weak legal institutions and disclosure regulations. The validity and effectiveness of credit rating in China are controversial topics. Bond ratings provide information about the quality and marketability of bond issues. This paper studies the effects of rating change announcements on the price of fixed-income enterprise bonds to test the effectiveness and sustainability of credit rating in China. The results show that upgrade and downgrade announcements have an asymmetric effect on bond prices. Downgrade announcements have transferred new information to the market, resulting in statistically significant negative effects, yet upgrade announcements do not have statistically obvious effects on bond prices. That the average cumulative abnormal returns two days before and on the day of the announcement are statistically insignificant implies that the rating information might not be leaked out before the announcement. The results indicate that the pricing function of credit rating has taken effect, and the effectiveness of the market has been improved over the years. The strengthening of regulations and supervision of the Chinese government toward the credit rating industry may help reinforce the sustainability of the industry and the bond market. The cross-sectional results suggest the market responses are more intense to unpredicted changes of ratings, and investors and portfolio managers should pay more attention to the bonds that have been downgraded for several levels from initial ratings. Full article