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  • 1
    Electronic Resource
    Electronic Resource
    The Designation and Removal of Trustee Stock Status: Wealth Effects (2004)
    Oxford, UK and Boston, USA : Blackwell Publishing Ltd
    Journal of business finance & accounting 31 (2004), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This study investigates the impact of trustee stock status announcements on shareholders’ wealth in Singapore. An event study methodology is used to ascertain the abnormal returns around the announcement day. The results show that there is a positive and permanent wealth effect on trustee stocks resulting from designation announcements. Conversely, when trustee stocks lose their status, the significant negative abnormal returns suggest that shareholders’ wealth is adversely affected. This reaction, however, appears to be a temporary phenomenon and is not simply a mirror image of designation announcements. The differences in the underlying regulatory structures partially explain the findings.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.0306-686X.2004.00548.x
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    An Analysis of Transactions Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transactions (2001)
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 28 (2001), S. 0 
    Details
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The availability of the transactions data of the Stock Exchange of Singapore allows us to examine intraday patterns and the relation among absolute price change, trade size and number of transactions. The presence of a trading halt in the mid-day results in two crude U-shaped return patterns but, contrary to Brock and Kleidon's (1992) model, it does not cause volume to be unusually high right before or after the halt. We find a positive relationship between absolute price changes and the number of transactions for both the active and inactive stocks. This supports the findings of Jones, Kaul and Lipson (1994) that these relationships also hold at the intraday level and in a market with different market architecture.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/1468-5957.00369
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Bid-ask bounce and speads in the foreign exchange futures market (1996)
    Springer
    Review of quantitative finance and accounting 6 (1996), S. 19-37 
    Details
    ISSN: 1573-7179
    Keywords: bid-ask bounce ; bid-ask spread ; tick test ; Markovian analysis ; foreign currency futures
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper examines the intraday bid-ask bounce in Deutschemark and Japanese yen futures prices. The intraday Markovian bid-ask bounce process, which leads to a desirable equilibrium condition of reaching a bid or an ask transaction type with equal chances, is identified. A second-order Markov chain transition matrix model is used to derive a generalized estimator of bid-ask spreads in the foreign exchange futures market. It incorporates the conditional probabilities of a subsequent transaction being the same type as the current transaction's (δ) and that of the next transaction being the same as the current type but different from the previous type (α). The specification is {-Cov(ΔP t ,ΔP t+1 )/[(1−δ)(−α)]}1/2. The empirical results show that the average implied bid-ask spread is about $10, which is less than one tick's value of $12.50. It is also found that spreads are higher at the beginning and end of the trading day than the rest of the day, reflecting the uncertainty due to information flows and overnight inventory carrying costs, respectively.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00290794
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  • 4
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    What Drives the Declining Wealth Effect of Subsequent Share Repurchase Announcements? (2020)
    Molecular Diversity Preservation International
    Details
    Publication Date: 2020-08-07
    Description: Recent academic studies document that open market share repurchase announcements in the United States generate significantly lower returns than those reported in earlier studies. We find that the lower announcement return is associated with an increasing number of subsequent announcements in the more recent periods. Although the announcement period return from the initial announcement is positive, subsequent announcement returns are significantly decreasing. Further, we find that the decreasing returns of subsequent announcements are attributed to firms with negative past repurchase announcement returns. Our multivariate regression test results are consistent with the notion that the decreasing subsequent repurchase announcement returns are driven by hubris-endowed managers.
    Print ISSN: 1911-8066
    Electronic ISSN: 1911-8074
    Topics: Economics
    Published by Molecular Diversity Preservation International
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