Finally, we observe that
abnormal returns following Supreme Court decisions materialize over the span of hours and days, not minutes, yielding strong implications for market efficiency in this context.
Not exact matches
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Tadas Viskanta, editor of the excellent finanical blog
Abnormal Returns, asked a group of financial bloggers the
following question:
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A recent study conducted by April Klein and Emanuel Zur on shareholder activism found that stock prices of companies targeted by activist investors earn 10.2 % average
returns during the period surrounding an activist's ownership disclosure and an additional 11.4 %
abnormal return during the
following year.
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He then tests for
abnormal stock market
returns around VIX peaks and during preceding and
following intervals of rising and falling VIX.
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Instead, hedge fund targets earn an additional 11.4 %
abnormal return during the subsequent year, and other activist targets realize a 17.8 %
abnormal return over the year
following the activists» interventions.
Furthermore, our target
abnormal returns do not dissipate in the 1 - year period
following the initial Schedule 13D.
We find that institutional activists» proposals have higher effects, with an
abnormal return of 2.1 % on the day of the vote and a further 2.2 % over the
following six days.
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