Advanced Search
MyIDEAS: Login

Endogenous Events and Long-Run Returns

Contents:

Author Info

  • S. Viswanathan
  • Bin Wei

Abstract

We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is stationary. Nonstationarity in the process of the number of events is needed to generate a large negative bias. We present theory and simulations for the specific case of a lognormal model to characterize the magnitude of the small-sample bias. We illustrate the theory by analyzing long-term returns after initial public offerings (IPOs) and seasoned equity offerings (SEOs). The Author 2008. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1093/rfs/hhm090
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 21 (2008)
Issue (Month): 2 (April)
Pages: 855-888

as in new window
Handle: RePEc:oup:rfinst:v:21:y:2008:i:2:p:855-888

Contact details of provider:
Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.
Fax: 919-677-1714
Email:
Web page: http://www.rfs.oupjournals.org/
More information through EDIRC

Order Information:
Web: http://www4.oup.co.uk/revfin/subinfo/

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Duchin, Ran & Schmidt, Breno, 2013. "Riding the merger wave: Uncertainty, reduced monitoring, and bad acquisitions," Journal of Financial Economics, Elsevier, vol. 107(1), pages 69-88.
  2. Gerhard Kling & G.U. Weitzel, 2009. "Endogenous mergers: bidder momentum and market reaction," Working Papers 09-22, Utrecht School of Economics.
  3. Dahlquist, Magnus & de Jong, Frank, 2004. "Pseudo Market Timing: Fact or Fiction?," CEPR Discussion Papers 4609, C.E.P.R. Discussion Papers.
  4. Lee, Dong Wook & Park, Kyung Suh, 2009. "Does institutional activism increase shareholder wealth? Evidence from spillovers on non-target companies," Journal of Corporate Finance, Elsevier, vol. 15(4), pages 488-504, September.
  5. Abhay Abhyankar & Keng-Yu Ho & Huainan Zhao, 2005. "Long-run post-merger stock performance of UK acquiring firms: a stochastic dominance perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 679-690.
  6. Matthew Pritsker, 2006. "A fully-rational liquidity-based theory of IPO underpricing and underperformance," Finance and Economics Discussion Series 2006-12, Board of Governors of the Federal Reserve System (U.S.).
  7. Malcolm Baker & Richard S. Ruback & Jeffrey Wurgler, 2004. "Behavioral Corporate Finance: A Survey," NBER Working Papers 10863, National Bureau of Economic Research, Inc.
  8. Robert M. Hull & Sungkyu Kwak & Rosemary L. Walker, 2010. "Insider signaling and seasoned equity offerings," Managerial Finance, Emerald Group Publishing, vol. 36(8), pages 703-721, August.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:21:y:2008:i:2:p:855-888. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.