Both the overvaluation and agency hypotheses can explain the negative announcement effect
The level of interest-rate increase from the announcement effect
could be largely reversed, according to Youngblood.
Gupta (2007) provided evidence that there is no announcement effect
associated with stock splits in India though there does exist a pronounced ex- day effect.
The section shows that CLR's announcement effect
depends critically on the marked increase in the spread between rates on (i) highly rated corporate financial bond rates and (ii) equivalent-maturity LIBOR rates immediately following the announcement of the TAF.
There is a sudden increase from day 0 to day +1, indicating the significant announcement effect
(CAR t-statistics 2.
Since investors cannot (short-)sell specific pieces of a firm--or short-sell the CEO, for that matter--the stock market is unlikely to allow identifying a "market reaction" to managerial biases, with the exception of the rare occasion when we can study announcement effects
(as in the case of mergers by overconfident CEOs discussed above).
Since pension cost reduction is the most frequently cited reasons by the announcing companies, we believe that previous pension cost--PenCost (an accounting measure)--may have an impact on the market announcement effect
, which is why we include this in our list of regressors as well.
Like announcement effect
of stock splits, the ex-day effect is also pronounced in India as compared to the US.
The announcement effect
resulted in noticeable flattening in the yield curve (drop from the blue line to the pink line).
measure the announcement effect
of decisions that increased the likelihood of Arlington being chosen.
Assuming that the standardized abnormal returns are independent across firms, Z is approximately unit normally distributed under the null hypothesis that the average announcement effect
The Announcement Effect
of an Airport Expansion on Housing Prices