A stock split event study using sector-indices vs. CDAX and some extensions of the standard market model

Business & Finance, Finance & Investing, Banks & Banking
Cover of the book A stock split event study using sector-indices vs. CDAX and some extensions of the standard market model by David Bosch, GRIN Verlag
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: David Bosch ISBN: 9783640975433
Publisher: GRIN Verlag Publication: August 3, 2011
Imprint: GRIN Verlag Language: English
Author: David Bosch
ISBN: 9783640975433
Publisher: GRIN Verlag
Publication: August 3, 2011
Imprint: GRIN Verlag
Language: English

Seminar paper from the year 2009 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Humboldt-University of Berlin (Institut für Bank und Börsenwesen), course: Seminar of Banking and Financial Markets, language: English, abstract: There are many theories in literature which try to examine possible reasons for a stock split. While a stock split seems to be just a cosmetic corporate event, it is often claimed that the motivation to carry out a stock split is to signal future profitability or to bring the share price to a preferred trading-range. Additionally there are many papers published, where the impact of a stock split on liquidity and institutional ownership is examined. Some results of these studies are briefly discussed in the Literature Review. Most researchers calculate their abnormal returns with the market model by using the most common index in their economy. In this paper, I check whether sector-indices fit the data better than the CDAX does. In some cases, the sector-indices describe the stock returns better. Another topic of event studies that researchers of the finance area often deal with is whether the assumptions of the market model established by Fama, Fisher, Jensen and Roll (1969) do hold for daily stock returns. I will discuss some of the weaknesses when applied to financial time series and I present two models which can improve the efficiency of the model.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Seminar paper from the year 2009 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, Humboldt-University of Berlin (Institut für Bank und Börsenwesen), course: Seminar of Banking and Financial Markets, language: English, abstract: There are many theories in literature which try to examine possible reasons for a stock split. While a stock split seems to be just a cosmetic corporate event, it is often claimed that the motivation to carry out a stock split is to signal future profitability or to bring the share price to a preferred trading-range. Additionally there are many papers published, where the impact of a stock split on liquidity and institutional ownership is examined. Some results of these studies are briefly discussed in the Literature Review. Most researchers calculate their abnormal returns with the market model by using the most common index in their economy. In this paper, I check whether sector-indices fit the data better than the CDAX does. In some cases, the sector-indices describe the stock returns better. Another topic of event studies that researchers of the finance area often deal with is whether the assumptions of the market model established by Fama, Fisher, Jensen and Roll (1969) do hold for daily stock returns. I will discuss some of the weaknesses when applied to financial time series and I present two models which can improve the efficiency of the model.

More books from GRIN Verlag

Cover of the book Erfahrungsgeschichtliche Methoden: Fotografieren im Ersten Weltkrieg. Die Intention der Amateurfotografen by David Bosch
Cover of the book Weblogs als neues Kommunikationsmedium in der Bildungswissenschaft. Beschreibung, Umsetzung und Reflexion an einem Fallbeispiel by David Bosch
Cover of the book Wirbeltiere / Vertebrata by David Bosch
Cover of the book Unterrichtsentwurf zu Sterbehilfe und Suizid by David Bosch
Cover of the book Rezension zu Manfred G. Schmidts 'Das politische System Deutschlands. Institutionen, Willensbildung und Politikfelder.' by David Bosch
Cover of the book Global Sourcing. Grundlagen, Strukturen, Prozesse und Controlling einer internationalen Beschaffungsstrategie by David Bosch
Cover of the book Vom Revolutionär zum Integrationär by David Bosch
Cover of the book Die Bemessung von Disziplinarmaßnahmen by David Bosch
Cover of the book Romantische Liebe unter den Bedingungen des Kapitalismus by David Bosch
Cover of the book Das Erstellen eines Trickfilms als projektbezogene Teamarbeit zur Story- und Figurenentwicklung by David Bosch
Cover of the book Kultur- und Religionskritik im Werk Sigmund Freuds by David Bosch
Cover of the book Was ist Glück? Unterrichtsentwurf für eine 9. Klasse by David Bosch
Cover of the book Mit Pod- und Vodcasts neue Wege in der Bildungswissenschaft beschreiten by David Bosch
Cover of the book Neue Armut in der Bundesrepublik by David Bosch
Cover of the book Die EWWU - ein optimaler Währungsraum? by David Bosch
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy