CAPITAL INCREASE & ABNORMAL RETURN FROM EVIDENCE TEHRAN STOCK EXCHANGE

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EBADI JAVAD; HASANPOR ESMAEIL

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2011 | Volume:4 | Issue:10 Page(s): 45-62

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Title

CAPITAL INCREASE & ABNORMAL RETURN FROM EVIDENCE TEHRAN STOCK EXCHANGE

Author(s)

EBADI JAVAD | HASANPOR ESMAEIL | Issue Writer Certificate

Keywords

CAPITAL INCREASEQ4

ABNORMAL RETURNQ4

RATIO OF CAPITAL INCREASE TO MARKET VALUEQ4

VOLATILITY OF DAILY RETURNSQ4

FIRM SIZEQ4

MARKET CUMULATIVE RETURNQ4

Abstract

In this paper the factors influencing ABNORMAL RETURN on common stock will be addressed. Regarding CAPITAL INCREASE in Tehran Security Stock Exchange the four independent factors potential efficacy ABNORMAL RETURN. The factors are as following capital to increase the market value of outstanding shares, VOLATILITY OF DAILY RETURNS, firm's size (in terms of market value of outstanding shares) and MARKET CUMULATIVE RETURN (MCR).This paper addresses factors influencing ABNORMAL RETURNs of common stocks, in regard to “CAPITAL INCREASE” in Tehran Security Exchange. We identify and examine four factors potentially influencing ABNORMAL RETURN. These factors are: CAPITAL INCREASE to market value of outstanding shares, VOLATILITY OF DAILY RETURNS, firm's size (in terms of market value of outstanding shares) and MARKET CUMULATIVE RETURN (MCR).Our sample consists of 96 CAPITAL INCREASE in firms listed in Tehran Security Exchange between 1383 and 1386. To examine the effects of CAPITAL INCREASE on ABNORMAL RETURN, we use an event study.Cumulative ABNORMAL RETURNs are calculated for two thirty-day windows before and after the event. We use a multi-variable regression to compare the results in these two windows.We find that CAPITAL INCREASE cause “negative” ABNORMAL RETURNs. Among four independent variables, only VOLATILITY OF DAILY RETURNS influences ABNORMAL RETURNs.

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APA: Copy

EBADI, JAVAD, & HASANPOR, ESMAEIL. (2011). CAPITAL INCREASE & ABNORMAL RETURN FROM EVIDENCE TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 4(10), 45-62. SID. https://sid.ir/paper/200104/en

Vancouver: Copy

EBADI JAVAD, HASANPOR ESMAEIL. CAPITAL INCREASE & ABNORMAL RETURN FROM EVIDENCE TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2011;4(10):45-62. Available from: https://sid.ir/paper/200104/en

IEEE: Copy

JAVAD EBADI, and ESMAEIL HASANPOR, “CAPITAL INCREASE & ABNORMAL RETURN FROM EVIDENCE TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 4, no. 10, pp. 45–62, 2011, [Online]. Available: https://sid.ir/paper/200104/en

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