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In China, many firms advertise that they follow environmentally friendly practices to cover their true activities, a practice called greenwashing, which can cause the public to doubt the sincerity of greenization messages. In this study, I investigate how the market values greenwashing and further examine whether corporate environmental performance can explain different and asymmetric market reactions to environmentally friendly and unfriendly firms. Using a sample from the Chinese stock market, I provide strong evidence to show that greenwashing is significantly negatively associated with cumulative abnormal returns (CAR) around the exposure of greenwashing. In addition, corporate environmental performance is significantly positively associated with CAR around the exposure of greenwashing. Furthermore, my findings suggest that corporate environmental performance has two distinct effects on CAR around the exposure of greenwashing: the competitive effect for environmentally friendly firms and the contagious effect for potential environmental wrongdoers, respectively. The results are robust to various sensitivity tests.

This study examines the impact of the COVID-19 pandemic on the financial performance of lodging real estate investment trusts (REITs), a sector particularly vulnerable to systemic shocks due to its reliance on travel-dependent assets. Employing an event study methodology and the Fama-French five-factor model, we analyze abnormal returns (ARs) and cumulative abnormal returns (CARs) for 18 publicly traded lodging REITs from January 2019 to December 2021. Focusing on event windows surrounding the World Health Organization's pandemic declaration, primarily {−5;+20} trading days, we find significant negative CARs and substantial heterogeneity in firm-level responses. Compared to the broader S&P500 index, lodging REITs exhibited more pronounced vulnerabilities. Cross-sectional regression analysis reveals that firm-specific attributes, such as leverage, urban concentration, and brand affiliation, significantly explain the variation in abnormal returns, underscoring the role of structural resilience. These findings highlight the importance of diversification strategies, such as mixed-use asset portfolios and proactive risk management, offering actionable insights for REIT managers navigating future disruptions.

Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement returns. Using a broad sample from 2009 to 2012, we find that the aggregate opinion from individual tweets successfully predicts a firm's forthcoming quarterly earnings and announcement returns. These results hold for tweets that convey original information, as well as tweets that disseminate existing information, and are stronger for tweets providing information directly related to firm fundamentals and stock trading. Importantly, our results hold even after controlling for concurrent information or opinion from traditional media sources, and are stronger for firms in weaker information environments. Our findings highlight the importance of considering the aggregate opinion from individual tweets when assessing a stock's future prospects and value.

This study examines the impact of the COVID-19 pandemic on the financial performance of lodging real estate investment trusts (REITs), a sector particularly vulnerable to systemic shocks due to its reliance on travel-dependent assets. Employing an event study methodology and the Fama–French five-factor model, we analyze abnormal returns (ARs) and cumulative abnormal returns (CARs) for 18 publicly traded lodging REITs from January 2019 to December 2021. Focusing on event windows surrounding the World Health Organization’s pandemic declaration, primarily {-5;+20} trading days, we find significant negative CARs and substantial heterogeneity in firm-level responses. Compared to the broader S&P500 index, lodging REITs exhibited more pronounced vulnerabilities. Cross-sectional regression analysis reveals that firm-specific attributes, such as leverage, urban concentration, and brand affiliation, significantly explain the variation in abnormal returns, underscoring the role of structural resilience. These findings highlight the importance of diversification strategies, such as mixed-use asset portfolios and proactive risk management, offering actionable insights for REIT managers navigating future disruptions.

The volatility of rising oil prices has certainly made the market more out of control. Market participants are very sensitive to various information and to global issues such as Russia’s invasion of Ukraine. This study aims to review the reaction of the Indonesian Islamic stock market in the energy sector before and after Russia’s invasion of Ukraine. The variables used are stock returns, abnormal returns, and trading volume activity. The sample of this study is represented by Indonesian sharia stocks in the energy sector using a purposive sampling method. The research period was from February 4, 2022 to March 18, 2022. The research method used was the Event Study Method (ESM) and paired sample different tests with the Microsoft Excel program and SPSS version 26. The results of the study show that there is a significant difference in the average stock returns in the periods of 3, 7, and 14 days before and after Russia’s invasion of Ukraine. There are also differences in abnormal returns for the 3-day and 14-day observation periods, while for the 7-day observation period, there are no significant differences in abnormal returns. Besides, there is an average difference in volume activity during the periods of 3 days, 7 days, and 14 days before and after the Russian invasion of Ukraine. Indirectly, this information about Russia’s invasion of Ukraine affected the performance of the capital market. This also shows that the semi-strong form of the efficient market hypothesis is proven in this study.

Purpose: This study analyzes the reaction of property stocks before and after the issuance of the loan-to-value (LTV) relaxation policy. By using abnormal returns and trading volume activity (TVA), it explores how LTV, which determines the loan amount relative to property value, affects property stock prices. Design/methodology/approach: A sample of 49 property company stocks was studied using a 60-day estimation window and a 20-day event window around the LTV policy. The event study method was used to regress stock and market returns via the single index model to calculate abnormal returns (AR). Trading volume activity trends were also analyzed, followed by a normality test. Findings: The results showed significant differences in abnormal returns before and after the LTV policy, though trading volume activity remained unchanged. This suggests potential government use in refining LTV policies. Research limitations/implications: The f indings reveal that LTV policy changes directly influence property stock prices, providing insights for financial regulators to improve policy efficiency in managing the property market. Originality/value: While financial policies' impact on stock markets is well-researched, this study's focus on LTV policy in the property sector provides a unique perspective on a key regulatory factor.

This study examined the response of stock prices on the Indonesia Stock Exchange (IDX) to COVID-19 using an event study approach and the GARCH model. The research sample is the closing price of the Composite Stock Price Index (JCI) and companies that are members of LQ-45 in the 40-day period before the COVID-19 incident, 1 day during the COVID-19 incident (March 2, 2020) and 10 days after, January 6, 2020 – March 16, 2020. Empirical findings prove that abnormal returns react negatively to COVID-19, JCI volatility fluctuates widely during the COVID-19 event, and the GARCH(1,2) model can be used to assess volatility and predict stock abnormal returns in IDX in market conditions infected with COVID-19. The practical implication of the study’s findings for investors is that the COVID-19 event caused stock price volatility, which affects abnormal returns. Therefore, to face the conditions of uncertainty and increased volatility in the future, several lines of risk management are needed in managing a stock portfolio. In addition, it also opens up opportunities for speculators to profit in an inefficient market environment. This study is based on the empirical literature currently being developed to investigate the phenomenon of stock price volatility behavior during COVID-19 on the IDX. The GARCH model used proves that during the COVID-19 pandemic, stock price volatility increases and leads to a decrease in abnormal returns. The empirical findings also validate the efficient market hypothesis theory related to the study of events and the theory of financial behavior related to uncertainty.

PurposeThis study investigates the effects of the COVID-19 outbreak on daily stock returns for the six major affected WHO Regions, namely: Africa, Americas, Eastern Mediterranean, Europe, South-East Asia and Western Pacific.Design/methodology/approachThis study uses an event study method and panel-data regression models to examine the effect of the daily increase in the number of COVID-19 confirmed cases on daily stock returns from 1 March to 1 August 2020 for the leading stock market in major affected countries in the WHO regions.FindingsThe results reveal an adverse impact of the daily increasing number of COVID-19 cases on stock returns and stock markets fell quickly in response to the pandemic. The findings also suggest that negative market reaction was strong during the early stage of the outbreak between the 26th and 35th days after the initial confirmed cases. We further find that stock markets in the Western Pacific region experienced more negative abnormal returns as compared to other regions. The results also confirm that feelings of fear among investors turned out to be a mediator and a transmission channel for the effect of COVID-19 outbreak on the stock markets.Research limitations/implicationsThis study contributes to financial literature in two ways. First, we contribute to existing literature that has examined the effect of various catastrophes and crises on the stock markets Second, we contribute to the recent emerging literature that examines the impact of COVID-19 on financial markets.Practical implicationsThe study may have implications for policymakers to deal with this outbreak without triggering uncertainty in stock markets and reassure investors' confidence. The study may also be of interest to investors, managers, financial analysts by revealing how the stock markets quickly respond to outbreaks.Originality/valueThis study is the first study to examine the impact of the COVID-19 outbreak on the leading stock markets of the WHO regions.

Although the tender offer buyback method has gained significance over time, many companies still prefer open market repurchases. The existing literature focuses mainly on the impact of buyback announcements, specifically on stock returns; however, buyback announcements and abnormal returns in the case of open market repurchases have not yet been studied in detail, especially across industries in the Indian context. This study, therefore, attempts to analyze the impact of open market repurchase announcements on the stock returns of Indian firms. To that end, the event study methodology has been used for a period of 31 days, i.e. 15 days prior to and 15 days after the buyback announcement on a filtered sample of 100 firms during the period 2010–2020. The results of the study indicate that the returns were more favorable in the short run. The findings do not support the undervaluation rationale of firms behind the open buyback statement. The low-profit opportunities in the prior event window convey investors’ predictions about the repurchase announcement. In the context of industries, the manufacturing sector seemed to be far better than IT & telecom, chemical, and pharma firms as the returns were statistically significant for five (5) out of 31 days. The industry-specific results also suggest that the profit opportunities are majorly in the pre-announcement phase. The overall findings corroborate that share repurchases might be irrelevant to shareholders’ wealth. Therefore, open market buybacks may support decisions related to capital structure changes. AcknowledgmentThe infrastructural support provided by the FORE School of Management, New Delhi in completing this paper is gratefully acknowledged.

This study is to examine how the capital markets will respond to the Indonesian presidential election in 2024. There were 500 enterprises in the study's samples, which were divided into different sectors of Indonesia's capital market. The analytical tool used in this research is the Structural Equation Model (SEM). The research results show that Market Returns affect Abnormal Returns and stock return. Abnormal Returns influence Stock Returns. Market Returns influence Stock Returns through abnormal Returns. The novelty in the research is abnormal returns as an intervening variable because abnormal returns can influence stock prices due to political events. This research can provide additional information for investors to pay attention to political conditions that have an impact on stock returns. The sampling period was short considering the long election process.