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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Impact of Regulatory Transparency Notifications on Stock Prices
Organization Unit
  • Viktor Dinevski
  • Thorsten Hens
  • Nilufer Caliskan
  • English
Institution University of Zurich
Faculty Faculty of Economics, Business Administration and Information Technology
Date July 2014
Abstract Text The interaction between regulation and capital markets is of great interest to the academic and business communities. In this thesis, I investigate whether regulatory Major Shareholding Notifications (MSNs) are followed by abnormal daily returns among companies listed in the UK. I use the market model methodology to detect Cumulative Abnormal Returns (CARs) around 1'036 MSN events occurring between July and November 2013. I find that there exist CARs on a horizon of -5 to +15 days around MSN events. The CARs are strongest among momentum losers, small caps, non-financial companies, when the change in holdings is larger, and when the MSNs disclose purchase of shares. In all cases, an initial market underreaction to the new information appears to exist – a finding which violates the Efficient Market Hypothesis.
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