On the other hand, Venkatesh (1989) shows that greater dividend initiation announcement effects
are associated with decreased announcement effects
for subsequent earnings announcements.
To examine whether the reactions of market participants depend on the direction of the revision, [TABULAR DATA FOR TABLE 2 OMITTED] we sort the sample of announcement effects
by upward and downward revisions.
1) The role of these variables in explaining the announcement effects
of product strategies and capital expenditures, which are equally important strategic investments and essential for the firm's long-term growth, has not yet been directly tested.
Loderer, Cooney, and Van Drunen report a negative stock price reaction to announcements of stock offerings, with no evidence that the decline is the result of adverse information about future cash flows, and some evidence (inconclusive) that the offer announcement effects
are related to Merton's (1987) determinants of price elasticities.
If we find any relation between the announcement effects
of equity issues, and therefore firm value, and institutional ownership, the direction of causality has to run from institutional ownership to firm value, not the other way around.
Cole, Eisenbeis, and McKenzie |4~ compared announcement effects
of a sample of thrifts acquiring other thrifts through FSLIC assistance with a sample of unassisted thrift acquisitions taking place between 1980 and 1988.
For example, Jain |15~, Rosenfeld |30~, and Sicherman and Pettway |33~ find significant positive announcement effects
This positive reaction is consistent with that found by Chan, Martin, and Kensinger |3~, who provide similar evidence for the R&D decisions of high-technology firms, and McConnell and Muscarella |8~, who document positive announcement effects
for unexpected increases in capital expenditure decisions.
27) In any case, the announcement effects
suggest that monetary policy was an important driver of financial market behavior in 2013.
This paper presents an examination of the relation of liquidity, transaction costs, and risk, and describes an investigation of macroeconomic indicator announcement effects
on liquidity in the Japanese Government Bond (JGB) Futures market of the Tokyo Stock Exchange (TSE).
I partitioned the sample into those placements for which the comparison period (-120, -21) CAR was positive (positive momentum stocks) and those for which it was negative (negative momentum stocks) and tested the announcement effects
for the 68 placements where there was a separate offering announcement.
Our work also relates to studies of announcement effects
in the indexed markets, especially that of Beechey and Wright (2009), which also analyzes intraday data but is different in its focus on liquidity and the announcement adjustment process as opposed to price-level effects.