AN EMPIRICAL STUDY ON EXPECTED RETURN MODELS WITH REFERENCE TO BONUS ISSUES AND STOCK SPLITS IN INDIAN SHARE MARKET
Journal: International Journal of Management (IJM) (Vol.11, No. 5)Publication Date: 2020-05-31
Authors : Nagendra Marisetty Nagendra Marisetty S. V. Ramana Rao;
Page : 1612-1630
Keywords : Abnormal returns; Bonus issues; Event study; Expected return models; and Stock splits;
Abstract
This article will evaluate the Expected Return Models (ERM) in event study methodology in the Indian share market. Three main return models, namely, Market Model (MM), Market-Adjusted Model (MAAM), and Mean-Adjusted Model (MEAM) use with an intension to know the any variations in Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) on event day of the bonus issues and stock split actions. Total 240 bonus issues and 200 stock Samples are selected from S&P BSE 500 stocks from 2000 to 2019. Sixty – one day's events window and 252 days estimation window used to calculate the events' returns. Samples are classified into four parts like pure event, periodic, capitalization, and ratio wise to know any changes in the event's abnormal returns. Market Adjusted Model has a slight advantage over other models due to its slightly inflated abnormal returns other than that all models provide the almost same results. Bonus issue events abnormal returns on event day similar in all models, but returns are not the same in all classifications; it means that bonus issue impact on stocks changes based on different classifications. Stock Split issue events abnormal returns on event day similar in all models. Still, returns are not the same in all classifications; it means that split issue impact on stocks changes based on different classifications. It is also concluded that bonus and split events results are the same in all three expected return models but results varied in sample classifications.
Other Latest Articles
- SPOTLIGHT ON THE MARKETING MINDSET: LITERARY REVIEW
- RURAL CITIZEN SATISFACTION ON EHEALTH CARE SERVICES UNDER EGOVERNANCE SERVICE DELIVERY MODEL DURING COVID 19
- MACRO-ECONOMIC IMPACT OF COVID-19 PANDEMIC UPON BUSINESSES: A GLOBAL REACTION
- THE FEATURES OF MARITAL NEGATIVE NARCISSISM IN CONFLICT BETWEEN THE SPOUSES
- RESULTS OF FORMATIVE EXPERIMENT ON PSYCHOLOGICAL SUPPORT OF THE EFFICIENT METHODOLOGICAL WORK OF THE HIGHER SCHOOL EMPLOYEES
Last modified: 2021-01-21 22:24:59