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The impact of company responses to exchange queries on the Australian equity market
Author(s) -
Drienko Jozef,
Sault Stephen J.
Publication year - 2011
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/j.1467-629x.2010.00372.x
Subject(s) - equity (law) , sample (material) , shareholder , event study , business , accounting , selection bias , multivariate statistics , multivariate analysis , financial economics , economics , monetary economics , econometrics , finance , statistics , corporate governance , political science , paleontology , chemistry , context (archaeology) , mathematics , chromatography , law , biology
This study examines the impact of company responses to trading‐induced queries made by the Australian Securities Exchange over the period January 2007–December 2008, inclusive. We utilise event study methodology and a matched sample approach to assess the impact of trading query announcements. We use multivariate analysis to investigate any cross‐sectional determinants affecting abnormal returns and volume, and find significant positive shareholder wealth and volume effects associated with query announcements. Further, the unexplained abnormal returns observed prior to the announcement of the trading query persist post‐announcement. Subsequent analysis reveals the industry effect reported in the literature loses significance after accounting for sample selection bias.