Market Efficiency, Long Term Returns, and Behavioral Finance

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Table 1 -- Signs of long-term pre-event, announcement, and long-term post-event returns
for various long-term return studies
Event Long-Term Announcement Long-Term
Pre-Event Return Post-Event
Return Return
Initial Public Offerings (IPOs) Not + -
[Ibbotson (1975), Loughran and Ritter (1995)] Available
Seasoned Equity Offerings + - -
[Loughran and Ritter (1995)]
Mergers (Acquiring Firm) + 0 -
[Asquith (1983)
Agrawal, Jaffe, and Mandelker (1992)]
Dividend Initiations + + +
[ Michaely, Thaler, and Womack (1995)]
Dividend Omissions - - -
[ Michaely, Thaler, and Womack (1995)]
Earnings Announcements Not + +
[Ball and Brown (1968), Available [ Pobierz całość w formacie PDF ]

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