Salil K. Sarkar

Managements' View on Share Repurchase and Tender Offer Premiums

N Once of interest only in times of relatively low market prices, share repurchases have become significant even during periods of rising markets. A Wall Street Journal article (September 18, 1987, p. 15) reported that

Do Internet Stock Message Boards Influence Trading? Evidence from Heavily Discussed Stocks with No Fundamental News

25 billion of buybacks had been announced in the first seven months of 1987, compared to

Online talk: does it matter?

21 billion in the same period of 1986 and

A reexamination of corporate sell-offs of real estate assets

120 billion since January 1985. Announcements of repurchases skyrocketed with the October 1987 market crash, estimated at

The valuation effects of the 1977 Community Reinvestment Act and its enforcement

44 billion in the 10 days after the crash (Wall Street Journal, January 27, 1988, p. 21). The motivations behind repurchases remain unclear. Most studies are confined to indirect evidence ob-

Market structure and bid-ask spreads: IBIS vs Nasdaq

Abstract:  This study extends the literature on the information content of stock message boards. To better understand the effect of online postings on trading activities and reduce the error due to stocks with small message board followings, we examine stocks with no fundamental news and high message posting activity. Such stocks tend to be of small firms with weak financials. For those stocks, we find a two-day pump followed by a two-day dump manipulation pattern among online traders, which suggests that an online stock message board can be used as a herding device to temporarily drive up stock prices. We also find that online traders’ credit-weighted sentiment index, but not the number of postings, is positively associated with contemporaneous return and negatively predicts the return next day and two days later. Also, absolute sentiment is negatively related with contemporaneous and next days intraday volatility and positively related with the proportion of volume in small-sized trades. We conclude that message board sentiment is an important predictor of trading-related activities.

Insider Trading When an Underlying Option Is Present

Purpose - The purpose of this paper is to examine stocks that are most actively discussed by online posters and see if the messages posted about these stocks have information or if they are just noise. Design/methodology/approach - This study uses messages posted on TheLion.com, which reports a real time list of the ten most actively discussed stocks. The stocks in this list at the daily market close during 2005-2006 are examined. An event study is performed to estimate the daily abnormal returns on these stocks. Contemporaneous and lead–lag regressions of abnormal returns against message posting activities are performed. Findings - Online posters prefer thinly traded micro-cap stocks. On average, there is an abnormal return of 19.4 per cent on a stock the day it is one of the ten most talked about stocks. The number of messages posted about a stock on a given day is not only positively related with the stocks abnormal return on that day but it also positively predicts the next days abnormal return. Research limitations/implications - It may be interesting to examine if the investor sentiment expressed in online messages has predictive power for micro-cap stocks. Practical implications - The results provide evidence to regulators that online talk affects stock prices. They show investors that there are inefficiencies in the stock market. They also suggest that corporate managers, especially of small firms, should monitor the stock message boards. Originality/value - This study focuses on the micro-cap stocks favored by online posters and finds that online talk has the power to predict the next-day returns.

Empirical evidence on the effects of delisting from the National Market System

This article reexamines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods, but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional variance. We also differ from previous work in that our sample contains only sell-offs that can be precisely dated. Although we find substantial evidence of time-varying volatility in the unexpected return series, our economic results confirm the conventional viewpoint.

An empirical analysis of the impact of stock index futures trading on securities dealers' inventory risk in the NASDAQ market

Abstract We examine the wealth effects of the passage of the Community Reinvestment Act (CRA) of 1977 for commercial banks and savings and loan associations. we find significantly negative average excess returns for small NYSE/AMEX banks and SL in contrast, there is no evidence that large NYSE/AMEX institutions or NASDAQ institutions experience wealth losses. We also study the effects of individual CRA protests against institutions and find they produce significantly negative excess returns which are not reversed when the protests are resolved. Our results have implications for proposed changes to CRA and for the future consolidation of the financial services industry. The results also demonstrate the difficulties associated with studying returns from the early years of the NASDAQ market.

European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods

A comparison is made between the bid-ask spreads of 30 high volume German stocks traded on IBIS and 30 high volume US stocks traded on Nasdaq. IBIS and Nasdaq are best described as agency and dealer auction markets, respectively. On average, the market spread for these IBIS and Nasdaq stocks is the same, but for the 10 most active stocks in each market, IBIS spreads are considerably lower. For these latter stocks, IBIS spreads change in a predictable manner throughout the day. Nasdaq spreads do not. The critical factor appears to be the unrestricted access of suppliers of immediacy that is distinctive for agency auction markets.