Do rights matter? An intraday analysis of rights issues in Australia

Jozef Drienko; Stephen J. Sault; Wong Wai Han

doi:10.1111/acfi.13180

Do rights matter? An intraday analysis of rights issues in Australia

Jozef Drienko, Stephen J. Sault^*, Wong Wai Han

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

We examine intraday abnormal returns associated with rights issue announcements in the Australian equity market over the period January 2000 to December 2022. Consistent with prior studies, we find significant abnormal returns ranging from −2.9% to −2.7% on the event day. We provide the first evidence on intraday price reactions pertaining to rights issues in Australia. Within 15 min of an announcement, we find significant abnormal trade returns of −1.2%. However, market participants are unable to profit by trading on these announcements due to transaction costs. Our results imply that the information content is fully impounded within 90 min.

Original language	English
Journal	Accounting and Finance
DOIs	https://doi.org/10.1111/acfi.13180
Publication status	Published - 2023

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10.1111/acfi.13180

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title = "Do rights matter? An intraday analysis of rights issues in Australia",

abstract = "We examine intraday abnormal returns associated with rights issue announcements in the Australian equity market over the period January 2000 to December 2022. Consistent with prior studies, we find significant abnormal returns ranging from −2.9% to −2.7% on the event day. We provide the first evidence on intraday price reactions pertaining to rights issues in Australia. Within 15 min of an announcement, we find significant abnormal trade returns of −1.2%. However, market participants are unable to profit by trading on these announcements due to transaction costs. Our results imply that the information content is fully impounded within 90 min.",

keywords = "Abnormal returns, Event study, Market efficiency, Rights issues",

author = "Jozef Drienko and Sault, {Stephen J.} and Han, {Wong Wai}",

note = "Publisher Copyright: {\textcopyright} 2023 The Authors. Accounting & Finance published by John Wiley & Sons Australia, Ltd on behalf of Accounting and Finance Association of Australia and New Zealand.",

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T1 - Do rights matter? An intraday analysis of rights issues in Australia

AU - Drienko, Jozef

AU - Sault, Stephen J.

AU - Han, Wong Wai

PY - 2023

Y1 - 2023

N2 - We examine intraday abnormal returns associated with rights issue announcements in the Australian equity market over the period January 2000 to December 2022. Consistent with prior studies, we find significant abnormal returns ranging from −2.9% to −2.7% on the event day. We provide the first evidence on intraday price reactions pertaining to rights issues in Australia. Within 15 min of an announcement, we find significant abnormal trade returns of −1.2%. However, market participants are unable to profit by trading on these announcements due to transaction costs. Our results imply that the information content is fully impounded within 90 min.

AB - We examine intraday abnormal returns associated with rights issue announcements in the Australian equity market over the period January 2000 to December 2022. Consistent with prior studies, we find significant abnormal returns ranging from −2.9% to −2.7% on the event day. We provide the first evidence on intraday price reactions pertaining to rights issues in Australia. Within 15 min of an announcement, we find significant abnormal trade returns of −1.2%. However, market participants are unable to profit by trading on these announcements due to transaction costs. Our results imply that the information content is fully impounded within 90 min.

KW - Abnormal returns

KW - Event study

KW - Market efficiency

KW - Rights issues

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SN - 0810-5391

JO - Accounting and Finance

JF - Accounting and Finance

ER -

Do rights matter? An intraday analysis of rights issues in Australia

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