Aigbe Akhigbe - Academia.edu (original) (raw)

Papers by Aigbe Akhigbe

Research paper thumbnail of Winners and Losers on NYSE: A Re-examination Using Daily Closing Bid-Ask Spreads

We study a sample of NYSE stocks that experienced a large one-day price change during 1992 and we... more We study a sample of NYSE stocks that experienced a large one-day price change during 1992 and were reported as daily largest percentage gainers and largest percentage losers in the Wall Street Journal. The sample indicates significant reversals during the immediate post-announcement period. We test for market efficiency by using bid-ask spreads obtained from the transactions data for the days immediately after the announcement. The overall results indicate that the returns during the reversal period are less than the average bid-ask spread during the same time. We also find that major losers, firms with -20 percent to -50 percent event-date abnormal returns, experience price reversals generating returns that are significantly greater than the average bid-ask spread during that period. We interpret this result as consistent with the overreaction hypothesis. A test of a trading rule to exploit this overreaction is not profitable, providing support for weak-form market efficiency.

Research paper thumbnail of Dividend Policy and Signalling by Insurance Companies

Given their unique characteristics, insurers that adjust their dividends may create a unique sign... more Given their unique characteristics, insurers that adjust their dividends may create a unique signal. An event study methodology is used to measure the share price response of insurers to dividend increases, and matched control samples of banks and industrial firms are similarly assessed. The share price response for insurers is positive and significant. The magnitude of the response for life insurers is smaller than that of other types of insurers or industrial companies but is greater than that of banks. This result may be due to the relativly low level of capital maintained by life insurers. A cross-sectional analysis suggests that the share price responses across insurers are not related to firm-specific characteristics other than firms' main line of insurance business.

Research paper thumbnail of 2001, Intra-Industry Signals Resulting From Insurance Company Mergers, Journal of Risk and Insurance 68, pp 489-506

Given the increasing consolidation in the insurance industry, the authors’ objective is to determ... more Given the increasing consolidation in the insurance industry, the authors’ objective is to determine how the market revalues the acquirer, target, and rival insurance companies in response to merger announcements. The authors

Research paper thumbnail of Capital Market Risk Implications of Governance and Disclosure for the Insurance Industry: The Case of Sarbanes-Oxley

We analyze the changes in capital market risk measures following the passage of the Sarbanes-Oxle... more We analyze the changes in capital market risk measures following the passage of the Sarbanes-Oxley (SOX) Act of 2002 for publicly-traded insurers. The most substantive impact occurs for life insurers, who experience significant increases in all risk measures, although we also document significant increases in market risk for non­ life insurers. We find that insurers with relatively weak disclosure and governance in the pre-SOX period experience the greatest increases in risk, consistent with the expectation that (1) less credible insurers will divulge new information that is worrisome, and (2) weakly governed insurers will increase investor protection, leading to less conservative investment strategies. We also find that changes in governance that occur following the passage of SOX are positively and significantly related to changes in risk, further supporting the notion that improved investor protection is associated with increased managerial risk taking.

Research paper thumbnail of Intraindustry Effects of Bank Stock Repurchases

Research paper thumbnail of SEO announcement returns and internal capital market efficiency

Journal of Corporate Finance, 2015

ABSTRACT We test the hypothesis that efficient internal capital markets mitigate the negative ann... more ABSTRACT We test the hypothesis that efficient internal capital markets mitigate the negative announcement returns surrounding seasoned equity offerings (SEOs). Our predictions are based on the argument that efficiency reduces uncertainty regarding the value of assets-in-place. Having established the inverse association between our efficiency measures and uncertainty, we show that the efficiency measures are positively associated with SEO announcement returns, particularly among firms with multiple segment codes. The positive relation suggests that efficiency mitigates uncertainty regarding the value of assets-in-place, and this is the channel through which more favorable announcement returns are produced in response to the SEOs of high efficiency firms.

Research paper thumbnail of Influence of financial distress on foreign exchange exposure

American Journal of Business, 2014

Research paper thumbnail of INTRA-INDUSTRY EFFECTS OF BOND RATING ADJUSTMENTS

Journal of Financial Research, 1997

Research paper thumbnail of Bank Litigation, Bank Performance and Operational Risk: Evidence from the Financial Crisis

SSRN Electronic Journal, 2000

ABSTRACT Deposit insurance is a put option that encourages excessive risk taking by banks. Excess... more ABSTRACT Deposit insurance is a put option that encourages excessive risk taking by banks. Excess litigation against a bank, a form of operational risk, is one indicator of risk because litigation often reflects a failure to maintain a strong system of internal control. We analyze five different measures of bank financial performance and a unique hand-collected data set on bank legal expense. Our results are consistent with the hypothesis that high legal expense predicts weak future bank performance. If investors had legal expense information on a regular basis there would be greater market discipline. Bank regulators should consider requiring consistent and comprehensive reporting of legal expense on regulatory reports to help identify institutions with excessive operational risk. Existing reporting creates unnecessary information asymmetries since investors are not as informed as they could be about operational risk, no doubt leading to mispricing of bank securities.

Research paper thumbnail of FINANCING DECISIONS AND SIGNALING BY PARTIALLY ACQUIRED FIRMS

Journal of Financial Research, 2001

It is well documented that financing decisions by firms can signal valuable information about tha... more It is well documented that financing decisions by firms can signal valuable information about that firm. Our goal is to determine whether financing decisions by firms can signal valuable information about large stakeholders who have a substantial investment in those firms. In ...

Research paper thumbnail of Industry Signals Relayed by Corporate Earnings Restatements

Financial Review, 2008

ABSTRACT This study finds that downward earnings restatements are associated with negative indust... more ABSTRACT This study finds that downward earnings restatements are associated with negative industry valuation effects. These effects are more pronounced when the valuation effects and the change in earnings of the firm restating its earnings are worse, when the restatement is initiated for reasons other than fraud, when the bubble was bursting, and when the restatement is subsequent to the publicity regarding Enron's fraud. The negative industry effects are more pronounced in industries that have a higher level of accruals and intangible assets, weaker sales growth, and a higher degree of stock volatility. Copyright (c) 2008, The Eastern Finance Association.

Research paper thumbnail of The Valuation Effects of Frequent Common Stock Issuances

Previous empirical studies show that announcements of seasoned common stock registrations and iss... more Previous empirical studies show that announcements of seasoned common stock registrations and issuances lead to significant reductions in common stock prices and shareholder wealth. Nevertheless, some firms issue common stock frequently. Our empirical study of nonutility firms that issued common stock four or more times within ten years shows that market reactions to announcements of offerings and to registrations are less unfavorable than typical reactions for infrequent issuers. A cross-sectional analysis reveals no unique characteristics that distinguish frequent issuers from one-time common equity issuers. In fact, the only detectable characteristic unique to the firms is that they issue common stock frequently.

Research paper thumbnail of The Industry Effects Regarding the Probability of Takeovers

The Financial Review, 1999

... The Industry Effects Regarding the Probability of Takeovers Aigbe Akhigbe Jeff Madura" F... more ... The Industry Effects Regarding the Probability of Takeovers Aigbe Akhigbe Jeff Madura" Florida Atlantic University Abstract ... CAR (%) 0.56 -1.91 -1.35 -0.91 Z-Value 1.17 -11.67** -3.48** -1.68* %Pos. 53 32 40 40 Panel B: Targets (#245) Interval CAR (%) Z-Value % Pos. ...

Research paper thumbnail of Price Performance Following Share-Repurchase Announcements by Closed-End Funds

The Financial Review, 2007

AbstractWe investigate the price performance of closed-end funds that announce share-repurchase p... more AbstractWe investigate the price performance of closed-end funds that announce share-repurchase programs. Closed-end funds experience positive average stock-price reactions to the announcements. The long-run buy-and-hold abnormal returns of repurchasing funds over the subsequent three years are significantly higher than a nonrepurchasing control sample matched by size, type, investment style and geographic diversification. Funds with larger discounts, international funds, equity funds,

Research paper thumbnail of Is There Excess Capacity in Rural Banking Markets?

The Financial Review, 1998

Research paper thumbnail of Motivation and Performance of Seasoned Offerings by Closed-End Funds

The Financial Review, 2001

... Cooney, and Van Drunen, 1991), and the wealth redistribution hypothesis (Kalay and Shimrat, 1... more ... Cooney, and Van Drunen, 1991), and the wealth redistribution hypothesis (Kalay and Shimrat, 1987). Page 3. ... Expected returns are generated from the market model parameters, estimated with daily returns from the period t.220 to t.20 relative to the offering date. ...

Research paper thumbnail of Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe

The Financial Review, 1999

Research paper thumbnail of Does an Industry Effect Exist for Initial Public Offerings?

The Financial Review, 2003

Research paper thumbnail of Risk Shifts Following Sarbanes-Oxley: Influences of Disclosure and Governance

Research paper thumbnail of Oil and stock market activity when prices go up and down: the case of the oil and gas industry

Review of Quantitative Finance and Accounting, 2013

ABSTRACT We examine the asymmetric effects of daily oil price changes on equity returns, market b... more ABSTRACT We examine the asymmetric effects of daily oil price changes on equity returns, market betas, oil betas, return variances, and trading volumes for the US oil and gas industry. The responses of stock returns associated with negative changes in oil prices are higher than that associated with positive changes in oil prices. Stock risk measured by market beta is influenced more due to oil price decreases than due to oil price increases. On the other hand, oil risk exposures (oil betas) and return variances are more influenced by oil price increases than oil price decreases. The results of our study indicate that oil and gas firm returns, market betas, oil betas, return variances respond asymmetrically to oil price changes. We also find that relative changes in oil prices along with firm-specific factors such as firm size, ROA, leverage, market-to-book ratio (MBR) are important in determining the effects of oil price changes on oil and gas firms’ returns, risks, and trading volumes.

Research paper thumbnail of Winners and Losers on NYSE: A Re-examination Using Daily Closing Bid-Ask Spreads

We study a sample of NYSE stocks that experienced a large one-day price change during 1992 and we... more We study a sample of NYSE stocks that experienced a large one-day price change during 1992 and were reported as daily largest percentage gainers and largest percentage losers in the Wall Street Journal. The sample indicates significant reversals during the immediate post-announcement period. We test for market efficiency by using bid-ask spreads obtained from the transactions data for the days immediately after the announcement. The overall results indicate that the returns during the reversal period are less than the average bid-ask spread during the same time. We also find that major losers, firms with -20 percent to -50 percent event-date abnormal returns, experience price reversals generating returns that are significantly greater than the average bid-ask spread during that period. We interpret this result as consistent with the overreaction hypothesis. A test of a trading rule to exploit this overreaction is not profitable, providing support for weak-form market efficiency.

Research paper thumbnail of Dividend Policy and Signalling by Insurance Companies

Given their unique characteristics, insurers that adjust their dividends may create a unique sign... more Given their unique characteristics, insurers that adjust their dividends may create a unique signal. An event study methodology is used to measure the share price response of insurers to dividend increases, and matched control samples of banks and industrial firms are similarly assessed. The share price response for insurers is positive and significant. The magnitude of the response for life insurers is smaller than that of other types of insurers or industrial companies but is greater than that of banks. This result may be due to the relativly low level of capital maintained by life insurers. A cross-sectional analysis suggests that the share price responses across insurers are not related to firm-specific characteristics other than firms' main line of insurance business.

Research paper thumbnail of 2001, Intra-Industry Signals Resulting From Insurance Company Mergers, Journal of Risk and Insurance 68, pp 489-506

Given the increasing consolidation in the insurance industry, the authors’ objective is to determ... more Given the increasing consolidation in the insurance industry, the authors’ objective is to determine how the market revalues the acquirer, target, and rival insurance companies in response to merger announcements. The authors

Research paper thumbnail of Capital Market Risk Implications of Governance and Disclosure for the Insurance Industry: The Case of Sarbanes-Oxley

We analyze the changes in capital market risk measures following the passage of the Sarbanes-Oxle... more We analyze the changes in capital market risk measures following the passage of the Sarbanes-Oxley (SOX) Act of 2002 for publicly-traded insurers. The most substantive impact occurs for life insurers, who experience significant increases in all risk measures, although we also document significant increases in market risk for non­ life insurers. We find that insurers with relatively weak disclosure and governance in the pre-SOX period experience the greatest increases in risk, consistent with the expectation that (1) less credible insurers will divulge new information that is worrisome, and (2) weakly governed insurers will increase investor protection, leading to less conservative investment strategies. We also find that changes in governance that occur following the passage of SOX are positively and significantly related to changes in risk, further supporting the notion that improved investor protection is associated with increased managerial risk taking.

Research paper thumbnail of Intraindustry Effects of Bank Stock Repurchases

Research paper thumbnail of SEO announcement returns and internal capital market efficiency

Journal of Corporate Finance, 2015

ABSTRACT We test the hypothesis that efficient internal capital markets mitigate the negative ann... more ABSTRACT We test the hypothesis that efficient internal capital markets mitigate the negative announcement returns surrounding seasoned equity offerings (SEOs). Our predictions are based on the argument that efficiency reduces uncertainty regarding the value of assets-in-place. Having established the inverse association between our efficiency measures and uncertainty, we show that the efficiency measures are positively associated with SEO announcement returns, particularly among firms with multiple segment codes. The positive relation suggests that efficiency mitigates uncertainty regarding the value of assets-in-place, and this is the channel through which more favorable announcement returns are produced in response to the SEOs of high efficiency firms.

Research paper thumbnail of Influence of financial distress on foreign exchange exposure

American Journal of Business, 2014

Research paper thumbnail of INTRA-INDUSTRY EFFECTS OF BOND RATING ADJUSTMENTS

Journal of Financial Research, 1997

Research paper thumbnail of Bank Litigation, Bank Performance and Operational Risk: Evidence from the Financial Crisis

SSRN Electronic Journal, 2000

ABSTRACT Deposit insurance is a put option that encourages excessive risk taking by banks. Excess... more ABSTRACT Deposit insurance is a put option that encourages excessive risk taking by banks. Excess litigation against a bank, a form of operational risk, is one indicator of risk because litigation often reflects a failure to maintain a strong system of internal control. We analyze five different measures of bank financial performance and a unique hand-collected data set on bank legal expense. Our results are consistent with the hypothesis that high legal expense predicts weak future bank performance. If investors had legal expense information on a regular basis there would be greater market discipline. Bank regulators should consider requiring consistent and comprehensive reporting of legal expense on regulatory reports to help identify institutions with excessive operational risk. Existing reporting creates unnecessary information asymmetries since investors are not as informed as they could be about operational risk, no doubt leading to mispricing of bank securities.

Research paper thumbnail of FINANCING DECISIONS AND SIGNALING BY PARTIALLY ACQUIRED FIRMS

Journal of Financial Research, 2001

It is well documented that financing decisions by firms can signal valuable information about tha... more It is well documented that financing decisions by firms can signal valuable information about that firm. Our goal is to determine whether financing decisions by firms can signal valuable information about large stakeholders who have a substantial investment in those firms. In ...

Research paper thumbnail of Industry Signals Relayed by Corporate Earnings Restatements

Financial Review, 2008

ABSTRACT This study finds that downward earnings restatements are associated with negative indust... more ABSTRACT This study finds that downward earnings restatements are associated with negative industry valuation effects. These effects are more pronounced when the valuation effects and the change in earnings of the firm restating its earnings are worse, when the restatement is initiated for reasons other than fraud, when the bubble was bursting, and when the restatement is subsequent to the publicity regarding Enron's fraud. The negative industry effects are more pronounced in industries that have a higher level of accruals and intangible assets, weaker sales growth, and a higher degree of stock volatility. Copyright (c) 2008, The Eastern Finance Association.

Research paper thumbnail of The Valuation Effects of Frequent Common Stock Issuances

Previous empirical studies show that announcements of seasoned common stock registrations and iss... more Previous empirical studies show that announcements of seasoned common stock registrations and issuances lead to significant reductions in common stock prices and shareholder wealth. Nevertheless, some firms issue common stock frequently. Our empirical study of nonutility firms that issued common stock four or more times within ten years shows that market reactions to announcements of offerings and to registrations are less unfavorable than typical reactions for infrequent issuers. A cross-sectional analysis reveals no unique characteristics that distinguish frequent issuers from one-time common equity issuers. In fact, the only detectable characteristic unique to the firms is that they issue common stock frequently.

Research paper thumbnail of The Industry Effects Regarding the Probability of Takeovers

The Financial Review, 1999

... The Industry Effects Regarding the Probability of Takeovers Aigbe Akhigbe Jeff Madura" F... more ... The Industry Effects Regarding the Probability of Takeovers Aigbe Akhigbe Jeff Madura" Florida Atlantic University Abstract ... CAR (%) 0.56 -1.91 -1.35 -0.91 Z-Value 1.17 -11.67** -3.48** -1.68* %Pos. 53 32 40 40 Panel B: Targets (#245) Interval CAR (%) Z-Value % Pos. ...

Research paper thumbnail of Price Performance Following Share-Repurchase Announcements by Closed-End Funds

The Financial Review, 2007

AbstractWe investigate the price performance of closed-end funds that announce share-repurchase p... more AbstractWe investigate the price performance of closed-end funds that announce share-repurchase programs. Closed-end funds experience positive average stock-price reactions to the announcements. The long-run buy-and-hold abnormal returns of repurchasing funds over the subsequent three years are significantly higher than a nonrepurchasing control sample matched by size, type, investment style and geographic diversification. Funds with larger discounts, international funds, equity funds,

Research paper thumbnail of Is There Excess Capacity in Rural Banking Markets?

The Financial Review, 1998

Research paper thumbnail of Motivation and Performance of Seasoned Offerings by Closed-End Funds

The Financial Review, 2001

... Cooney, and Van Drunen, 1991), and the wealth redistribution hypothesis (Kalay and Shimrat, 1... more ... Cooney, and Van Drunen, 1991), and the wealth redistribution hypothesis (Kalay and Shimrat, 1987). Page 3. ... Expected returns are generated from the market model parameters, estimated with daily returns from the period t.220 to t.20 relative to the offering date. ...

Research paper thumbnail of Economic Exchange Rate Exposure of U.S.-Based MNCs Operating in Europe

The Financial Review, 1999

Research paper thumbnail of Does an Industry Effect Exist for Initial Public Offerings?

The Financial Review, 2003

Research paper thumbnail of Risk Shifts Following Sarbanes-Oxley: Influences of Disclosure and Governance

Research paper thumbnail of Oil and stock market activity when prices go up and down: the case of the oil and gas industry

Review of Quantitative Finance and Accounting, 2013

ABSTRACT We examine the asymmetric effects of daily oil price changes on equity returns, market b... more ABSTRACT We examine the asymmetric effects of daily oil price changes on equity returns, market betas, oil betas, return variances, and trading volumes for the US oil and gas industry. The responses of stock returns associated with negative changes in oil prices are higher than that associated with positive changes in oil prices. Stock risk measured by market beta is influenced more due to oil price decreases than due to oil price increases. On the other hand, oil risk exposures (oil betas) and return variances are more influenced by oil price increases than oil price decreases. The results of our study indicate that oil and gas firm returns, market betas, oil betas, return variances respond asymmetrically to oil price changes. We also find that relative changes in oil prices along with firm-specific factors such as firm size, ROA, leverage, market-to-book ratio (MBR) are important in determining the effects of oil price changes on oil and gas firms’ returns, risks, and trading volumes.