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Article
Publication date: 23 May 2019

Carmen Bachmann, Lars Tegtmeier, Johannes Gebhardt and Marcel Steinborn

The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017.

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Abstract

Purpose

The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017.

Design/methodology/approach

Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods.

Findings

The authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable.

Practical implications

The findings are important for all kinds of investors and asset managers who are considering investing in listed private equity.

Originality/value

The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

Details

Managerial Finance, vol. 45 no. 6
Type: Research Article
ISSN: 0307-4358

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Book part
Publication date: 25 November 2019

Lynne G. Zucker and Oliver Schilke

In this chapter, the authors weave together a set of ideas that lead us closer to a more general institutional theory – one that embraces multiple levels of analysis, including…

Abstract

In this chapter, the authors weave together a set of ideas that lead us closer to a more general institutional theory – one that embraces multiple levels of analysis, including the micro-level. The authors build on the roots of micro-institutional thought – including phenomenological and ethnomethodological underpinnings – as well as very active, social-psychological research areas that address key mechanisms in institutionalization. Among these, the authors discuss the important roles of legitimacy, trust, social influence, and routines. There is great promise for micro-institutional inquiry to make an integral contribution to institutional theory by bringing processes and people back in.

Details

Microfoundations of Institutions
Type: Book
ISBN: 978-1-78769-127-8

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Article
Publication date: 30 April 2020

Burze Yasar, Thomas Martin and Timothy Kiessling

This study aims to support and extend signalling theory because of information asymmetry. This study also aims to answer the call to further negative signalling and explore…

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Abstract

Purpose

This study aims to support and extend signalling theory because of information asymmetry. This study also aims to answer the call to further negative signalling and explore immediate reactions to signals, thus alleviating a gap with regard to temporality of signalling.

Design/methodology/approach

The study used two separate data sources, the S&P 500 and 51,500 pages of the public papers between 1981 and 1999, nearly 20 years of data. Inter-rater reliability, controlled for all macroeconomic announcements identified in the literature, is used, and the data are empirically tested using generalized autoregressive conditional heteroscedasticity (GJR-GARCH) modelling.

Findings

In accordance with signalling theory and the efficient market hypothesis, the study found that receivers do react to positive signals from a credible insider signaller to obviate information asymmetry. In line with previous research, the study also finds that receivers react much stronger to negative signals.

Practical implications

Investors, financial managers and top executives responsible for their stock price need to focus on presidential signalling as these directly affect market volatility. In particular, investors and financial managers can predict stock price volatility based upon signals from the president.

Originality/value

This is the first research study that explores the correlation between presidential signalling and market volatility. This study is important for investors and financial managers.

Details

Management Research Review, vol. 43 no. 11
Type: Research Article
ISSN: 2040-8269

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