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

Jozef Drienko, Stephen J. Sault and Wai Han Wong

Accounting and Finance, 2024, vol. 64, issue 2, 1311-1333

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.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/acfi.13180

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:64:y:2024:i:2:p:1311-1333

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().