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This study examines whether investors value the timing and/or information of mandatory disclosures in a unique research setting of listed companies in Thailand.

The authors adopt an event-study based approach. Abnormal stock returns are calculated using an OLS market model to measure market reactions to three types of mandatory reports issued by listed Thai firms: financial statements, Form 56-1 and Form 56-2. These reports are released sequentially but contain overlapping information content. Multivariate regression models are employed to examine the market reactions to these regulatory reports and explore the characteristics of firms that affect the market response.

The stock market reacts differentially to these reports. The financial statements, which are filed the earliest and are the most concise, prompt the strongest reaction. Investors similarly react significantly to Form 56-1 and Form 56-2, although Form 56-2 provides additional information beyond Form 56-1. The market reactions to small firms are stronger. Collectively, equity investors focus on the timeliness of disclosures rather than the information disclosed in the mandatory reports.

The evidence provides support for ongoing regulatory initiatives aimed at improving the timeliness of mandatory disclosures in emerging economies.

Prior studies on disclosure regulation investigate either the effect of information content or the timing of mandatory disclosures in isolation. The authors differentiate the effect of information content from disclosure timing and extend the literature by suggesting that investors incrementally value timeliness of disclosures. Investors perceive the benefit of the timely release of quantitative information compared to subsequent narrative disclosures. Between Form 56-1 and Form 56-2, the earlier release of the narrative non-financial information is incrementally traded into share prices.

This study aims to examine the behaviour of institutional and retail investors in response to news about industry leaders (peer firms) and to determine its impact on the stock prices of other firms (focal firms) within the same industry.

The study investigates the impact of peer news on investor behaviour of Chinese A-shares listed on the Shanghai and Shenzhen Stock Exchanges from 2010 to 2019. The media coverage of industry leaders is sourced from prominent Chinese online financial outlets and the Chinese Financial Press. Support vector machine is applied to identify the positive, neutral and negative news within the articles. The study uses event study and logistic regression to examine the effects of peer news on focal firms’ investor behaviour.

The results show that both good and bad news about leaders cause peers’ stock prices to increase initially, but then reverse within one quarter. Further analysis reveals that when leaders’ shares receive positive news coverage, institutional investors tend to exert excessive abnormal buying pressure on peers’ shares, resulting in overreactions. Conversely, retail investors do not actively trade on peers on leaders’ news day due to limited attention. In addition, the study shows that short-selling constraint inhibits bad news from reflecting in the stock prices.

The study highlights differences in investor behaviour. The finding that institutional investors tend to overreact more to peer firms’ news when focal firms are smaller and have a lower frequency of information disclosure supports the salient theory. This is consistent with the previous framework that suggests overreaction is more pronounced when it is difficult to combine external sources of information to evaluate the focal firms. In contrast, retail investors do not engage in active trading on peers on leaders’ news day due to the limited attention theory.

This study aims to investigate the market reaction to the Russian invasion of Ukraine, specifically in the banking sector.

The research uses an event study and cross-sectional analysis, with market reaction measured by cumulative abnormal return (CAR). The sample comprised 1,126 banks.

The results show that the market reacted negatively to the invasion both before and after its announcement. Developed and emerging markets saw a negative impact from the invasion, while frontier markets experienced only a slight impact. The authors also find that the banking markets of North Atlantic Treaty Organization (NATO) members reacted significantly and negatively both before and after the invasion was announced. This demonstrates that the negative market reaction of NATO members was more impactful than that of other markets. Overall, this study shows that investors in the banking market are very sensitive to war.

This is the first study to provide international evidence, specifically on the banking sector's reaction during the Russian invasion of Ukraine.

In this paper, the authors take the central environmental protection inspection (CEPI) as an exogenous shock to study the reaction of the stock market in China. Using the event study method, the authors check how the first round of the first batch of CEPI supervision affects the cumulative abnormal return (CAR) of the listed firms on the Shenzhen or Shanghai stock exchange. This paper aims to discuss the aforementioned objective.

In this paper, the authors take the first round of the first batch of CEPI supervision as a clean exogenous shock to study its effects on the capital market. The authors collect daily trading data from the China stock market and accounting research (CSMAR) database, with the sample containing 1,950 Chinese firms listed on either the Shenzhen or Shanghai stock exchanges. And detailed information on CEPI supervision is obtained from the official website of the Ministry of Ecology and Environment of the People's Republic of China. The event study method is adopted to analyze the reaction of the stock market under CEPI supervision. Specifically, the authors constructed the cumulative abnormal return of each firm around the event day of CEPI. To capture the deterrent effects of CEPI supervision, the authors examine the situation of polluting and non-polluting firms in the supervised provinces, adjacent provinces and provinces that are not supervised or close to the supervised provinces, respectively.

This paper throws light on the following: (1) the polluting firms in the supervised provinces were negatively impacted by CEPI within 20 trading days of the event day, and its effects spread to the polluting firms in the neighboring provinces; (2) CEPI had a favorable impact on the non-polluting businesses in the provinces that are neither supervised nor close to the supervised provinces. The authors contend that it is because the investment is being forced out of the polluting sector and into the non-polluting sector, which is more pronounced in the provinces not directly or indirectly targeted by CEPI; (3) by comparison, the “looking back monitoring of the first round” has had no discernible detrimental impact on the firms' CAR, indicating an important role of psychology anticipation of investors in the stock market performance; (4) although not physically located in the supervised provinces, the downstream enterprises of the polluting firms suffer significantly from CEPI shock; (5) the effectiveness of CEPI supervision in the supervised provinces depends on the level of local environmental regulation and the ownership structure of the company. Private firms in the provinces with stronger environmental regulations suffer more from the CEPI shock; (6) the multivariate analysis shows that while enterprises with high ROE and financial leverage may be at risk of CAR loss, older, larger firms are less likely to experience CEPI shock; (7) the study of persistent effect reveals that the strike of CEPI supervision can last for at least 10 months after the event day and deterrent effect can be spread within the whole polluting industry.

In this paper, the authors only concentrate on the market reaction within 20 trading days after the event day. An analysis of long-term effects should be valuable to get a deeper knowledge of the capital market reaction to the CEPI policy. In addition, the paper only focuses on the first round of the first batch of CEPI. Since CEPI has been built as a constant regulation of local environmental performance, further study may need to track both the reaction of listed firms and investment behavior in the capital market.

Policy implications of the paper are as follows: First, for the policymakers, it is important to construct a constant environmental regulation system instead of a campaign movement. Second, for investors, as environmental issues are receiving increasing attention from both the government and the public, investment decisions should take into account firms' environmental performance, which can help reduce the risk from environmental regulations. Third, the firms in the polluting industry should take more action to reduce pollutant releases and adopt green technology, which is essential for sustainable development under environmental protection.

This paper contributes to the existing literature in the following aspects. First, the authors provide new evidence on the effects of environmental regulations as a shock to the stock market, which has been wildly concentrated in the literature about environmental policies evaluation and capital market reaction. Second, the authors supplement the literature on green finance and sustainability transformation, which has got increasing attention in recent years. Theoretically, by guiding investment and affecting the stock market performance, environmental regulations are considered to be an efficient way to stimulate polluting firms to transform into green development. The results of the paper support this intuition by showing that the CAR of the non-polluting firms in non-supervised provinces in fact benefit from the CEPI supervision.

Ethereum-based blockchain technology (EBT) affords members of the Enterprise Ethereum Alliance (EEA) a market advantage in deploying blockchain within their organizations, including cybersecurity and operational benefits, that leads firms to strategically invest in this nascent technology. However, the impact of such strategic investments in EBT has yet to be explored in the context of its relationship to firm value. Therefore, this study explores EBT-specific firm-level characteristics that result in a stock market reaction to announcements of strategic investments.

The authors use the event study methodology, strategic investment literature and signaling theory as contextualizing frameworks for their study. Additionally, the authors explore a new method for examining technology investments as a strategic counter to cybersecurity threats.

Firms that signal to the market their strong commitment to their strategic investment by developing an EBT proof of concept see significantly higher market returns. Firms that have had prior cybersecurity incidents are rewarded by the market for strategically investing in EBT, and when firms with large undistributed free cash flows utilize this cash for strategic EBT investment, the market is more likely to reward these firms, indicating the market views EBT investment positively in these circumstances.

The results of this study provide new evidence of the value impact of EBT for firms that suffered cybersecurity events in the past. The authors provide empirical evidence of firm-level characteristics that investors use to discern whether a strategic investment in EBT will drive organizational value. Likewise, the authors demonstrate how signaling affects investor perceptions of strategic information technology (IT) investments in EBT.

This study aims to examine the value orientations of New Zealand agribusiness investors and how these orientations influence their reactions to the environmental and social implications of agribusinesses.

In the context of the New Zealand agricultural sector, the views of investors as published in print and broadcast media between 2018 and 2022 are gathered. The study uses qualitative content analysis to analyse the data. The study is based on the value-belief-norm theory.

The study reveals that New Zealand agribusiness investors express concern about the environmental (biospheric) and social (altruistic) impacts of the agribusiness sector, prompting calls for greater transparency, climate adaptation and ethical investment options. Additionally, they actively support local businesses to benefit their communities and preserve cultural heritage. Despite these biospheric and altruistic tendencies, investors also prioritise financial and non-financial interests (egoistic). This highlights a nuanced perspective guiding their investment choices – a balance between self-interest and contributing to the greater good. This signals a shift towards socially and environmentally responsible investment practices driven by multifaceted values.

The findings of this study highlight the role of non-pecuniary motives, like values, in determining the relevance of environmental and social information.

The study’s findings offer insight to agribusinesses on how investors’ value orientations shape their investment decisions. This understanding can guide businesses in framing a reporting strategy that enhances the likelihood of investors perceiving reporting as relevant and persuasive, thereby attracting more investments. In turn, this tailored reporting approach assists investors in making well-informed decisions in assessing the environmental and societal risks of agribusinesses.

The study offers a framework explaining how agribusinesses can increase the likelihood of investors finding firms reporting relevant and persuasive, leading to increased investments in environmentally and socially sustainable practices.

This study aims to investigate the asymmetric impact of daily announcements regarding COVID-19 on investor sentiment in the stock market.

This study uses a Non-Linear Autoregressive Distribution Lag (NARDL) model that relies on positive and negative partial sum decompositions of the Coronavirus indicators. Five investor sentiments had been used and the analysis is conducted on the full sample period from 24th February 2020 to 25th March 2021.

The results show that new cases have a greater impact on investor sentiment compared to daily announcements of new deaths related to COVID-19. In addition to revealing a significant impact of new COVID-19 new cases and new death announcements on a daily basis on investor sentiment over the short- and long-term, this paper also highlights the nonlinearity and asymmetry of this relationship in the short and long run. Investors' sentiments are more affected by negative news regarding Covid 19 than positive news.

Financial markets have been severely affected by COVID-19 pandemic. This study is the first to measure the extent of reaction of investors to positive and negative announcements of COVID-19. Interestingly, this study examines the asymmetric effect of daily announcements on new cases and new deaths by COVID-19 on investor sentiments and derive many implications for portfolio managers.

This study aims to answer the question whether investment funds managers exhibit behavioural biases in their investment decisions. Furthermore, it investigates if fund managers, as a group of institutional investors, make decisions in response to central bank’s communication as well as other information in relation to various behavioural inclinations.

A comprehensive study was conducted based on a questionnaire, which is composed of three main parts exploring: (1) general information about the funds under the management of the surveyed group of fund managers, (2) factors that influence the investment process with an emphasis on the National Bank of Poland communication and (3) behavioural inclinations of the surveyed group. Cronbach’s alpha statistic was applied for measuring the reliability of the survey questionnaire and then chi-squared test was used to investigate the relationships between the answers provided in the survey.

The central bank’s communication matters for investors, but its impact on their decisions appears to be only moderate. Interest rates were found to be the most important announcements for investment fund managers. The stock market was the most popular market segment where the investments were made. The ultra-short time horizon played no, or only small, role in the surveyed fund managers’ decisions as most of them invested in a longer horizon covering 1 to 5 years. Moreover, most respondents declared that they considered in their decisions the information about market expectations published in the media. Finally, majority of the fund managers manifested limited rationality and were subject to behavioural biases, but the decisions and behavioural inclinations were independent and, in most cases, they did not influence each other.

The results reported in this study can be used in practice to better understand and to improve the fund managers’ decision-making processes.

Apart from the commonly tested behavioural biases in the group of institutional investors in the existing literature, such as loss aversion, disposition effect or overconfidence, this paper also focuses on the less intensively analysed behavioural inclinations, i.e. framing, illusion of the control, representativeness, sunk cost effect and fast thinking. The originality of this study further lies in the way the research was conducted through interviews with fund managers, who were found to be subject to behavioural biases, although those behavioural inclinations did not influence their investment decisions. This finding indicates that professionalism and collectivism in the group of institutional investors protect them from irrationality.

The coronavirus (COVID-19) is the worst pandemic in recent memory in terms of its economic and social impacts. Deadly second wave of COVID-19 in India shook the country and reshaped the ways organizations functions and societies behave. Medical infrastructure was unaffordable and unsupportive which created high distress in the Indian society, especially for poor. At this juncture, some pharmaceutical firms made a unique social investment when they reduced price of drugs used to treat COVID-19 patients. This study aims to examine how the market and the society respond to the price reduction announcement during the psychological distress of COVID-19.

Market reactions have been analyzed by conducting an event study on stock market data and visual analytics-based sentiment analysis on Twitter data.

Overall, this study finds positive abnormal returns on the day and around the day of event. Interestingly, this study finds that returns during the time of high distress are significantly higher. Sentiment analysis conveys that net sentiment is favorable to the pharmaceutical firms around the day of event and it sustains more during the time of high distress.

This study is unique in contributing to the business and industrial management literature by highlighting market reactions to social responsibility of business during the time of psychological distress in emerging economies.

This study aims to study the response of the stock market to the announcement of compulsory environmental, social and governance (ESG) disclosure regulation in the context of the Indian economy – one of the largest emerging economies. The study also examines the role of carbon sensitivity and pre-ESG disclosure.

Daily stock price data of 940 listed companies has been collected for 276 trading days to compute abnormal returns. The current study is based on event study methodology to analyze the announcement effect of disclosure regulations. Furthermore, to check the robustness of results, cross-sectional regression has been applied to correct for potential heterogeneity.

Results of the event study signify that the equity share market has reacted positively and significantly to the mandatory ESG disclosure regulation. Furthermore, the study also confirms the mitigating role of carbon sensitivity and pre-ESG disclosure as carbon nonsensitive (non predisclosure) firms have witnessed a more intense effect of regulation as compared to sensitive (predisclosed) corporations.

Current findings assist managers in understanding investor perception toward nonfinancial disclosures. Corporate managers can use disclosure as a tool to enhance the firm value and reduce information asymmetry by providing relevant information. Furthermore, policymakers can use the findings of present research to disseminate the advantages of adopting ESG disclosure practices thereby improving the transparency and governance among business firms.

To the best of the author’s knowledge, this study is the first to provide empirical evidence on the market response to compulsory ESG disclosure framework in the emerging context of India. Furthermore, considering the infancy stage of ESG research, the present research contributes to the body of knowledge by empirically testing the disclosure theories.