Essays on information arrival and asset prices

Alsabah, Abdullah Faisal (2023). Essays on information arrival and asset prices. University of Birmingham. Ph.D.

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Abstract

This thesis consists of three empirical papers focusing on the impact of different types of information on investor behaviour and the consequent influence on stock market performance. The first chapter explores the effect of actions taken by the regulator in relation to firms’ law violations on a firm’s stock performance. The results of this study suggest that the announcements made by the Capital Markets Authority (“CMA”) toward firms violating the law have negative and significant effects on the firms’ stock performances. In particular, firms announced to be under investigation experience a more severe impact than those that are the subject of sanction announcements.

The second chapter explores the influence of newspaper article sentiment on investors’ trading behaviours. The main results show that financial news articles and their sentiments have significant effects on stock performance indicators. Particularly, Polarity score has significant positive effects on stock returns and a significant negative impact on stock volatility. While the Difficulty and Subjectivity scores have positive and negative impacts on stock returns, respectively, both have a limited impact on stock volatility.

Finally, the third chapter reveals the impact of sports events on the nation’s stock market indices. I find that the results of football rivalry matches have a significant impact on the stock market indices of participating countries. Specifically, the result of a national football match positively (negatively) affects the performance of the winning (losing) country’s stock market index. Furthermore, the magnitude of the impact also depends on the characteristics of the game. The results of this investigation show that the victories in rival matches have a greater positive impact on stock returns than non-rival matches. Similarly, the stock market of the country which suffers a loss in a rival match often experiences a larger negative effect from the match, compared to that of a country that loses in a non-rival match.

Type of Work:

Thesis (Doctorates > Ph.D.)

Award Type:

Doctorates > Ph.D.

Supervisor(s):