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Daria Gavrilova

Daria Gavrilova

Having completed a BA in International Business and a MA in Banking and Financial Markets at the Faculty of Economics and Business Administration of the Babes-Bolyai University in Cluj-Napoca, Daria is now a Finance PhD student within the same university. Her area of research is stock market efficiency, price informativeness and company specific risk, focusing on changes in stock market efficiency that occur as a result of certain market-wide events.

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Andrei Dimcea, Daria Gavrilova: Abnormal Return Determinants Post-Index-Addition

Our study aims at uncovering what changes occur in abnormal return determinants after a stock is added to an index, and whether there is a dependency between a stock’s additions to an index and a change in its price informativeness. We centered our study around S&P500 joiners for the period from January 1993 to December 2017. As a result, we gathered a sample of 1178 additions that occurred during our analysis period. After imposing several screens on the original sample, the final working database consists of 358 series, characteristic of 356 companies, which is consistent with Chen, Noroha & Signal’s (2004) observations of nearly 3⁄4 of additions being caused by M&As. To test our hypothesis, we performed the Harris and Gurel (1986) event study methodology using two different event windows to quantify for the non-stationarity effects. Our results suggest that a stock’s addition to the S&P500 does indeed affect the price informativeness in the event and post-event event windows, nonetheless, the effects of price informativeness over abnormal returns are only significant for the post-event window, whereas, for the ex-ante window, abnormal returns are arguably influenced by company-specific risk, suggesting more speculative practices rather than information-based decision-making in the pre-event period.

Andrei Dimcea, Daria Gavrilova: Influence of Psychic Distance Stimuli on Stock Market Liquidity

This study aims to bring together financial and psychological concepts, in an effort to explain stock market liquidity through the international investor’s point of view. To do so, we use a proxy meant to measure an individual’s perception upon the differences between his home country and other countries. Although there are numerous studies that analyze the cross-country cultural distance and the stock market quality, those studies only describe them through domestic investor’s perspective. We went a step further, and used a proxy called psychic distance stimuli in order to capture how the difference between the home country and the target country affects an investor’s decision to become an international trader, and subsequently, how this affects the overall stock market liquidity of the target country. The empirical results of our study performed on a sample of 21 developed and 24 developing countries, for the period between 1996 to 2017 confirm our test hypothesis that psychic distance plays an important role in explaining stock market liquidity of the target country. We find that in general the higher is the psychic distance score of a country, the less liquid is its stock market.

Last modified: 2019.10.01.