Pretty funny how quickly the herd behavior shifts. Not so long ago a paper was published in the Journal of Finance if I remember correctly showing abnormal returns for firms that added a dot come to their name during the bubble. Here's one showing how the pattern reversed... Not sure how tradable this is though.
_________________________________________________________________
"The Game of the Name: Valuation Effects of Name Changes in a
Market Downturn"
BY: PANAMBUR RAGHAVENDRA RAU
Purdue University, Krannert Graduate School of
Management
AJAY PATEL
Babcock Graduate School of Management
Wake Forest University
Wayne Calloway School of Business and Accountancy
AJAY KHORANA
Georgia Institute of Technology
Dupree College of Management
MICHAEL J. COOPER
Purdue University, Krannert School of Management
IGOR OSOBOV
Purdue University
Krannert Graduate School of Management
Document: Available from the SSRN Electronic Paper Collection:
http://papers.ssrn.com/paper.taf?abstract_id=375820
Paper ID: Purdue University Working Paper
Date: January 2003
Contact: PANAMBUR RAGHAVENDRA RAU
Email: Mailto:RAU@MGMT.PURDUE.EDU
Postal: Purdue University, Krannert Graduate School of Management
1310 Krannert Building
West Lafayette, IN 47907-1310 UNITED STATES
Phone: 765-494-4488
Fax: 765-494-9658
Co-Auth: AJAY PATEL
Email: Mailto:AJAY.PATEL@MBA.WFU.EDU
Postal: Babcock Graduate School of Management
Wake Forest University
P.O. Box 7659
Winston-Salem, NC 27109-7659 UNITED STATES
Co-Auth: AJAY KHORANA
Email: Mailto:ajay.khorana@mgt.gatech.edu
Postal: Georgia Institute of Technology
Dupree College of Management
Rm. 437
755 Ferst Drive
Atlanta, GA 30332-0250 UNITED STATES
Co-Auth: MICHAEL J. COOPER
Email: Mailto:MCOOPER@MGMT.PURDUE.EDU
Postal: Purdue University, Krannert School of Management
Krannert School of Management
1310 Krannert Building
West Lafayette, IN 47907-1310 UNITED STATES
Co-Auth: IGOR OSOBOV
Email: Mailto:Osobov@mgmt.purdue.edu
Postal: Purdue University
Krannert Graduate School of Management
1310 Krannert Building
West Lafayette, IN 47907-1310 UNITED STATES
ABSTRACT:
We investigate stock price reactions to Internet related name
changes in a market downturn. In contrast to the Internet boom
period, during which there was a surge of dot.com additions, in
the bust period, there is a dramatic reduction in the pace of
dot.com additions accompanied by a rapid increase in dot.com
name deletions. Following the Internet "crash" of mid-2000,
investors react positively to name changes for firms that remove
dot.com from their name. This dot.com deletion effect produces
cumulative abnormal returns on the order of 70 percent for the
sixty days surrounding the announcement day. Thus, our results
add support to a growing body of literature that documents that
investors are potentially influenced by cosmetic effects.
Keywords: Behavioral Finance, Dotcom bubble, Managerial
Timing, Gaming Behavior, Market Efficiency, Anomalies, Name
Changes
JEL Classification: G12, G14
_________________________________________________________________
"The Game of the Name: Valuation Effects of Name Changes in a
Market Downturn"
BY: PANAMBUR RAGHAVENDRA RAU
Purdue University, Krannert Graduate School of
Management
AJAY PATEL
Babcock Graduate School of Management
Wake Forest University
Wayne Calloway School of Business and Accountancy
AJAY KHORANA
Georgia Institute of Technology
Dupree College of Management
MICHAEL J. COOPER
Purdue University, Krannert School of Management
IGOR OSOBOV
Purdue University
Krannert Graduate School of Management
Document: Available from the SSRN Electronic Paper Collection:
http://papers.ssrn.com/paper.taf?abstract_id=375820
Paper ID: Purdue University Working Paper
Date: January 2003
Contact: PANAMBUR RAGHAVENDRA RAU
Email: Mailto:RAU@MGMT.PURDUE.EDU
Postal: Purdue University, Krannert Graduate School of Management
1310 Krannert Building
West Lafayette, IN 47907-1310 UNITED STATES
Phone: 765-494-4488
Fax: 765-494-9658
Co-Auth: AJAY PATEL
Email: Mailto:AJAY.PATEL@MBA.WFU.EDU
Postal: Babcock Graduate School of Management
Wake Forest University
P.O. Box 7659
Winston-Salem, NC 27109-7659 UNITED STATES
Co-Auth: AJAY KHORANA
Email: Mailto:ajay.khorana@mgt.gatech.edu
Postal: Georgia Institute of Technology
Dupree College of Management
Rm. 437
755 Ferst Drive
Atlanta, GA 30332-0250 UNITED STATES
Co-Auth: MICHAEL J. COOPER
Email: Mailto:MCOOPER@MGMT.PURDUE.EDU
Postal: Purdue University, Krannert School of Management
Krannert School of Management
1310 Krannert Building
West Lafayette, IN 47907-1310 UNITED STATES
Co-Auth: IGOR OSOBOV
Email: Mailto:Osobov@mgmt.purdue.edu
Postal: Purdue University
Krannert Graduate School of Management
1310 Krannert Building
West Lafayette, IN 47907-1310 UNITED STATES
ABSTRACT:
We investigate stock price reactions to Internet related name
changes in a market downturn. In contrast to the Internet boom
period, during which there was a surge of dot.com additions, in
the bust period, there is a dramatic reduction in the pace of
dot.com additions accompanied by a rapid increase in dot.com
name deletions. Following the Internet "crash" of mid-2000,
investors react positively to name changes for firms that remove
dot.com from their name. This dot.com deletion effect produces
cumulative abnormal returns on the order of 70 percent for the
sixty days surrounding the announcement day. Thus, our results
add support to a growing body of literature that documents that
investors are potentially influenced by cosmetic effects.
Keywords: Behavioral Finance, Dotcom bubble, Managerial
Timing, Gaming Behavior, Market Efficiency, Anomalies, Name
Changes
JEL Classification: G12, G14
