关于事件研究法的50篇精选paper专辑! 助力分析COVID-19的影响!
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关于event study事件研究法，我们引荐过①事件研究法什么鬼? 从这里着手看"疫苗之王"，②事件研究法用于DID的经典文献"环境规制"论文数据和程序。鉴于event study越来越广泛应用于金融学、管理学、会计学等学科，我们接下来引荐约50篇应用event study方法开展实证研究的文章。需要提醒的是，里面有些文章发表级别高一些，有些低一些，但不妨碍你可以选读一些与自身专业相关的文献。当然，现在你可以不用看这些文章，等需要用到他们的时候再来查看也行。
Afik, Z., et al. (2019). "Advance notice labor conflicts and firm value—An event study analysis on Israeli companies." Finance Research Letters 31.
The Israeli law has a special requirement—unions must announce a labor-conflict at least 15 days before a potential strike. This raises the question whether (and how) an advance notice affects the firm value, as it allows employees and employers to negotiate and reach an agreement prior to an actual strike. Using event study analysis, we find in large firms and in companies with relatively high stock liquidity significant negative effect only after the announcement. Smaller firms with relatively illiquid stock exhibit significant negative effect prior to the announcement day, and their post event-day effect is statistically insignificant.
Allen, K. D., et al. (2018). "An event study analysis of too-big-to-fail after the Dodd-Frank act: Who is too big to fail?" Journal of Economics and Business 98: 19-31.
One feature of the Dodd-Frank Act is the elimination of too-big-to-fail (TBTF) banks. TBTF is a government guarantee of large banks that has been shown to increase the value of these banks, so removing the guarantee should result in a price decline of TBTF bank stock. Using event study methods, we find very limited reaction to the process of eliminating TBTF. Specifically, there is limited reaction among the largest banks and banks receiving special attention, such as Systemically Important Financial Institutions (SIFI) banks. Instead, smaller banks not receiving special attention show some evidence of negative returns with the elimination of TBTF.
Al-Thaqeb, S. A. (2018). "Do international markets overreact? Event study: International market reaction to U.S. local news events." Research in International Business and Finance 44: 369-385.
This event study surveys the relationship between the returns of 26 international markets and the U.S. Using local events experienced in the U.S., I measure the reaction of international markets to major U.S. political, economic, environmental, and national security events. I document that international markets show an under-reaction to positive local events in the U.S. and an over-reaction to negative local events in the U.S., especially when the events are unexpected. The economic factors could not these findings. The empirical findings support the influence of U.S. local events in the international scale and show how it effects investor sentiments in other markets.
Anderson, J., et al. (2015). "An event study of home and host country patent generation in Chinese MNEs undertaking strategic asset acquisitions in developed markets." International Business Review 24(5): 758-771.
We use event study methodologies to analyze trends in home and host country patent applications of Chinese MNEs that acquire strategic asset-rich developed market businesses. Our results show the domestic market patents of Chinese MNEs rise significantly in the wake of such acquisitions, while those of the acquired target do not significantly change. These results hold for different ownership classes. In light of current theoretical debates, we discuss the possible motivations for such acquisitions by Chinese MNEs and the reasons for the observed patenting performance in both domestic and target businesses. We argue acquisition of codified strategic assets (such as patents) for the purpose of imitation and exploitation in the domestic Chinese market context provides one plausible explanation for our results.
Asgharian, H., et al. (2011). "An event study of price movements following realized jumps." Quantitative Finance 11(6): 933-946.
Bash, A. and K. Alsaifi (2019). "Fear from uncertainty: An event study of Khashoggi and stock market returns." Journal of Behavioral and Experimental Finance 23: 54-58.
This study investigates whether uncertain events affect stock market outcomes. To perform a natural experiment, we measure the effect of the uncertain event of Jamal Khashoggi’s disappearance on the Saudi Stock Exchange. We use traditional event-study methodologies to analyse the data. The findings indicate that this event supports a downward trend in cumulative abnormal returns across all companies, implying a negative effect of uncertainty on stock returns.
Bratis, T., et al. (2017). "Assessing the impact of an EU financial transactions tax on asset volatility: An event study." International Review of Financial Analysis 53: 12-24.
Under the context of EMU debt and financial crisis, we assess the impact of EMU's announcement of a Financial Transactions tax (FTT) on bond and equity volatilities for seven countries, namely Germany, France (core EMU), Greece, Italy, Ireland, Portugal and Spain (periphery EMU). In the absence of historical data on volume and volatility of transactions of such a tax, we utilize the event study methodology. The selected event date considering the FTT announcement was found significant for core EMU's equity portfolio and periphery EMU's bond portfolio. Moreover, under GARCH models, we found that the announcement effect of FTT increases the volatility of both core EMU's equity portfolio as well as periphery EMU's bond portfolio.
Buigut, S. and B. Kapar (2019). "Effect of Qatar diplomatic and economic isolation on GCC stock markets: An event study approach." Finance Research Letters: 101352.
This study undertakes a comparative analysis of the impact of the Qatar blockade on seven stock markets in GCC countries using event study methodology. Qatar’s economy shows resilience, with its indices significantly reacting negatively to the crisis over the shorter event windows, but less so over longer event window. Saudi Arabia’s banking industry, Dubai’s real estate industry and Abu Dhabi’s energy industry registered positive abnormal return, indicating no serious economic stress to the leading blockading countries. Our findings suggest economic considerations alone is unlikely to be the compelling factor for the feuding parties in the quest for a solution.
Chong, J. and L. Duong (2017). "Understanding IT Governance Effectiveness in Asia: An Event Study." Pacific Asia Journal of Association for Information Systems 9: 29-54.
Corrado, C. J. and C. Truong (2008). "Conducting event studies with Asia-Pacific security market data." Pacific-Basin Finance Journal 16(5): 493-521.
We investigate the effectiveness of several well-known parametric and non-parametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric test statistics are prone to misspecification with Asia-Pacific returns data. Two non-parametric tests, a rank test [Corrado and Zivney (Corrado, C.J., Zivney, T.L., 1992, The specification and power of the sign test in event study hypothesis tests using daily stock returns, Journal of Financial and Quantitative Analysis 27(3), 465-478)] and a sign test [Cowan (Cowan, A.R., 1992, Non-parametric event study tests, Review of Quantitative Finance and Accounting 1(4), 343–358)] were the best performers overall with market model excess returns computed using an equal weight index.
de Jong, A. and I. Naumovska (2015). "A Note on Event Studies in Finance and Management Research*." Review of Finance 20(4): 1659-1672.
Event studies are a common research method in finance and management research. This note argues that the validity of inferences based on announcement effects hinges critically on controls for confounding events and appropriate statistical tests. We present a unique case where data is available for a replication of two key event studies. Specifically, we examine and show the importance of systematic confounding information on findings of the effect of corporate name changes on stock market reactions. We demonstrate that systematic confounding events are critical challenges when testing theories about investors’ reactions in finance and management research.
Demirer, R. and A. M. Kutan (2010). "The behavior of crude oil spot and futures prices around OPEC and SPR announcements: An event study perspective." Energy Economics 32(6): 1467-1476.
This paper examines the informational efficiency of crude oil spot and futures markets with respect to OPEC conference and U.S. Strategic Petroleum Reserve (SPR) announcements. We employ the event study methodology to examine the abnormal returns in crude oil spot and futures markets around OPEC conference and SPR announcement dates between 1983 and 2008. Our findings regarding OPEC announcements indicate an asymmetry in that only OPEC production cut announcements yield a statistically significant impact with the impact diminishing for longer maturities. We also find that the persistence of returns following OPEC production cut announcements creates substantial excess returns to investors who take long positions on the day following the end of OPEC conferences. In the case of SPR announcements, we find that the government's use of this program initiates a short-run market reaction following the announcement date. Furthermore, our tests of cumulative abnormal returns suggest that the market reacts efficiently to SPR announcements providing support for the use of the strategic reserves as a tool to stabilize the oil market. Our findings have significant policy implications for investors and are useful in designing effective energy policy strategies.
Ferstl, R., et al. (2012). "The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study." Business Research 5(1): 25-41.
This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are analyzed through joint tests by multivariate regression models and bootstrapping. Our results show significant abnormal returns for Japanese nuclear utility firms during the one-week event window and the subsequent four-week post-event window. Furthermore, while French and German nuclear utility and alternative energy stocks exhibit significant abnormal returns during the event window, we cannot confirm abnormal returns for U.S. stocks.
Fratzscher, M. (2008). "Oral Interventions Versus Actual Interventions in FX Markets – an Event‐Study Approach." The Economic Journal 118(530): 1079-1106.
The article assesses whether exchange rate communication – or oral intervention – has been an effective policy tool for monetary authorities to influence exchange rates. It employs an event‐study methodology that identifies intervention clusters or events. For the euro–dollar and the dollar–yen exchange rates, the article finds that both oral intervention events and actual intervention events have been highly successful over the short to medium‐run. The article shows that the success of intervention events is related to market conditions and to the coordination among policy makers. It also finds that the success of communication and actual interventions is largely unrelated to monetary policy, thus suggesting that interventions primarily function through a coordination channel.
Freyaldenhoven, S., et al. (2019). "Pre-event Trends in the Panel Event-Study Design." American Economic Review
109(9): 3307-3338.
Fuller, P., et al. (2019). "The impact of the new real estate sector on REITs: an event study." Journal of Economics and Finance 43(1): 143-161.
This paper examines the impact of reclassifying equity Real Estate Investment Trust (REITs) in the S&P 500 by transferring them from the Financials sector to a new Global Industry Classification Standard sector named Real Estate in an event-study context. The creation of the new sector had a significant impact on REITs included in the new Real Estate sector. Prior to the event date, REITs experienced significant negative returns. But after the event date, REITs also experienced significant positive returns which dissipated over time. The returns prior to (after) the event date would have resulted in a retail investor incurring losses (gains). While the magnitude of the trading volume increased noticeably prior to the event date, overall trading volume was not discernibly impacted.
Ghadhab, I. (2018). "Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks." Journal of Multinational Financial Management 46: 1-10.
The aim of this study is to investigate intraday liquidity patterns around the occurrence of an arbitrage opportunity in markets for cross-listed stocks. By implementing an event study on high frequency intraday data, we find that liquidity is higher when an arbitrage opportunity event occurs. The Granger causality test show unidirectional and even bidirectional causation between price movement and liquidity measures, indicating that price discrepancy may be a result of a particular state of liquidity. We also find that informed trading is higher when arbitrage opportunity occurs, and even increases when the number of events increases during the day.
HorvÁTh, B. L. and H. Huizinga (2015). "Does the European Financial Stability Facility Bail Out Sovereigns or Banks? An Event Study." Journal of Money, Credit and Banking 47(1): 177-206.
On May 9, 2010 euro zone countries announced the creation of the European Financial Stability Facility. This paper investigates the impact of this announcement on bank share prices, bank credit default swap (CDS) spreads, and sovereign CDS spreads. The main private beneficiaries were bank creditors. Furthermore, countries with banking systems heavily exposed to southern Europe and Ireland benefited, as evidenced by lower sovereign CDS spreads. The combined gains of bank debt holders and shareholders exceed the increase in the value of their banks? sovereign debt exposures, suggesting that banks saw their contingent claim on the financial safety net increase in value.
Jiang, D., et al. (2014). "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach." Journal of Empirical Finance 28: 36-59.
Using three natural experiments, we test the hypothesis that investor overconfidence produces overpricing of high idiosyncratic volatility stocks in the presence of binding short-sale constraints. We study three events: IPO lockup expirations, option introductions, and the 2008 short-sale ban on financial firms. Consistent with our prediction, we show that when short-sale constraints are relaxed, event stocks with high idiosyncratic volatility tend to experience greater price reductions, as well as larger increases in trading volume and short interest, than those with low idiosyncratic volatility. These results hold when we benchmark event stocks with non-event stocks with comparable idiosyncratic volatility. Overall, our findings suggest that biased investor beliefs and binding short-sale constraints contribute to idiosyncratic volatility overpricing.
Keele, D. M. and S. DeHart (2011). "Partners of USEPA Climate Leaders: an Event Study on Stock Performance." Business Strategy and the Environment 20(8): 485-497.
ABSTRACT This research utilized an event study method to assess how the stocks of publicly traded companies responded before and after announcing their partnership with the United States Environmental Protection Agency (USEPA) Climate Leaders program. Although the stocks exhibited an average non-significant positive abnormal return of 0.56% on the day of the announcement, the cumulative abnormal returns for the stock prices of the firms for two of the three event windows showed statistically significant negative returns. These results suggest that these firms' public announcements of joining the USEPA Climate Leaders partnership did not have a positive impact on stock performance. While no immediate financial benefit was found in this research, the practices implemented by these firms to reduce their greenhouse gas emissions may still bode well for long-term corporate earnings and attractiveness to investors. Copyright ? 2011 John Wiley & Sons, Ltd and ERP Environment.
Keller, A. (2010). "Competition effects of mergers: An event study of the German electricity market." Energy Policy 38(9): 5264-5271.
This paper investigates the competition effects of the entry of Vattenfall into the German electricity market. While the competition authorities supported the entry by approving Vattenfall’s acquisition of three regional utilities, other market participants raised concerns over the emergence of an upcoming oligopoly in the German market for power generation. We contrast the efficiency hypothesis postulating pro-competitive effects of mergers with the market power hypothesis postulating anti-competitive effects. For the analysis of the two opposing hypotheses, we use an event study approach to the stock prices of Vattenfall’s competitors in the German market. While we find no empirical evidence for increased market power in the German electricity market due to Vattenfall’s mergers, there is some indication for efficiency increases. We therefore cannot oppose the view of the competition authorities predicting an overall positive effect for consumers as a result of Vattenfall’s entry into the German electricity market.
Kim, J., et al. (2020). "Effects of epidemic disease outbreaks on financial performance of restaurants: Event study method approach." Journal of Hospitality and Tourism Management 43: 32-41.
The present study aims to investigate the influence of macroscopic and infectious epidemic disease outbreaks on financial performance of the restaurant industry. Nine events on four epidemic disease outbreaks during 2004–2016 were analyzed. Event study method and Mann-Whitney U test were used to estimate the effect of three firm characteristics (brand reliability, advertising effects, and service types) on firms’ value. This study confirmed the negative influence of epidemic disease outbreaks on the restaurant industry, and identified all the three firm characteristics serve as risk mitigating factors. This research contributes to the research body on the effects of epidemic disease outbreaks on the restaurant industry and assists practitioners in designing effective strategies to stabilize financial performance during unpredictable events.
Kočenda, E. and M. Moravcová (2018). "Intraday effect of news on emerging European forex markets: An event study analysis." Economic Systems 42(4): 597-615.
We analyze the impact of euro zone/German and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intraday data from 2011–2015. Our comprehensive analysis of the wide variety of macroeconomic information during the post-GFC period shows that: (i) macroeconomic announcements affect the value of the new EU country exchange rates, (ii) the origin of the announcement matters, (iii) the type of announcement matters, (iv) different types of news (good, bad or neutral) result in different reactions, (v) markets react not only after the news release but also before, (vi) when the U.S. dollar is the base currency the impact of the news is larger than in the case of the euro, (vii) announcements on ECB monetary policy result in stronger effects than those of the Fed, (viii) temporary inefficiencies are present in new EU country forex markets, (ix) new EU country exchange rates react differently to positive US news during the EU debt crisis compared to the rest of the period.
Kothari, S. P. and J. B. Warner (2007). Chapter 1 - Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. Handbook of Empirical Corporate Finance. B. E. Eckbo. San Diego, Elsevier: 3-36.
The number of published event studies exceeds 500, and the literature continues to grow. We provide an overview of event study methods. Short-horizon methods are quite reliable. While long-horizon methods have improved, serious limitations remain. A challenge is to continue to refine long-horizon methods. We present new evidence illustrating that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility. This reinforces the importance of using stratified samples to examine event study statistical properties.
Lehmann, E. E. and M. T. Schwerdtfeger (2016). "Evaluation of IPO-firm takeovers: an event study." Small Business Economics 47(4): 921-938.
The acquisition of innovative and entrepreneurial firms has become an important issue in gaining competition advantages. While there exists a fruitful and promising literature analyzing M&A activities in general, there is only limited evidence available on the acquisitions of high-tech start-ups and entrepreneurial firms by larger incumbents. This study addresses this issue and focuses on acquisitions targeted at public IPO firms. Our main interest is whether and how the stock market evaluates the specific human capital of the CEO and founder of the entrepreneurial target firm. While in general target firms assets are positively evaluated by market participants, this should not necessarily hold for assets owned by the founder of the target firm. The findings clearly show that stock market participants positively evaluate target firms intangible assets, as measured by patents. But that also the opposite holds if the assets are under control of the founder CEO. Our results thus strongly support conclusions derived from property rights or incomplete contract theory on joined ownership of assets and performance. We conclude that the acquirer’s post-acquisition performance strongly depends on the continued access to the targets’ specific intangible assets, which is not necessarily the case for the founder’s specific human capital.
Lertwachara, K. and J. J. Cochran (2007). "An Event Study of the Economic Impact of Professional Sport Franchises on Local U.S. Economies." Journal of Sports Economics 8(3): 244-254.
It is common for a city to use expensive incentives such as a state-of-the-art stadium or tax exemptions to induce a major professional sport team to relocate to or remain in its area. A city does so because it expects a professional sport team to enhance the local economy. In this article, the authors use an event study approach to evaluate the advisability of this strategy. Their results suggest that major league sports franchises from the four major U.S. team sports (baseball, football, basketball, and hockey) have an adverse impact on local per capita income for U.S. markets in both the short and long run.
Liu, F., et al. (2018). "Political Connections and Firm Value in China: An Event Study." Journal of Business Ethics 152(2): 551-571.
On 19 October 2013, the Chinese government issued the Opinions on Further Regulation on Party and Political Leaders and Cadres Working Part-Time (Holding Office) in Enterprises, also known as the 18th Decree, to regulate government officials’ employment with businesses. The 18th Decree is widely perceived as having had a significant impact on the use of independent directors with political backgrounds by firms, given the prevalence of this business practice. This paper examines the market reaction to the 18th Decree to ascertain the value effect of political connections in China. We note a negative relationship between the political connections of independent directors and market reaction. We also note that the negative relationship between political connections and market reaction is moderated by ownership type and state of regional development. Specifically, we find that the negative relationship holds only for private firms in less developed regions. These results support our prediction that political connections add value to Chinese firms and that the value effect of political connection is contingent on institutional factors.
Loipersberger, F. (2018). "The effect of supranational banking supervision on the financial sector: Event study evidence from Europe." Journal of Banking & Finance 91: 34-48.
This paper investigates how the introduction of the Single Supervisory Mechanism, the European Union’s implementation of harmonized banking supervision, has affected the banking sector in Europe. I perform an event study on banks’ stock returns and find evidence for small but significant positive effects. A potential hypothesis for this result is the fact that a single supervisory authority can take spillover effects between countries into account and is therefore able to stabilize the European banking sector. Splitting the sample by an indicator for supervisory power, an indicator for corruption, and by debt/GDP reveals that the positive impact of the SSM was stronger for banks in countries that perform poorly with respect to these measures.
Maitra, D. and K. Dey (2012). "Dividend Announcement and Market Response in Indian Stock Market: An Event-Study Analysis." Global Business Review 13(2): 269-283.
Event study has remained one of the highly pursued areas of research in corporate finance. Studies reported in this realm empirically show that the economic model or the capital asset pricing model (CAPM) yields relatively better results with respect to the abnormal return of stocks preceded by dividend announcement by the dividend payers as compared to the statistical model, namely, constant return or market model approaches. Both models are incorporated in the study to triangulate the outcomes more accurately. A few hypotheses posited in this paper are namely, there will be significant differences in share prices of sampled companies mediated (moderated) by dividend announcement, and there will be significant differences between positive and negative average abnormal returns along with the ranks of firms.
Makino, R. (2016). "Stock market responses to chemical accidents in Japan: An event study." Journal of Loss Prevention in the Process Industries 44: 453-458.
Despite recent major chemical process accidents in Japan, the top management teams of firms still avoid taking costly risk reduction measures because of their low perceived impact on firm performance. The disclosure of information on accident risks might motivate managers to enhance workplace safety because of the subsequent evaluation of firms by investors in stock markets. If the disclosed risk information is newly available for investors, firms with a high risk of accidents would receive a poor evaluation by stock markets and thus managers would take risk reduction measures to prevent stock prices from declining. In this study, we conduct an event study analysis to examine whether accident risk information is already reflected in stock prices, using data on the Japanese chemical industry. The results of our event study show that the estimated cumulative average abnormal returns of firms' stocks are significantly negative after severe accidents actually occurred. This finding implies that risk information is not already reflected in the stock prices of Japanese chemical firms and that the disclosure of accident risk information has the potential to motivate the top management teams of firms to reduce their firms’ accident risk.
Malhotra, A. and C. Kubowicz Malhotra (2010). "Evaluating Customer Information Breaches as Service Failures: An Event Study Approach." Journal of Service Research 14(1): 44-59.
Firms are collecting more information about their customers than ever before in an attempt to understand and better serve customer needs. At the same time, firms are becoming more vulnerable to the compromise of customer information through security breaches. This study attempts to associate breach reports with the decline in market value of firms using an event study. The results show that firms suffer significant market value depreciation over a short as well as a long time window. Further, the greatest devaluation occurs when larger amounts of customer information are compromised at large companies. Due to the greater potential of customer backlash, negative publicity and liability risk, managers must view customer information breaches as service failures rather than as information system failures. Employing established service failure recovery strategies may allow firms to quickly and proactively address customer privacy concerns and thereby mitigate negative market reaction to information breaches.
Marks, J. M. and J. Musumeci (2017). "Misspecification in event studies." Journal of Corporate Finance 45: 333-341.
We examine the statistical error and efficiency associated with two commonly used event-study techniques when applied to samples of various sizes. Previous research has established that the frequently used Patell (1976) test is not well specified when the event itself creates additional return variance. We find that even under ideal conditions when the event creates no additional variance, the Patell test rejects a true null hypothesis substantially more often than the stated significance level. In contrast, the alternate test of Boehmer et al. (1991) performs well in samples of all sizes and under all conditions we consider.
Milevsky, M. A. and K. Song (2010). "Do Markets Like Frozen Defined Benefit Pensions? An Event Study." Journal of Risk and Insurance 77(4): 893-909.
Abstract An increasing number of North American companies are freezing or terminating their traditional defined benefit (DB) pension plans. In this article we document a positive announcement effect when a publicly traded company discloses that it has partially or fully frozen its DB plan and replaced it with?or enhanced?the 401(k) defined contribution (DC) plan. This positive risk-adjusted return is greater for firms with higher beta and/or lower return on equity (ROE) prior to the freeze. In other words the positive impact is more pronounced for firms that are likely to face financial distress if they maintain their traditional pension plan and the associated long-term promises.
Mosquera-López, S., et al. (2018). "Effect of stopping hydroelectric power generation on the dynamics of electricity prices: An event study approach." Renewable and Sustainable Energy Reviews 94: 456-467.
Supply shocks in electricity markets that disrupt energy production cause unexpected spikes in prices, which in turn have economic consequences, such as higher risk and therefore higher costs and losses for producers and consumers of electricity. One relevant shock in this sector is the halting of hydroelectric power generation due to the freezing of water reservoirs after the temperature drops below zero degrees Celsius, and therefore less efficient technologies such as thermal plants must begin to produce electricity. Using an event study approach, this shock in the Nord Pool market is explicitly identified, and the economic importance of expanding the interconnected market and the inclusion of more renewable sources in the generation mix of the system to smooth out price spikes is quantified. When a freezing event occurs, it is found that the average electricity prices increase (between €1 and €6), and that the negative relationship between temperature and prices also increases (for each degree that the temperature decreases, prices increase between €1 and €3). However, as expected, these changes are more pronounced in countries that are most dependent on hydropower generation. By identifying this supply shock, relevant insights are presented for market players, such as policy makers, investors, and consumers and producers, whose decisions are influenced by the effect of temperature, particularly when it causes the stopping of hydroelectric plants.
Oberndorfer, U., et al. (2013). "Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms." Journal of Environmental Economics and Management 66(3): 497-509.
This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive robust estimation results, we apply an (short-term) event study approach that is based on both a modern asset pricing model, namely the three-factor model according to Fama and French [24], and additionally a t-GARCH(1,1) model. Our empirical results suggest that stock markets may penalize the inclusion of a firm in sustainability stock indexes. This finding is mainly driven by a strongly negative effect of the inclusion in the DJSI World. In contrast, we do not find significant average cumulative abnormal returns for the inclusion in the DJSI STOXX. This suggests that the inclusion in a more visible sustainability stock index may have larger negative impacts.
Park, J. S. and M. K. Newaz (2018). "Do terrorist attacks harm financial markets? A meta-analysis of event studies and the determinants of adverse impact." Global Finance Journal 37: 227-247.
This study reassesses the common belief that terrorist attacks destabilize financial markets, by analyzing event studies covering 10,576 individual attacks and 141,665 nonattack days across 72 stock and foreign exchange markets in 36 countries from 1996 to 2015. The meta-analysis reveals that terrorist attacks have almost no impact on stock markets and only marginal effect on foreign exchange markets, though effects vary with individual attacks and markets. The number of fatalities slightly raises the likelihood of adverse impact, while the number of wounded and the magnitude of recent attacks slightly decrease it. The markets are hit less hard when attack-day returns are positive, but variance is more likely to increase in the short term. Also, the impact of an attack is stronger when the market is performing extremely well or poorly.
Perez-Truglia, R. (2017). "Political Conformity: Event-Study Evidence from the United States." The Review of Economics and Statistics 100(1): 14-28.
We propose that individuals are more politically active in more like-minded social environments. To test this hypothesis, we combine administrative data from the Federal Election Commission and the U.S. Postal Service. We identify 45,000 individuals who contributed to Barack Obama?s 2008 presidential campaign and changed residences either before or after the 2012 election cycle.We examine whether living in an area with a higher share of Democrats causes higher contributions to Obama. We find that conformity effects are economically significant. Additionally, we conduct counterfactual analysis that shows that these effects are important for understanding geographic polarization.
Rosa, C. (2011). "The Validity of the Event-study Approach: Evidence from the Impact of the Fed's Monetary Policy on US and Foreign Asset Prices." Economica 78(311): 429-439.
This paper documents the effects of changes in US monetary policy on asset prices in 51 countries to evaluate the validity of the event-study approach. We find that the event-study estimates contain a significant bias. However, this bias is fairly small and the ordinary least squares approach tends to outperform in an expected squared error sense the heteroscedasticity-based estimator for both small and large sample sizes. Hence in general the event-study methodology should be preferred. Moreover, we show that US monetary policy has been an important determinant of global financial markets.
Sabet, A. H. and R. Heaney (2016). "An event study analysis of oil and gas firm acreage and reserve acquisitions." Energy Economics 57: 215-227.
We examine the impact of the announcement of acquisition of oil and gas acreage and reserves on the share price of US listed oil and gas firms. While there is evidence of information asymmetry related differences in the share market reaction on announcement of acquisition of acreage or reserves, we also identify greater sensitivity to crude oil price volatility for acreage acquisitions, consistent with the creation of valuable real options on acquisition of acreage. This is not evident to the same extent with acquisition of reserves. For example, acreage investment announcements reveal a statistically significant 1.22% premium (3-day CAR) in periods of high crude oil volatility compared with periods of low volatility. The premium on reserve acquisitions across these periods is a statistically insignificant 0.12%. This is supported in a multiple regression setting, with share price sensitivity to crude oil price volatility being higher for acreage acquisitions than for reserve acquisitions. Our sample consists of 1391 separate acreage or reserve acquisition announcements made by oil and gas firms listed on the U.S. equity market over the period from 1992 to 2011.
Scholtens, B. and W. Peenstra (2009). "Scoring on the stock exchange? The effect of football matches on stock market returns: an event study." Applied Economics 41(25): 3231-3237.
Shimpalee, P. L. and J. B. Breuer (2007). "An event study of institutions and currency crises." Review of Financial Economics 16(3): 274-290.
We use event study methodology to examine the behavior of seven institutional variables eighteen months prior to and after a currency crisis. Our data on institutions include bureaucratic quality, corruption, ethnic tensions, external conflict, internal conflict, government stability, and law and order over the period 1984–2002. Our country coverage includes forty industrial, emerging market, and developing economies for various regions of the world. The graphical event study shows that there are many instances where institutions are weaker in periods before and after a currency crisis than during tranquil periods. The evidence is most compelling for government stability, law and order, bureaucratic quality, and corruption. We also test for differences in the mean values of institutional variables in turbulent periods around a crisis event and tranquil, non-crisis periods. Results from our tests generally complement evidence from the event study.
Skiera, B., et al. (2017). "What should be the dependent variable in marketing-related event studies?" International Journal of Research in Marketing 34(3): 641-659.
Most event studies rely on cumulative abnormal returns, measured as percentage changes in stock prices, as their dependent variable. Stock price reflects the value of the operating business plus non-operating assets minus debt. Yet, many events, in particular in marketing, only influence the value of the operating business, but not non-operating assets and debt. For these cases, the authors argue that the cumulative abnormal return on the operating business, defined as the ratio between the cumulative abnormal return on stock price and the firm-specific leverage effect, is a more appropriate dependent variable. Ignoring the differences in firm-specific leverage effects inflates the impact of observations pertaining to firms with large debt and deflates those pertaining to firms with large non-operating assets. Observations of firms with high debt receive several times the weight attributed to firms with low debt. A simulation study and the reanalysis of three previously published marketing event studies shows that ignoring the firm-specific leverage effects influences an event study's results in unpredictable ways.
Sorescu, A., et al. (2017). "Event study methodology in the marketing literature: an overview." Journal of the Academy of Marketing Science 45(2): 186-207.
Event studies examine stock price movements around corporate events. These events can be voluntary firm announcements (e.g., new product introduction, alliance formation, channel restructuring) or announcements made by other entities such as regulatory bodies (e.g., FDA approval) or competitors (e.g., new market entry). The event study methodology was developed by finance researchers but has been widely adopted in other fields, including marketing. We review the manner in which event studies have been used in the marketing literature and summarize the current state of knowledge about the design and interpretation of event studies. We provide guidelines for researchers who use this methodology and for readers who draw inferences from results obtained from event studies, and we highlight a few areas where the methodology can be leveraged to help us better understand the financial value of marketing actions.
Thornton, D. L. (2017). "Effectiveness of QE: An assessment of event-study evidence." Journal of Macroeconomics 52: 56-74.
Event-studies are widely used to investigate the effectiveness of quantitative easing (QE) and the announcement effects found in this literature are widely cited as evidence that QE significantly reduced long-term yields. However, these announcement effects can be considered evidence of the effectiveness of QE in reducing long-term yields only if the announcement effects are due solely to QE news and are statistically significantly. This paper contributes to the literature by investigating whether announcement effects reported in the QE event-study literature meet this evidentiary standard.
Tsiotsou *, R. and D. Lalountas (2005). "Applying event study analysis to assess the impact of marketing communication strategies: the case of sponsorship." Applied Financial Economics Letters 1(4): 259-262.
Urbschat, F. and S. Watzka (2019). "Quantitative easing in the Euro Area – An event study approach." The Quarterly Review of Economics and Finance.
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by quantifying the cumulative decrease of spreads and by running event regressions for several Euro Area countries. Focusing on the signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public Sector Purchase Programme (PSPP) but declined afterwards for additional announcements. Possible explanations for this are the declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield reductions were larger for periphery countries’ than for core countries’ bonds, our evidence suggests that this stronger reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit risk reduction we find rather mild effects from portfolio rebalancing for all countries.
Xiao, X. and Y. Gao (2017). "An event study of the effects of regulatory changes on the food industry: The case of the Food Safety Law of China." China Agricultural Economic Review 9(1): 81-92.
Purpose The purpose of this paper is to examine the effects of China’s Food Safety Law on its food industry.Design/methodology/approach First, an event study is employed to investigate the impact of regulatory changes on the food industry. Then the authors examine the association between the magnitude of cumulative abnormal returns (CARs) and firm characteristics in a cross-sectional regression framework.Findings The results suggest that the announcements of some important events during the legislative process do affect the investors’ expectations. Further analysis shows that some sub-industries, especially the dairy industry, underperform the others around the enforcement date of the Food Safety Law, indicating that investors expect more costs of compliance for the sub-industries with lower levels of food safety. Moreover, CARs are found to be positively correlated with firm size, implying that larger firms may benefit more from this food legislative reform than small ones.Practical implications Measuring the impact of regulatory changes on food producers and investors by stock market response could help regulators assess the effectiveness of regulation and amend the law accordingly.Originality/value Previous studies seldom empirically examine the effect of Food Safety Laws on China’s food industry and this study attempts to fill this gap, which contributes to extending the understanding of the impact of legislative reform or regulatory changes on related industries.
Yaha, A., et al. (2017). "How Do Extreme Global Shocks Affect Foreign Portfolio Investment? An Event Study for India." Emerging Markets Finance and Trade 53(8): 1923-1938.
Yu, T. H.-K. and K.-H. Huarng (2019). "A new event study method to forecast stock returns: The case of Facebook." Journal of Business Research.
This study proposes a new event study method to forecast abnormal returns for individual companies in order to overcome the limitations of current related approaches. We consider two criteria to determine whether there are abnormal returns: individual stock performance and relative performance between an individual stock and the market. We first use in-sample data of Facebook’s stock prices between 2017/1/1 and 2018/6/30 to build rules and then employ those rules to forecast its out-of-sample data between 2018/7/1 and 2018/12/31. The empirical analysis shows that our new method accurately forecasts 4 out of 5 negative CNN news items for Facebook. The proposed new method contributes to the literature on case study methods by utilizing a new way to define abnormal returns and to forecast events successfully.
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