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The event study methodology, which is gaining recognition in the business and marketing disciplines, is a technique used to capture the impact of significant events and announcements at the firm level and country level. Originating from the finance and economics disciplines, and being widely used in the finance literature, the method has recently attracted the attention of business and marketing researchers, particularly in the aftermath of Covid-19, which has adversely affected all kinds of businesses across the world. The event study methodology can be implemented to measure the impact of a major corporate announcement (e.g. new product development) or a significant event on corporate financial performance, profitability, and market valuation over a specific event window, such as a few days (a short window) or a few years (a long window). In this article, we provide a detailed explanation of the step-by-step procedure for implementing the event study methodology in STATA, using Covid-19-related death announcements from the United States, France, Spain, Italy, China, and the United Kingdom. We also provide STATA commands that can be used by researchers when implementing the event study methodology.

The COVID-19 pandemic that began in the last quarter of 2019 seriously impacted the transportation industry. Countries around the world adopted various restrictions and policies to prevent the spread of the pandemic, which resulted in a sharp drop in the demand for transportation. China was the first country to detect the pandemic and the fastest to recover. Existing policies and impacts were reviewed to analyze the impact of the pandemic on China's urban transportation sector and propose measures that may be taken to reduce the impact of COVID-19. This study reviews the impact on urban transportation system operations and how government should respond to a viral pandemic. The recovery measures during and after the pandemic and their hierarchical response system are analyzed. Furthermore, to empirically explore the effect of the recovery measures, this study adopted the Event Study Methodology (ESM) to quantitatively analyze the impact of the epidemic as well as anti-pandemic policies on the traffic flow sequence in the resurgence of COVID-19 in Beijing. The research findings provided solid policy implications and experiences for constructing sustainable urban transportation system and improve flexibility, reliability, and resilience of traffic governance in post-pandemic era.

Labour strikes are a platform that enables workers to demonstrate their disagreement and/or their dissatisfaction towards their employer, concerning labour relation issues such as remuneration, working conditions and employee benefits. Labour strikes in South Africa date back to 1922, post the Anglo-Boer war of 1899-1902, within the mining sector and have since become the fabric of our society in correcting historic socio-economic ails of unemployment, minimum wages and inequality. The occurrence of global financial crises of 2008/2009 exposed South Africa's well-hidden vulnerabilities of poverty, unemployment and inequality and resulted in a significant rise in the number of labour strikes. Therefore, the article analyses the effect that labour strikes between 2010-2017 have on the share return of companies that were list on the Johannesburg securities exchange (JSE) index during this timeframe. The results indicate that resolve of protected and unprotected labour strikes affects the share return of JSE Top 40 companies. From an investment perspective, it can be concluded that labour strikes can have severe effects on the share returns of companies listed on a stock exchange. Thus, influencing investor confidence in those companies experiencing the labour strike. Objectives The main objective of this article is to determine the effects of protected and unprotected labour strikes, collectively, on the share return of JSE Top 40 companies. The resolve of labour strikes results in the disruption of the day-to-day operations of a firm, loss in market share and subsequently profitability of a firm. The article aims to bridge the gap in academic knowledge on the effects of labour strikes have on the share return of companies list on the JSE Top 40 index. Prior Work Researchers have in the past decade examined the effects of labour strikes at length, focusing on the effects of labour strikes on the shareholder value, equity returns, economic performance, and investor confidence of affected companies. Various methods of testing including regression analysis, event study methodology and accounting-based ratio analysis were employed. Approach To obtain the research objective, the article made use of a literature review and an empirical study. Secondary data from INET BFA IRESS, the annual industrial action report, newspaper articles and news feeds were used to achieve the articles’ empirical analysis. An event study methodology was employed to analyse the secondary data over an event window of 61 days. Thirty days before and after the day of the announcement of the strike, the day of the strike considered day zero. To achieve the articles’ objectives a trend analysis, z-statistical significance test, a periodic analysis of cumulative average abnormal return (CAAR) and summary significance test on the effects of protected and unprotected labour strikes on the share return of JSE Top 40 companies was conducted. Results The trend analysis revealed that the share returns of affected JSE Top 40 companies deteriorate at the start of the wage negotiations, continuing past the day of the announcement and the commencement of the strike. The share returns of affected companies rebound at day 5, taking on a growth trajectory throughout the remainder of the event window. At a 95 per cent confidence interval and 1.96 critical value, the article rejects the null hypothesis with a z-statistic of - 2.46, making the statement true for the alternative hypothesis. This affirmed that the resolve of protected and unprotected labour strikes affects the share return of JSE Top 40 companies. Implications The article's findings provided knowledge on the effects that protected and unprotected labour strikes have on the share return of JSE Top 40 companies. Due to the unavailability of settlement dates of labour strikes. The article was unable to analyse the effects of short and long term strikes on the share return of affected companies. This further prevents the research from observing at what point do the share returns of affected companies return to equilibrium. The limitation in the lack of data creates the opportunity for further possible research in areas of interest. Value The key contribution of the article is to bridge the gap in financial markets’ understanding of the effects of protected and unprotected labour strikes, collectively, on the share return of JSE Top 40 companies. The article's findings intend to assist investors and portfolio managers to optimise their share returns during periods of labour strikes. The article further raises consciousness of the impact of wage negotiations on companies and implore bargaining agents to employ an integrative approach when engaging in wage negotiations.

Sürdürülebilirlik hiç olmadığı kadar önem kazanmıştır. Firmalar da bu kapsamda çeşitli kurumsal sosyal sorumluluk (KSS) faaliyetleri gerçekleştirmektedir. Bu faaliyetlerin paydaşlar üzerindeki etkileri ise hem yazında hem uygulamada ilgi uyandırmaktadır. Buna karşın KSS haberleri ile ilgili çok kısıtlı sayıda çalışma bulunması ve bunların hiçbirinin ürün ve üretim süreç haberlerini kapsamaması bu çalışmanın amacını belirlemiştir. Çalışmada Türkiye’nin en güçlü markalarından olan Arçelik’in sürdürülebilir ürün ve üretim haberlerinin tespit edilip bunların firma değeri üzerindeki etkilerinin araştırılması amaçlanmıştır. Bu kapsamda Dünya Gazetesinde tüm zamanları kapsayan bir haber taraması yapılmış ve ulaşılan 23 haberin etkisi olay çalışması yöntemi ile test edilmiştir. Elde edilen sonuçlara göre olumsuz haberin olumsuz bir tepkiye neden olduğu, olumlu haberlerin özellik bakımından ilk olması durumunda olumlu bir etki yaratabildiği, takip eden benzer olayların bir etkiye sebep olmadığı görülmüştür. Bununla birlikte sadece iki olumlu haber için olumsuz tepki gözlemlenmiştir. Bütün KSS haberleri öncesinde medyada yer alan diğer tüm haberler incelendiğinde sadece ilgili iki KSS haberi öncesinde kar düşüş haberlerine rastlanmış olup olumsuz etki bununla açıklanabilir., Sustainability is more important than ever. In this context, companies carry out various corporate social responsibility (CSR) activities. The effects of these activities on stakeholders arouse interest both in the literature and in practice. However, the limited number of studies on CSR news and the fact that none of them cover product and production process news determined the purpose of this study. The study aims to determine the sustainable product and production news of Arçelik, one of the strongest brands in Turkey, and to investigate their effects on its firm value. In this context, scanning all Arçelik news in the Dünya Newspaper without a time limit yielded a hand-collected sample of 23 news articles. The impacts of these news were tested via event study methodology. According to the results, negative news induces a negative reaction as expected. Positive news may have a positive effect when featuring the first-time event while does not cause an effect on subsequent similar events. Additionally, canvassing other corporate news around CSR news dates reveals two unfavorable earning announcements which also explains the negative response to two positive news.

PurposeToday, information systems and technology provides a wide set of tools for companies to increase the efficiency of their businesses. Although technology offers many benefits to businesses, it also brings risks as the information systems security breaches. Security breaches and their financial impact is a constant concern of the researchers and practitioners. This paper explores information systems breaches and their financial impacts on the publicly traded companies in different sectors.Design/methodology/approachAfter a comprehensive data collection process, data from 192 events are analyzed by employing Event Study Methodology and a comparison of the results between the four highly affected sectors (Consumer Goods, Technology, Financial and Communications) is presented. The abnormal returns on the prices of stocks after the events are calculated with the Market Model. Also, the results of the Market Adjusted Model and Mean Adjusted Model are presented to support the results.FindingsWhile information systems security breaches have a significant negative impact on the Financials and the Technology sectors for all the event windows in the study ([−5, 0], [−5, 1], [−5, 5], and [−5, 10]), the significant negative impact is observed only on the [−5, 5] and [−5, 10] event windows for the Consumer Goods sector. No significant negative impact is observed in the Communications sector, in fact, the cumulative abnormal returns are positive for this sector.Originality/valueThe contribution of this paper to provide evidence about the financial impacts of the information systems breaches for businesses in different sectors. While there are studies that have previously focused on the information systems breaches and their financial impacts on businesses, to the best of our knowledge, this is the first study that compares this effect between the four highly impacted sectors. With a relatively larger sample size and broader event windows than the past studies in the literature, statistical evidence is provided to managers to justify their investments in information security and build preventive measures to secure the market value of their firms.

Firms may invest in cloud computing for exploitative or explorative innovation. Exploitative innovation oriented cloud computing investments impact the firms' core business limitedly while the investments for explorative innovation bring the firms both more opportunities and risks such as complex integration with multiple participants. Different enterprises should invest in cloud computing for different orientations according to their situations so as to fully realize the business value. This study examines how the business value of cloud computing is contingent on the investment orientations and the contextual factors of firm characteristics. Taking 183 Chinese listed companies adopted cloud computing as the research sample, we conduct event study methodology to investigate the business value of cloud computing regarding the focal firms' objectives and characteristics including organizational inertia, innovation capability and industry types. The results show that the business value of cloud investment for explorative innovation is more positive than that for exploitative innovation especially for the innovative firms with weak organizational inertia in non-service industries. Meanwhile, achievement of cloud computing business value is complementary to overcoming organizational inertia and promoting innovation capability. This study extends the boundary of business value research of cloud computing and provides references for cloud investment decision making.

Although there is a plethora of studies which examine the impact of the COVID-19 pandemic on India's financial sector, we contribute by investigating the effect of the ongoing COVID-19 pandemic on stock returns of Indian pharmaceutical companies. By employing an event study methodology, our results indicate that the average returns of the pharmaceutical sector are positive during the COVID-19 phase although mixed evidence is found at the firm level. This finding is also robust to alternative model specifications. © 2021 Bank Indonesia Institute. All rights reserved.

The present article applies event study methodology in an attempt to investigate the impact of the announcement of 3-month moratorium by Reserve Bank of India on Indian public sector bank equity returns. For the present study, the estimation period is considered to be 120 trading days while the event window is considered to be 21 trading days. To compute the expected returns, the study uses a single-index model or the market model proposed by Fama [Fama, E., 1976. Foundations of finance. Basic Books]. The findings of the study suggest that the market responded to the news relating to the liquidity infusion by the Reserve Bank of India, falling global indices, development of potential coronavirus vaccine, and the announcement of 3 weeks period lockdown. The study further concluded that the market anticipated that the government may announce loan moratorium since industry bodies like The Associated Chambers of Commerce and Industry of India and The Federation of Indian Chambers of Commerce and Industry have recommended loan moratorium in order to safeguard the business enterprises especially the micro-, small- and medium-enterprise sector. Thus, the adjustment in the bank stock prices occurred before the announcement of the 3-month loan moratorium and as a consequence the average annual return on day ED-0 is found to be insignificant.

This study uses stock market data to examine whether China’s Environmental Protection Tax Law (EPT Law) effectively influences firms’ environmental behavior. Using the event study methodology, we f...

We study the stock market reactions of the 500 largest U.S. firms that were included in 2017 Newsweek Green Ranking. The event study methodology is used to measure the 500 firms' stock market performances around the Newsweek “green score” release date. We find that in general stock market reacts negatively to sustainable development news release, while further investigation suggests that the negative abnormal returns seem to be driven mainly by the firms with green scores of zero. Our results suggest that the stock market is punishing the firms that devote little or no effort to their environmental policy to become socially responsible citizens.

Purpose: This study investigated the decline in the NSE N20, Kenya share index by examining the effects of Earnings announcements on the security trade volumes of companies listed on the NSE, Kenya, from 2013 to 2017. The study formulated a hypothesis that Earnings announcements did not significantly affect the security trade volumes of companies listed on the NSE, Kenya, applied Signaling theory, efficient market hypothesis, and Market expectation theory.Methodology: The study used the event study methodology, a mixed research design, and the ANOVA technique from 25 listed companies, collected secondary data using schedules and primary data using questionnaires.Findings: The study found the effect of Earnings announcements on the trade volumes to be insignificant. Hence, it concluded that earnings announcements did not affect the security trade volumes of companies listed on NSE, Kenya.Unique Contribution to Practice and Policy: The finding of this study will provide the market players with a better understanding of how Earnings announcements affect the security trade volumes; provide the policymakers with a basis of designing policies, regulating and controlling financial markets, complement existing studies in this area and strengthen the foundation for further research.

PurposeThe purpose of this paper is to determine the role of eco-innovation type and its degree of novelty in increasing the stock returns of technology-based knowledge-intensive business service companies (T-KIBS), to advance the development of the concept of eco-innovation within the literature on the effects of innovation.Design/methodology/approachThe effects of four eco-innovation types were examined across three degrees of novelty involved. The event study methodology was applied to the sample of 238 eco-innovation announcements released during the period of January 2016–June 2019 (inclusive) by European T-KIBS.FindingsWhile the implementation of product and organisational eco-innovation was the most beneficial, the results indicated that a high degree of novelty resulted in larger increase of stock returns in the case of all the four eco-innovation types.Research limitations/implicationsThe eco-innovation announcements were gathered from specialised databases. However, it could be the case that companies may have used different communication channels (e.g. social media) to communicate innovation. Furthermore, a certain amount of bias undoubtedly exists, as the data came only from the European Union. Expanding the spatial scope to include the North American (especially the USA) and Asian economies appears necessary.Practical implicationsThe practical insights into the role that the degree of novelty plays in eco-innovation announcements were formulated, which may be used to increase the market valuation of the firm.Social implicationsStrategies supporting eco-innovation are crucial for business development as the value created for the stakeholders involved transmits in time into the enterprise value.Originality/valueThe paper attempts to fill the research gap concerning the impact of eco-innovation on the stock returns of T-KIBS.

Based on an extensive international dataset containing Thomson Reuters environmental, social and corporate governance (ESG) rating, as well as Thomson Reuters newest controversies and combined score of an average of 2500 companies in the years 2002–2018, this article contributes to the existing discourse of the relationship between corporate social performance and corporate financial performance (CFP) by examining the Fama and French (J Financ Econ 116(1):1–22, 2015) five-factor risk-adjusted performance of positive screened best and worst portfolios, based on a 10$$\%$$%cutoff, respectively, for equally, value- and rank-weighted strategies in the European, US and global market. Furthermore, the controversies score allows us to examine the mid-to-long-term effects of scandals on the CFP without having to rely on the event study methodology. Even though a value-weighted strategy does not show any significant abnormal returns, we examined a significant outperformance for equally weighted worst ESG portfolios and best controversies strategies. These results strongly indicate that this is, on the one hand, driven by low-rated smaller companies (“small sinners”) and clean-coated firms with regard to controversies (“silent saints”) on the other hand. The findings hold for several robustness checks such as adjusting the cutoff rates or splitting the dataset across time.

The underlying transparency of the Bitcoin blockchain allows transactions in the network to be tracked in near real-time. When someone transfers a large number of Bitcoins, the market receives this information and traders can adjust their expectations based on the new information. This paper investigates trading volume and its relation to asymmetric information around transfers on the Bitcoin blockchain. We collect data on 2132 large transactions on the Bitcoin blockchain between September 2018 and November 2019, where 500 or more Bitcoins were transferred. Using event study methodology, we identify significant positive abnormal trading volume for the 15-minute window before a large Bitcoin transaction as well as during and after the event. Using public information about Bitcoin addresses of cryptocurrency exchanges as proxies for information asymmetry, we find that transactions with high levels of information asymmetry negatively affect abnormal trading volume once the event becomes public knowledge, while some effects are even opposite for transactions with lower information asymmetry. The results show that blockchain transaction activity is a relevant aspect of Bitcoinns microstructure, as informed traders make use of the information in general and adjust their expectations based on the degree of information asymmetry.

The research investigated the reaction to Jakarta Islamic Index (JII) stocks around the Indonesia Presidential and Legislative Election in 2019. It was the first time that the election of the president and legislative assembly was held on the same day in Indonesia. The sample used was 30 stocks of JII. The event study methodology was conducted on this issue. The results show a significant positive abnormal return on the tenth day before the event and the seventh day after the event. From the liquidity, it is found that this event has a strong effect on Trading Volume Activity (TVA) of JII stocks surrounding the event. Additionally, another liquidity proxy, namely bid-ask spread, has the same result by experiencing a significant positive difference before and after the event. These results indicate that the information on the event is sufficient to influence the price, TVA, and size of the bid-ask spread of JII stock.

PurposeThe purpose of this research is to study the impact of divestitures on shareholder wealth. This study covers selloffs of publicly traded companies in Germany, Austria and Switzerland (DACH region) during the period 2002–2018. It aims to understand the overall effect of selloffs on shareholder wealth as well as the impact of important influencing factors.Design/methodology/approachThis study is part of capital market studies which investigate shareholder wealth effects (abnormal returns) using event study methodology. To determine the significance of abnormal returns, a standardized cross-sectional test as suggested by Boehmer et al. (1991) was applied. The sample consists of 393 selloffs of publicly traded companies with a deal value of at least EUR 10m.FindingsThe findings confirm the overall positive impact of selloffs on shareholder wealth. The average abnormal return on the announcement day of the sample companies amounts to 1.33%. The type of buyer, the relative size of the transaction as well as the financial situation of the seller in particular seem to influence abnormal returns positively.Originality/valueThis study investigates shareholder wealth creation through selloffs in the DACH region, a largely neglected region in divestiture research, but now very relevant due to increasing pressure of active foreign investors. Sophisticated statistical methods were used to generate robust findings, which are in line with the results of similar studies for the US and the UK.

The study aims to evaluate the initial public offering performance of Borsa Istanbul companies during the hot and cold periods. The size of the companies, industry concentration and investor optimism are considered in this respect. The study covers the 119 IPOs of various sizes from different industries between 2010 and 2017 just after the global financial crisis. The standard event study methodology is applied. This study has revealed the existence of post-crisis underpricing effects in Turkey. Moreover, the research shows that although low pricing is valid in hot periods, hot and cold markets do not differ significantly from each other in this context. Besides, this study finds that the low price effect exists for small firms, and this effect is more common in hot markets. On the other hand, although there is a relationship between consumer confidence index and low price, no relation with industry concentration was found.

This paper is an attempt to investigate the reaction of stock price of Indian banks with respect to announcements of frauds. The Event Study Methodology is used to examine the impact of frauds’ announcements to stock price of banks which experienced fraud. The fraud cases which exceed ₹1,000 crores are considered for the period from January 2014 to December 2018. The results indicate that the fraud announcements do affect the stock price of banks which experienced fraud. In majority of cases of frauds under consideration, the study found significant abnormal loss which further supported by the results of abnormal volume ratio. The highest abnormal loss is found in the stock price of Punjab National Bank (8.74 per cent) which involves the scam committed by the Nirav Modi. Due to increased frauds in the banking sector, the confidence of the investors adversely affects which may further lead to consequences on concerned banks. In this direction, the results of the study have importance for the policy makers and regulators for analysing the behaviour of stock price with respect to the announcements of frauds in the Indian banking sector.

We analyzed the effects of ownership structure, capital structure and growth opportunities on stock price reactions when companies issued debt or equity. Our results, based on event study methodology and IV regressions from a sample of 70 Chilean firms, indicate that controlling shareholder ownership has a negative effect on stock price reactions for debt issuances and a positive effect for equity issuance. These results indicate that debt issuances are a substitute for majority shareholder monitoring, and that equity issuances are associated with superior corporate performance. Equity issuances are a means for expropriating wealth from non-controlling shareholders. Debt and growth opportunities have a non-linear effect., En este artículo analizamos los efectos de la estructura de propiedad, estructura de capital y las oportunidades de crecimiento sobre la reacción del precio de las acciones cuando las empresas emiten deuda o capital. Nuestros resultados, basados en la metodología de análisis de eventos y regresiones IV sobre una muestra de 70 empresas chilenas, indican que la propiedad de los accionistas controladores tiene un efecto negativo en la reacción del precio de las acciones cuando las empresas emiten deuda y positivo cuando emiten acciones. Este resultado indica que las emisiones de deuda son un sustituto del control mayoritario de los accionistas y las emisiones de capital se asocian con un mayor desempeño corporativo. Las emisiones de capital son un medio para expropiar riqueza de los accionistas no controladores. Las oportunidades de deuda y crecimiento tienen un efecto no lineal.

Purpose This study aims to examine the effect of the Patient Protection and Affordable Care Act (PPACA) on for-profit hospitals in the USA. Design/methodology/approach The study uses the event study methodology to examine the stock market’s reaction to the passage of the PPACA. Findings The results of the analysis do not show a negative effect; on the contrary, the stock prices of for-profit hospitals increased, on average, by 6%. The cumulative abnormal returns were 5.64% with a generalized z-value of 3.851 with a significance level of 0.001 (two-tailed test). This translates into an average gain of $230,537,096 for the four days (dates) that a positive step was taken in making the Affordable Care Act (ACA) a law of the country. Practical implications Because the study suggests that for-profit hospitals will be profitable under the PPACA, one could expect to see growth or, at the minimum, expansion in for-profit hospitals under the Act. Furthermore, and consistent with the principles of marketing, one would expect all the for-profit hospitals, at this nascent stage of the ACA, to pull resources together to promote the benefits of having the ACA. Originality/value To the best of the author’s knowledge, this is the first study to examine the effect of the PPACA on the operations of for-profit hospitals.

In this study, we examine two different stock markets’ response to the COVID-19 pandemic using event study methodology and a novel linear regression model. We use LSE (UK) as a proxy for the developed countries stock market and DSE (Bangladesh) as a proxy for the developing countries stock market. Using the daily COVID-19 confirmed cases and deaths and stock market returns data from these two countries (UK and Bangladesh) over the period November 01, 2020 to August 07, 2020. Our main research question was, which stock market suffered more during the COVID-19 pandemic, whether developed countries stock market or developing countries stock market. We find that developed countries stock markets (LSE as proxy) responded negatively to the growth in COVID-19 confirmed cases and deaths in COVID-19. We further find that developing countries stock markets (DSE as proxy) did not responded to the growth in COVID-19 confirmed cases and deaths in COVID-19.

Every citizen responds to governments' protocols when imposed during a time of crisis. Yet occasionally they counter-react in a way that is not intended by the government, contributing to the cobra effect. The Government of Tamil Nadu, India implemented the double lockdown protocol in the pursuit of restraining the spread of covid -19. Nevertheless, the protocol leads to unanticipated consequences on the spread of novel coronavirus. The thrust of the study is to demonstrate the unprecedented consequences of double lockdown on the growth rate of covid-19 cases, instead of flattening the curve and subsequently reveal the cobra effect on the containment strategy of covid-19. For this purpose, the study adopted an event study methodology to test the effect of the announcement of double lockdown on the spike rate of new covid-19 cases in Tamil Nadu, India. The findings of the longitudinal data analysis revealed a significant increase in covid-19 cases after the government announced a double lockdown. A deeper analysis to determine the factors influencing the abnormal rise in covid -19 cases (CAR) using regression analysis revealed a significant positive effect on population density and a negative impact on ICCC and HDI. Until now, no empirical research has evaluated the counter-effects of governments' protocol in containing a pandemic disease, by adopting an event study approach. Also, this study is the first in the literature to test the theoretical predictions of the cobra effect of the adopted protocol.

International audience; Since cryptocurrencies were first created, the related markets have been known for their fluctuations, whether in terms of high volatility or illiquidity. Partially for those reasons, public authorities and regulators around the world have frequently attempted to regulate those markets. We aim in our study to examine whether cryptocurrency traders perceive market regulation in a beneficial way. Using an event study methodology for daily data covering the 2015-2019 period, we assess how regulatory news and events have affected returns in cryptocurrency markets. We further assess whether financial cryptocurrency characteristics and in particular their liquidity can explain cross-sectional variations in cryptocurrency return reactions. The results suggest that events that increase the probability of regulation adoption are associated with negative abnormal returns for the cryptocurrencies concerned. We also find that the magnitude of the return reactions is not the same across all the cryptocurrencies in our sample. We show that investors reacted less negatively for the most illiquid cryptocurrencies and for those that incurred more information asymmetry risk. Finally, we analyze a longer-term effect of regulatory events by studying the performance of cryptocurrencies. The risk-adjusted return in the preevent period is positive and significant, but it appears not to be significantly different from zero in the post-event period.

The growing threat of cyber breach as become one of the most feared risks corporations around the world are currently dealing with. The dynamic nature of cyber risk, along with evolving global regulations, necessitates that corporate management strategically address cyber risk to minimize effects on corporate value. This paper uses event study methodology to analyze global shareholder value effects of cyber breaches occurring between the periods 1990 to 2019. Cumulative Average Returns (CARs) are calculated by country, and in aggregate, from first notice date to periods of up to 90 days post announcement to compare short term and long term effects of cyber breaches on stock price. Similar to other smaller studies, results for this much larger data set show significant negative returns for US corporations in all sample windows. However, the changes in shareholder value are much smaller than were previously seen in other studies. Unlike its US counterparts, short term results for the five major non-US countries in this sample show no significant changes to price as a result of cyber breach announcements, even though the non-US firms also trade on US exchanges. Long term results for the aggregate non-US sample show significance only at the 0 to 30 day window. Long term results for some of the individual countries do support some various positive and negative event windows, but no common patterns are seen among countries. These results point to differences in how news of a cyber breach, by country, is perceived in the market. These results are interesting in that they also follow some of the patterns that insurance companies have seen in the reticent buying habits of global companies with respect to cyber insurance worldwide.

This study investigates market reactions to different dividend events by analyzing abnormal returns. Based on a database of 45 companies listed on Bucharest Stock Exchange, for the period of 2011-2016, we found that the Declaration Date, Ex-Dividend Date and Record Date could have significant influence on stock returns in Romania. Using an event window of 41 days around the dividend announcement, we find evidence that shareholders react as a response to new information regarding dividend policy. However, further research should be performed in order to see the exact market reaction when the company decides to increase, decrease or keep the same level of dividends. Using the event study methodology, we find evidence that dividend events influence significantly the returns after the event, and only for some cases, they affect the returns before the event.

Purpose The purpose of this paper is to explore the impact of financial regulation policy uncertainty (FRPU) on bank profit and risk. Design/methodology/approach This study applies dynamic panel techniques and uses the Baker et al. (2016) FRPU index and macroeconomic variables to assess FRPU’s impact on bank profit and risk using Federal Deposit Insurance Corporation call reports from Q1 2000 to Q4 2016 for over 4,760 commercial banks. Findings The effect of FRPU on profitability (Return on Assets [ROA] and Return on Equity [ROE]) and risk (standard deviation of ROA and ROE) produces complex results. FRPU negatively (positively) impacts profits for small and large banks (money center banks). There is a positive impact on FRPU for small and medium-sized banks, with no impact reported for the large and money center banks. Practical implications Findings lead to several implications for financial services regulators, investors and executives as summarized in the conclusion. It is essential to ensure that clear communication channels are open especially to small and medium-sized banks for proper strategic planning, given their greater sensitivity to regulatory uncertainty. Originality/value This paper contributes to the literature as follows. First, it explores the impact of FRPU on bank profits and risk using a novel index introduced by Baker et al. (2016). This news-based continuous measure presents a bank profit modeling approach that differs from traditional event study methodology. Second, a large sample of US commercial banks is used which represents an important departure from banking regulation studies.

This study examines the market reactions of Chinese stock markets to 28 announcements of financial innovation regulations in the period of 2008–2015. Using a well-established event study methodology, we observe average positive market reactions to regulations, thus implying positive impacts of regulations on firm operations. We refer to such an impact as an ‘innovation effect’. Such an effect inversely relates to managerial characteristics (managerial financial connections and political connections). Managerial characteristics have worse influences on market reactions for Non-State-Owned Enterprises (Non-SOEs) than for SOEs. Our results are robust to diverse fixed-effects and potential endogeneity issues.

This study examines the influence of China Environmental Protection Tax (EPT) Law on firm performance, which is proxied by stock prices. Using the event study methodology, we find that most sectors...

Over the last decades, terrorism has become a global phenomenon to which every society is exposed from time to time. Terrorist attacks can have many economic consequences that may affect a number of sectors, including the capital market. The main goal of this paper is to examine the reaction of the CAC40 index to one terrorist attack, mainly “Charlie Hebdo” using an event study methodology. By calculating the abnormal returns and the cumulative abnormal returns in the event period, the results obtained show no significant abnormal returns on the day of the terrorist attack suggesting that the market had directly absorbed the effect of the attack. Thus, the findings suggest that the French market is semi-strong efficient. Investors can rely neither on past information nor on publicly available information to make abnormal profits.

Purpose The purpose of this paper is to explore if hedge fund variables (HFVs) are associated with long-run compounded raw returns (CRRs) for seasoned equity offering (SEO) firms for a six-year window around the offering month for firms undergoing SEOs. Design/methodology/approach The event study methodology is used to calculate long-run CRRs that are used in a regression model as dependent variables. Independent variables include HFVs and nonhedge fund variables (NFVs) with standard errors clustered at the month level. Findings Three new long-run findings, consistent with recent short-run findings, are offered. First, HFVs are significantly associated with long-run CRRs for SEO firms. Second, HFVs perform competitively compared to NFVs. Third, a potential omitted-variable bias results if HFVs are not used. Research limitations/implications This research assumes that hedge fund managers can identify good (poor) performing SEO firm that allow for profitable long (short) positions. The proportion of hedge funds using a strategy will change in the hypothesized manner needed to make profit. Practical implications Hedge fund managers can use long-run strategies to capitalize on price movements around significant corporate events. Social implications Larger institutional traders have investment advantages due to superior knowledge and greater ability to manipulate prices. Originality/value This research is the first study to detail the significant association between hedge fund stratagems and long-run stock returns for firms undergoing key corporate events. This study demonstrates the need to consider hedge fund strategies when trying to understand stock price movements.

Households employ many strategies to cope with exposure to risk. Using South African panel data in an event study methodology, this paper examines household strategies for coping with redu...

This study investigates US industry-based price response to domestic natural disasters over the period 1960–2015. Using an event study methodology, we estimate pre-, during and post-disaster impacts. We document a slower response in the pre-disaster period than in the post-disaster period. We further find that industries react differently to the same disaster and that reactions are not always negative. For example, meteorological disasters have a positive (negative) market impact on Gold (Banking). Moreover, we provide evidence that not every industry responds similarly to different disasters, e.g., Gold reacts positively (negatively) to meteorological (geophysical) disasters.

The shakeout period after the emergence of a dominant design is very important to technology followers and niche market producers, who need adjust to significant changes in the competitive landscape. We posit that such innovating firms use strategic signals that address technical-, market-, and standards-uncertainty associated with their innovations to communicate with market participants to reduce participants' perceived uncertainties associated with the innovative products. Studying technology followers and niche market producers in the personal computer industry during its 1982–1989 shakeout period, we found that technology followers and niche market producers differ in their use of technical-, market-, and standards-related signals. Additionally, using event study methodology, we find that technology followers' strategic signals have significant positive impacts on both their own and other followers' stock prices. Meanwhile, niche market producers' strategic signals have significant positive impacts on their own stock prices, but not significant impacts on other niche market producers and technology followers' stock prices.

The objective of this study is to measure the merger announcement effects on the wealth of shareholders of bidder banks, target banks, and combined banks. This article employs event study methodology and Paired-samples t-test to evaluate the impact of merger announcement on shareholders wealth. It is found that the bidder bank shareholders enjoy significant wealth gains of 4.14% in a 41-day event window period, whereas the target and combine bank shareholders do not. The voluntary mergers bestow significant wealth gains of 8.637% for the shareholders of bidder bank, whereas in case of forced merger the shareholders have witnessed nominal wealth loss. The redistribution of shareholder wealth on the merger announcement in India seems to be found in other studies. Managers may have to factor-in the impact of the type of merger before deciding the pairs of mergers. This article adds to knowledge about wealth effects of merger announcement and influence of the type of merger in the Indian context. TOPICS:Security analysis and valuation, statistical methods, performance measurement, emerging

Technological development and digitalization plays a crucial role in financial sector by allowing firms to create value in a rapidly changing environment. The acquisitions of firms related to financial technologies are one of the ways to obtain vital knowledge. In order to identify the fintech companies we are looking at firms that are involved in business activities in both the IT and financial sectors. By examining the growing role of fintech firms in the recent mergers and acquisitions from an investor point of view, this paper contributes to the existing literature by investigating the post-acquisition performance of the acquirer firms measured by abnormal returns. We discovered significant positive average abnormal return after acquisition of fintech companies in the short-term and negative average abnormal return in the long-term using event study methodology. The specifics of cross-border acquisitions, the level of the domestic market development of the acquirer, and other characteristics of M&A deals are considered in order to explain the reaction of investors to announcements of fintech firms’ acquisitions. The determinants of corresponding M&A deals in emerging and developed markets were revealed.

This study looks into the role of corporate life cycle on market discounts and firm performance in private placements. Using the standard event study methodology with 1854 private placements, this study finds that issuing firms on average offer discounts to their investors. While growth firms obtain higher returns around the issuance of private placements, these growth firms generate poor long run post-announcement returns. The results suggest that investors may be over-optimistic to future prospects for growth firms. As old firms generally obtain higher returns in premium offers, the evidence suggests that managers of old firms would put more efforts in managing their firms after private placements. Overall, the evidence indicates that corporate life cycle can play a role to influence firm performance in private placements. The empirical findings shed lights on the importance of corporate life cycle on firm performance in private placements.

We propose a new and direct measure of firms’ political connections under the Chinese political system, namely, the first-time elections of corporate executives as deputies to the National People's Congress. We use the event study methodology to estimate the value of political connections and firm value in China. We find that an executive's first-time election as a deputy is associated with positive abnormal returns following the announcement of elections, and such abnormal returns are more significant for private firms than for state-owned firms. Our results provide new evidence on the value of political connections.

The ability of credit rating agencies (CRAs) to influence financial markets has been widely debated in the academic literature, policy circles and general press. While some commentators think that CRAs’ announcements have relevant effects on the markets, others reckon that they may simply follow investor opinion. To address the issue, the empirical literature has mainly employed the event study methodology, analyzing the behavior of financial markets around rating change announcements. Following a recent trend that has emphasized the use of high-frequency data to achieve credible identification in macroeconomics, in this paper, we use the instrumental variable-local projection (IV-LP) methodology to obtain the effect of structural shocks to CRAs’ communication on financial markets. Applying this approach to Mexico, we find that CRAs’ communication about the sovereign has statistically significant effects on CDS spreads, interest rates and the exchange rate.

This chapter focuses on gender diversity as one of the most meaningful consequences of CSR, reflecting on the circumstance that Japan is still developing in terms of gender equality challenges. The aim of this chapter is to explore the association between investors' reactions and the release of gender-related news of Japanese companies using an event study methodology. With a large and original CSR news dataset collected from well-known Japanese financial newspapers by the author, a major finding of the analysis is that Japanese investors' views on gender diversity are still developing but changing. After 2016, investors began to react favorably to gender-related announcements, indicating a shift in investor perception. The findings will have important implications not only for Japanese corporate executives and politicians but also for those from other nations with similar cultural backgrounds in terms of gender.

This paper examines the effect of Environmental-, Social- and Governance- (ESG) rating events on returns and risks of stocks based on a large sample of US firms and their MSCI ESG ratings. Using event study methodology, we find that markets react with significant negative abnormal returns to downgrades in environmental and in social scores. ESG rating changes thus seem to provide new value-relevant information to market participants. Further, applying a difference-in-differences approach, we assess whether and how changes in ESG rating impact the risks associated with stocks by examining downside, systematic and total risk. Our findings suggest that rating changes already materialize shortly after the rating event. Upgrades in environmental scores significantly moderate downside risk, whereas upgrades in governance scores seem to mitigate systematic risk. Therefore, by improving the firm’s ESG profile, managers can mitigate value-relevant risks of their firms in short-term.

On June 22, 2020, President Trump issued an Executive Order (EO) that suspended new work visas, barring nearly 200,000 foreign workers and their dependents from entering the United States and preventing American companies from hiring skilled immigrants using H-1B or L1 visas. Exploiting this shock, and using event study methodology analyzing the cumulative average abnormal returns (CAARs) of Fortune 500 companies following this order, we find that the EO statistically and economically significantly caused negative CAARs of up to 0.45%, the equivalent of over 100 billion of US dollars of losses, based on the firms’ valuation before the event. Our results are particularly pronounced for firms that had maintained or increased their reliance on skilled immigrant workers over the prior years.

Although technological acquisitions have attracted much attention as a prominent means of open innovation that allows firms to complement internal innovation, their shareholder value creation effects should be influenced by whether the acquiring family businesses can successfully realize technological synergies. Thus, the purpose of this paper is to investigate whether market participants perceive family businesses to create more value when undertaking technological acquisitions. Using a sample of 614 acquisitions by 71 family businesses between 2000 and 2014 in South Korea, an event study methodology is adopted. Empirical analysis yields strong support for the prediction that the stock market does not perceive family businesses to be able to create superior synergy through technological acquisitions compared to when they undertake nontechnological acquisitions. The competitive landscape also has implications for the shareholder value creation effects of technological acquisitions by family businesses. Overall, the findings of this paper provide insight into the shareholder wealth implications of technological acquisitions undertaken by family businesses.

This study examines the impact of stock splits on stock liquidity in Bursa Malaysia from 2004&ndash, 2018. The study uses event study methodology and investigates liquidity changes, the role of liquidity, and the relationship between abnormal returns and liquidity as well. We found a significant liquidity improvement on the splits announcement, announcement of book closing date and split execution date (Ex-date), while it declined after the split Ex-date. The findings also indicate that firms with a low-level liquidity prior to split announcements experienced an increase in liquidity after Ex-date. Using panel data analysis, we find that the fixed effect model is more appropriate than the pooled OLS, and the abnormal announcement returns are driven by stock liquidity.

Sustainability and corporate social responsibility (CSR) strategies of companies delineate the health and the welfare of the communities across the globe. The two major goals of this study are (1) To explore the relationship between the environmental regulations, market value, and adoption of sustainability and CSR strategies of the publicly traded firms listed on the Dow Jones Sustainability Indices (DJSI) and (2) To examine the impact of being added to or deleted from DJSI per different market sectors for the firms in the U.S. and the European Union (EU). The selected starting window, the year 2015, for studying the impact of addition to or deletion from the DJS indices was the Paris Accord proposal by the EU and strict sustainability regulations of the EU versus the U.S. We used event study methodology and regression analyses to explain the cumulative abnormal returns utilizing firms&rsquo, characteristics and specific market sectors. In addition, the other focus of the study was on heavy (polluting) industries and investigating if the addition to or deletion of the firms in these industries from the sustainability indices had an impact on the market value. The findings of this study reveal no impact of the environmental rules and regulations on adopting sustainability and CSR strategies by either the EU or the U.S. firms. The novel findings of this study indicate a significant negative impact on the market value of firms in heavy industries, Energy, Basic Materials, and Utilities when added to the DJS indices. The study discusses the underlying reasons for these differences and proposes strategies to enhance the impact of addition to or deletion from the DISI to increase firms&rsquo, commitments to sustainability and CSR strategies and altering the attitudes of the investors.

This study aims to investigate the value implications of cross-border as well as domestic acquisitions which are undertaken by Dutch bidding firms. This study focuses on Dutch firms since the Netherlands is one of the world’s largest sources of cross-border investments, and cross-border acquisitions are a prime example. Past literature which focuses on different regions/countries discovered conflicting findings regarding value implications of cross-border and domestic acquisitions. Some recorded results which pointed towards value creation for cross border acquisitions while some found the opposite. This study utilizes the event study methodology to find out whether cross-border and domestic acquisitions create significant value right after the announcement of the acquisition. This is done by testing the significance of the Cumulative Average Abnormal Returns (CAARs) of 62 cases of acquisitions, comprised of 31 cross-border and domestic acquisitions, all involving a Dutch bidding firm. The significance tests yielded statistically insignificant results for all the groups of samples. However, the CAARs themselves were positive for the cross-border acquisitions and also positive but lower for domestic acquisitions. The unexpected results led to the conclusion that there is weak support towards the value creating nature of cross border acquisitions and that engaging in a domestic acquisition instead also does not guarantee value creation, while further inspection discovered that the firms’ strategy may also play a role in the Dutch acquisition’s value creation.

The paper assesses how stock market volatility reacts to data breach disclosure. The paper applies Volatility Event Analysis and Kolmogorov-Smirnov Test to analyse how equity risk (stock volatility) of 96 firms listed on the S&P 500 index reacted to the announcement of a data breach using records from Breach Level Index (BLI ) over the period between January 2013 and December 2018. Two levels of empirical analysis were performed: cross-section level and industry level. We employ statistical tests that adjust for the effects of cross-section firm-specific mean and volatility. The analysis delivers the following results: Firstly, cross-sectional analysis shows that there is evidence of significant abnormal across the firms and significant difference between before and after cyberattacks announcements. Secondly, the industry level analysis reveals that the firms in the financial industry exhibit more abnormal volatility and returns than firms in other sectors. Additionally, there is significant evidence of the difference in pre and post cyberattacks or data breach announcements, however, this effect tends to be more pronounced after the announcement of a data breach. Implying that data breach announcements can significantly influence equity volatility. In conclusion, the paper posits, equity investors and other stakeholders should reconsider their approach to cybersecurity events when updating the risk measures of their stocks and portfolios.