Event Studies for Financial Research

Kliger, Doron; Gurevich, Gregory

doi:10.1057/9781137368799

Cited by 28 publications

(32 citation statements)

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“…Given the assumption of efficient capital markets, the stock price of a listed company should promptly reflect the implication of an event. The methodology of an event study reveals the short-term impact of an occasion on the value of a firm (Fama 1991;McWilliams et al 1999;Mitchell and Netter 1994;Kliger and Gurevich 2014).…”

Section: Event Studies On Csr-relevant Newsmentioning

confidence: 99%

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Impact of CSR-Relevant News on Stock Prices of Companies Listed in the Austrian Traded Index (ATX)

Ender

Brinckmann²

2019

IJFS

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This paper examines the short-term influence of CSR-relevant news on the enterprise value in the form of respective shareholder value, which is represented by the corresponding stock price. This effect is measured using an event study applied to companies in the “Austrian Traded Index” (ATX). Subsequently, the results of the study show that CSR-relevant news in the financial portal finanzen.net trigger statistically significant abnormal returns and average cumulated abnormal returns within a period of five days. Based on these research results, it is stated that CSR-relevant news has a significant impact on the shareholder value of a company represented by its stock price. The hypotheses defined on the basis of the previously conducted studies on this topic were only partially confirmed. In particular, the negative effects of negative CSR-relevant news are insufficiently shown. Based on these findings, it can be deduced that the effects of the news are reinforced by the CSR relevance, although media presence due to the publications is a factor to be explored.

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Section: Event Studies On Csr-relevant Newsmentioning

confidence: 99%

“…The abnormal return AR of a stock at a certain point of time is calculated as the difference between the observed return and the expected return (Kliger and Gurevich 2014):…”

mentioning

confidence: 99%

Impact of CSR-Relevant News on Stock Prices of Companies Listed in the Austrian Traded Index (ATX)

Ender

Brinckmann²

2019

IJFS

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“…Popular test include the sign test, where the 4 If there exists autocorrelation and/or heteroskedasticity in the data, the least squares method of estimation of conditional returns can be augmented with White (1980) corrected standard errors or Newey and West (1987) corrections. Details are given in Kliger and Gurevich (2014). 5 Sheskin (2004) explains that shorter time span tests in the event study approach have more power of test compared to longer time spans.…”

Section: Methodsmentioning

confidence: 99%

“…More details on the event study methodology can be found in Serra (2002); Kothari and Warner (2007) or Kliger and Gurevich (2014) and Conover (1980).…”

Section: Methodsmentioning

confidence: 99%

Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets

Škrinjarić

2019

IJFS

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The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern European (SEE) stock markets to the Brexit vote on 23 June 2016. Using daily data for the time span from January 2010 until July 2016 and the event study methodology (ESM), the return and volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned event. This is important for international investors and gives information on the reaction of mentioned markets to big political and economic events in order to tailor international portfolios in a way to hedge from risk.

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“…The second methodology is event studies (Bialkowski et al 2008, Nazir et al 2015, Yusoff et al 2015, Mpofu and Peters 2017, Hou and Li 2019. Event studies has been commonly used in empirical finance to assess the qualitative and quantitative effects that financial securities have in reaction to shocks (Kliger and Gurevich 2014). In Event Studies, econometric models of the first methodology are used to estimate benchmarks for normal asset returns or volatility in the sample period before the event whose effects are being examined.…”

Section: Literature Reviewmentioning

confidence: 99%

What Do Foreign Exchange Markets Say About Election Outcomes? A Comparison Between Malaysia, Singapore and Philippines

Hui

2020

SSRN Journal

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In this paper, Event Studies are conducted to examine the effects of political events on foreign exchange returns in Malaysia, Singapore and Philippines. The political events of interest in this paper cover the general elections in all three countries. Some of the salient findings are as follows. First, the 13 th General Election in Malaysia led to a mostly negative response from the foreign exchange market, with a sharper than expected Ringgit depreciation. Second, the 14 th Malaysian General Election elicited a rather positive reaction from the foreign exchange marketthere was far less depreciation of the Ringgit than what was previously believed. Third, both the 2011 and 2015 General Elections in Singapore were followed by positive reactions from the market. Fourth, presidential elections in the Philippines produced contrasting resultsthe election of Benigno Aquino III was greeted with optimism, whereas his successor, Rodrigo Duterte received a less welcoming reception from the foreign exchange market, with the Philippine Peso depreciating more than the predicted amount in the market model. .

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Event Studies for Financial Research

Cited by 28 publications

References 0 publications

Impact of CSR-Relevant News on Stock Prices of Companies Listed in the Austrian Traded Index (ATX)

Impact of CSR-Relevant News on Stock Prices of Companies Listed in the Austrian Traded Index (ATX)

Stock Market Reactions to Brexit: Case of Selected CEE and SEE Stock Markets

What Do Foreign Exchange Markets Say About Election Outcomes? A Comparison Between Malaysia, Singapore and Philippines

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