On the Use of the Multivariate Regression Model in Event Studies

Binder, John J.

doi:10.2307/2490925

Cited by 317 publications

(157 citation statements)

References 12 publications

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“…Secondly, it allows one to directly employ cross-sectional correlations in the test statistics, which is of particular importance in our case, where all firms share the same industry and the same event window. Since the stacked MVRM in equation (A.1) is a special case in the class of seemingly unrelated regressions (SUR), traditional parametrical methodologies for testing joint hypotheses in SUR models can be directly applied and are discussed, e.g., in Binder (1985). All these methods rely on the assumption that the first t 1 − 1 rows (i.e., the rows corresponding to the estimation period) of the residuals ε = [ε 1 | · · · | ε g ] are independent and identically distributed, whereas the observations within each row may be cross-sectionally correlated.…”

Section: Appendix A: Model Estimation and Joint Hypothesis Testsmentioning

confidence: 99%

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

Ferstl

Utz

Wimmer

2012

Bus Res

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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.

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Section: Appendix A: Model Estimation and Joint Hypothesis Testsmentioning

confidence: 99%

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

Ferstl

Utz

Wimmer

2012

Bus Res

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“…In order to identify abnormal returns, we use a modified market model with a dummy variable (Izan, 1978;Dufour, 1980;Thompson, 1985;Binder, 1985;Binder, 1998) as shown in equation (7).…”

Section: An Event Study Methods To Identify Abnormal Returnsmentioning

confidence: 99%

Do Smoking Bans Always Hurt the Gaming Industry? Differentiated Impacts on the Market Value of Casino Firms in Macao

2016

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The gaming economy has expanded rapidly in East Asia over the past decade. Despite the known public health hazards of secondhand smoking, smoking bans in casinos remain controversial due to concerns over the potential economic harm to casino firms. Applying an event study, the authors examine the abnormal returns of casino stocks in response to three unexpected smoking ban announcements from 2011 to 2015 in Macao. Their analysis reveals that these announcements were associated with differentiated abnormal returns of casino stocks. Stocks of traditional casinos suffered abnormal losses of 0.58-3%, while the Las Vegas themed casinos enjoyed positive abnormal returns of up to 3%. Furthermore, the authors find that low air quality in gaming venues and high dependence on gaming revenues are associated with abnormal losses, while positive management initiatives are significantly correlated with positive abnormal returns. The findings of this study provide a full picture of the impacts of smoking bans on casinos and thus will be a useful policy references for the Macao government, as well as for the rapidly growing gaming industry in Asia and developing economies elsewhere. JEL L83 K32 Z33

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“…Secondly, it allows one to directly employ cross-sectional correlations in the test statistics, which is of particular importance in our case, where all firms share the same industry and the same event window. Since the stacked MVRM in equation (A.1) is a special case in the class of seemingly unrelated regressions (SUR), traditional parametrical methodologies for testing joint hypotheses in SUR models can be directly applied and are discussed, e.g., in Binder (1985). All these methods rely on the assumption that the first t 1 á 1 rows (i.e., the rows corresponding to the estimation period) of the residuals " ã ae" 1 | · · · | " g ç are independent and identically distributed, whereas the observations within each row may be cross-sectionally correlated.…”

Section: Appendix A: Model Estimation and Joint Hypothesis Testsmentioning

confidence: 99%

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide - An Event Study

2011

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On the Use of the Multivariate Regression Model in Event Studies

Cited by 317 publications

References 12 publications

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

Do Smoking Bans Always Hurt the Gaming Industry? Differentiated Impacts on the Market Value of Casino Firms in Macao

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide - An Event Study

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