Using Event Studies to Assess the Impact of Unexpected Events

Koch, James V.; Fenili, R.N.

doi:10.1057/be.2012.34

Cited by 8 publications

(7 citation statements)

References 20 publications

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“…In contrast, here we examine events at which the raw material supply changes unexpectedly. The events we investigated are unexpected and, therefore, the risk of damage is not included in the market prices (Koch & Fenili, 2013). By looking on specific events of supply disruptions, we estimate the slope of the demand curve.…”

Section: Introductionmentioning

confidence: 99%

Design of an endpoint indicator for mineral resource supply risks in life cycle sustainability assessment: The case of Li‐ion batteries

Santillán‐Saldivar

Gaugler

Helbig

et al. 2020

J of Industrial Ecology

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Concerns have risen in recent years about the accessibility of raw materials considered "critical" for technological advancements. The GeoPolRisk indicator was designed as a midpoint indicator in life cycle sustainability assessment to measure geopolitical supply risk with the aim to incorporate raw material criticality as a complement to environmental life cycle assessment (LCA). A recent review of supply risk methods conducted within the Task Force on mineral resources of the Life Cycle Initiative hosted by UN Environment Programme highlighted the opportunity to extend the methodology to an endpoint level. We address this opportunity by presenting GeoPolEndpoint, an indicator that measures the socio-economic damage of the use of mineral resources linked to the area of protection "Natural Resources" in LCA. We build upon previous efforts by introducing price elasticity considerations and modeling potential effects of supply disruptions on commodity markets in the form of a welfare loss and a loss of consumer surplus. The socio-economic damage occurs as geopolitically driven increased costs for raw materials. We test our method on aluminum, cobalt, nickel, and copper, materials relevant for lithium-ion batteries. Results show that nickel and cobalt dominate the contribution to socio-economic damages because of their price and supply risk; we estimate the impact of the use of the four analyzed materials as a potential increased cost ranging from 0.30 to 1.86 USD/kWh depending on the technology and year. We build the steps to assess how the use of certain raw materials could have a substantial economic impact when developing technologies, possibly identifying the shifting of burden due to certain materials not usually deemed important from an environmental perspective. This article met the requirements for a gold-gold JIE data openness badge described at http://jie.click/badges.

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Section: Introductionmentioning

confidence: 99%

Design of an endpoint indicator for mineral resource supply risks in life cycle sustainability assessment: The case of Li‐ion batteries

Santillán‐Saldivar

Gaugler

Helbig

et al. 2020

J of Industrial Ecology

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“…The impact is mostly recorded in the form of abnormal stock returns following the event being investigated. Many researchers attest to the relevance of this methodology as results obtained from the calculations have been relied upon in many studies (William et al, 2017;Cable and Holland, 1999;Koch and Fenili, 2013;Saens, 2006). In this research, the corresponding abnormal stock returns are calculated following the AHS implementation milestones publication, either by announcements or by periodic reports.…”

Section: Event Studies Technique For Abnormal Stock Returns Evaluationmentioning

confidence: 99%

“…The following generic equation is employed to calculate abnormal stock returns using Event Studies (Koch and Fenili, 2013):…”

Section: Event Studies Technique For Abnormal Stock Returns Evaluationmentioning

confidence: 99%

Foundation of a Framework for Evaluating the Impact of Mining Technological Innovation on a Company's Market Value

Mugebe¹,

Yahyaei²,

Low

2022

SSRN Journal

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“…Event study methodology offers a way for avoiding the bias of accounting-based measures of returns [43]. This methodology is well cited in the literature for variety of applications [12,26,29,34,37,46,48,49]. The aim of an event study is to quantify and statistically test the presence of any abnormal or excess returns that are associated with certain events.…”

Section: Estimation Of Standardized Abnormal Returns In Event Study Mmentioning

confidence: 99%

Robust examination of political structural breaks and abnormal stock returns in Egypt

et al. 2020

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This paper uses the event study methodology to analyze the impact of unexpected political event on stocks abnormal returns. The objective is twofold. The first is to reach robust estimates of stocks abnormal returns. The second is to reach robust estimates of the effects of unexpected political events on stocks abnormal returns. Design/methodology/approach: This paper experiments with three different methods to estimate stocks abnormal returns, namely: market model, mean-adjusted model and market-adjusted model. The sample includes the firms listed in the leading index in Egypt stock exchange (EGX30). The statistical tests, Anderson-Darling test for normality, Wilcoxon rank-sum test for comparing the significance of the estimates, and Breusch-Pagan, Cook-Weisberg test for heterogeneity of abnormal returns. Findings: The results indicate that (a) statistical differences between the three estimates exist, which indicates that the three methods of abnormal return estimation are not substitutes, or alternatives, to each other, (b) that is, the political event is considered an anomaly which has idiosyncratic effects. This is contrary to the common belief that political events have systematic effects. Originality/value: The contribution of this paper is twofold. First, the estimation of abnormal returns must be examined for robustness in order to ensure reliability. Second, the results offer robust evidence that political risk premium is an anomaly, which is a call for stock market participants not to panic. Eventually, it saves investors' wealth.

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Using Event Studies to Assess the Impact of Unexpected Events

Cited by 8 publications

References 20 publications

Design of an endpoint indicator for mineral resource supply risks in life cycle sustainability assessment: The case of Li‐ion batteries

Design of an endpoint indicator for mineral resource supply risks in life cycle sustainability assessment: The case of Li‐ion batteries

Foundation of a Framework for Evaluating the Impact of Mining Technological Innovation on a Company's Market Value

Robust examination of political structural breaks and abnormal stock returns in Egypt

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