The market model and the event study method: A synthesis of the econometric criticisms

1994 ◽  
Vol 3 (2) ◽  
pp. 149-171 ◽  
Author(s):  
J.Andrew Coutts ◽  
Terence C. Mills ◽  
Jennifer Roberts
Keyword(s):  
Event Study ◽  
Market Model ◽  
Event Study Method

scholarly journals An Empirical Analysis of the Annual Report Effect of High Market Capitalization Companies in China

2021 ◽  
Vol 5 (2) ◽  
pp. 38
Author(s):  
Liu Xin ◽  
Huang Xi ◽  
Su Ganya
Keyword(s):  
Event Study ◽  
Stock Price ◽  
Market Model ◽  
Annual Reports ◽  
Chinese Stock Market ◽  
Market Capitalization ◽  
The Past ◽  
Event Study Method ◽  
Before And After ◽  
Total Market

In this paper, we study the abnormal stock price returns of the top 10 stocks in the Chinese stock market in terms of total market capitalization before and after the release of their annual reports in the past 10 years, using the event study method implemented by the Event Study package of the Alpha Library under Python, using a market model to estimate normal returns. The results find that and most of the events have insider phenomenon.

The market model and the event study method: A rejoinder

1996 ◽  
Vol 5 (1) ◽  
pp. 83-86
Author(s):  
J.Andrew Coutts ◽  
Terence C. Mills ◽  
Jennifer Roberts
Keyword(s):  
Event Study ◽  
Market Model ◽  
Event Study Method

The Determinants of Merger Withdrawals’ Abnormal Returns in The Australian Market

2015 ◽  
pp. 89-110 ◽  
Author(s):  
Thuy Nguyen Thu ◽  
Giang Dao Thi Thu ◽  
Hoang Truong Huy
Keyword(s):  
Financial Crisis ◽  
Event Study ◽  
Abnormal Returns ◽  
Market Response ◽  
Crisis Period ◽  
Valuation Effects ◽  
Event Study Method ◽  
Private And Public ◽  
Method Of Payment ◽  
The Impact

This paper examines the abnormal returns in merger withdrawals in Australia, especially distinguishing the market response between private and public targets. We also study the determinants of those abnormal returns, including the method of payment and the impact of financial crisis periods. Using the event study method, we document that in the Australian context, the announced withdrawal of mergers involving private targets creates significantly negative valuation effects in comparison with the valuation effects in withdrawal of mergers involving public targets. We also find that a financial crisis period strongly affects abnormal returns of merger withdrawals. However, the method of payment does not have any impact on the abnormal returns.

The Event Study Method in Logistics Research

2018 ◽  
Vol 8 (1) ◽  
pp. 57-79 ◽  
Author(s):  
Lincoln C. Wood ◽  
Jason X. Wang
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
External Factors ◽  
Cross Sectional ◽  
Design Considerations ◽  
Managerial Decisions ◽  
Alternative Approach ◽  
Research Designs ◽  
Event Study Method ◽  
Management Changes

Logistics researchers often want to understand how particular management changes or external factors influence a firm. While this can be accomplished using operational or survey data, the authors outline an alternative approach using the event study method where inferences are made with the estimated magnitude and direction of abnormal returns. The calculated abnormal returns can be used as a dependent variable in a cross-sectional regression to understand which managerial decisions may affect these outcomes. As the method remains little used by logistics researchers, the authors outline key assumptions and design considerations. They review recent articles and provide suggestions for logistics researchers improve the rigor of their research designs. This article aims to provide an overview of the method for logistics and supply chain researchers with a focus on developing the capability to design an effective study and to evaluate research articles to assess methodological weaknesses that may lead to untrustworthy results.

scholarly journals CAN RAINMAKERS JUSTIFY THEIR PAY? THE ROLE OF INVESTMENT BANKS IN REIT M&AS

2021 ◽  
Vol 25 (4) ◽  
pp. 254-266
Author(s):  
Weiwei Zhang ◽  
Tiezhu Sun ◽  
Patrick Han Lin Goh ◽  
Zilong Wang ◽  
Nick Mansley
Keyword(s):  
Event Study ◽  
Value Creation ◽  
Abnormal Return ◽  
Prima Facie ◽  
Investment Banks ◽  
Cumulative Abnormal Return ◽  
Event Study Method ◽  
Contemporary Practice ◽  
The Prestige

This study explicitly rejects the prima facie proposition that the top-tier investment banks are capable of delivering supernormal value creation to the shareholders of a REIT acquirer in a corporate acquisition. Using the event study method, we find that REIT acquirers advised by market-leading investment banks suffer an average cumulative abnormal return of −4.41% following the M&A announcement, whereas REIT acquirers advised by non-top-tier investment banks only suffer an average cumulative abnormal return of −1.49%. The evidence shows that the contemporary practice of employing investment banks based on the prestige of the advisory firms could potentially result in value-destroying M&As for the REIT acquirers.

scholarly journals Investor’s Mood at ASIAN Games Event

2019 ◽  
Vol 7 (2) ◽  
pp. 177
Author(s):  
Happy Sista Devy ◽  
Bahrain Pasha Irawan
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Purposive Sampling ◽  
Event Study Method ◽  
Before And After ◽  
Wait And See ◽  
The Many ◽  
Observation Period

<p>Goals of the research to analyze whether occurred abnormal return of ASIAN Games phenomena and see how investors react to the big ASIAN Games 2018 event in Indonesia. . This reseach uses a sample of companies included in the hotel, restaurant and tourism sub-sector on the Indonesia Stock Exchange (IDX) during the observation period, based on the purposive sampling method which obtained 22 companies and used the event study method. There is a significant abnormal return but not on the phenomenon of the Asian Games 2018. This shows that investors still wait and see to the organization of the Asian Games in 2018. No difference of abnormal return before and after the Asian Games 2018. This is because, as investors look to the many tourists who have started to flock to Indonesia before the Asian Games in 2018 took place.<em></em></p><p><strong><em></em></strong><em><br /></em></p>

scholarly journals Impact of Smoking Ban Fatwa on Indonesian Tobacco’s Company

2013 ◽  
Vol 2 (2) ◽  
pp. 76-86
Author(s):  
Gatot Soepriyanto ◽  
Paulina Santoso
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Tobacco Consumption ◽  
Share Price ◽  
Market Model ◽  
Smoking Ban ◽  
Muslim Population ◽  
Stock Market Return ◽  
Study Methodology ◽  
Event Study Methodology

The objective of this study is to assess the share price reactions to smoking ban fatwa on Indonesia tobacco’s company. We expect that the smoking ban fatwa in the world’s largest Muslim population will hit the tobaccos industry revenues, lower tobacco’s company profit and eventually affect the share price of those firms. We use event study methodology and standard market model to calculate abnormal returns of the tobacco’s firms related to the news of smoking ban fatwa. Our study failed to find a statistically significant effect of smoking ban fatwa on tobacco’s firm stock market return. It suggests that the investors do not see the fatwa as a factor that may control the tobacco consumption in Indonesia – thus it may not affect the tobacco’s firm revenues and profit in the future

Reaksi Investor Pasca Pengumuman Unsuspensi (Studi Pada Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2013-2017)

2019 ◽  
Vol 16 (4) ◽  
pp. 265-273
Author(s):  
Meita Rahmawati ◽  
Iwan Efriandy
Keyword(s):  
Event Study ◽  
Abnormal Return ◽  
Market Model ◽  
Adjusted Model

Tujuan: Penelitian ini adalah menguji secara empiris reaksi investor pasca pengumuman unsuspensi saham dengan melihat abnormal return sebelum pengumuman suspensi dan setelah pengumuman unsuspensi.Metode: Penelitian ini merupakan studi peristiwa (event study), dengan menggunakan periode estimasi selama 100 hari dan periode jendela selama 6 hari yaitu 3 hari sebelum pengumuman suspensi, dan 3 hari pasca pengumuman unsuspensi. Hasil: Uji statistik menunjukkan bahwa pengumuman unsuspensi saham dengan melihat semua penyebab suspensi dan berdasarkan penyebab kenaikan harga saham yang signifikan, berpengaruh terhadap reaksi investor, yang ditunjukkan dari adanya perbedaan nilai rata-rata abnormal return saham yang signifikan secara statistik antara sebelum dan setelah pengumuman. Sedangkan untuk pengumuman unsuspensi saham akibat adanya informasi penundaan kewajiban emiten, tidak berpengaruh terhadap reaksi investor. Peneliti menggunakan model sesuaian rerata (mean-adjusted model), untuk mengestimasi return normal/return ekspektasian, penelitian selanjutnya dapat mempertimbangkan hal-hal berikut: menggunakan model pasar (market model), dan model sesuaian pasar (marked adjusted model), untuk mengestimasi return ekspektasian, memperbesar sampel dan memperpendek periode pengamatan.Kata Kunci: Studi Peristiwa, Unsuspensi, Reaksi Investor, Abnormal return

Event Studies in Logistics Research

2018 ◽  
pp. 231-259
Author(s):  
Lincoln C. Wood
Keyword(s):  
Supply Chain ◽  
Event Study ◽  
Abnormal Returns ◽  
Event Studies ◽  
Research Articles ◽  
Management Research ◽  
Cross Sectional ◽  
Design Considerations ◽  
Managerial Decisions ◽  
Event Study Method

The event study method allows researchers to examine the importance of an event to firms based on the magnitude and direction of abnormal returns, and then use these results in a cross-sectional regression to understand which managerial decisions may affect these outcomes. While the method has been heavily used in some disciplines, in-management research and logistics research, in particular, the method remains little used and is often used with little thought to key assumptions and design considerations. This chapter aims to provide an overview of the method for logistics and supply chain researchers with a focus on developing the capability to design an effective study and to evaluate research articles to determine possible weaknesses.

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