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Event studies in international finance research

Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single-country setting (usually the U.S.), but little work has yet been conducte...

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Detalles Bibliográficos
Autores principales: El Ghoul, Sadok, Guedhami, Omrane, Mansi, Sattar A., Sy, Oumar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Palgrave Macmillan UK 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9264305/
https://www.ncbi.nlm.nih.gov/pubmed/35822194
http://dx.doi.org/10.1057/s41267-022-00534-6
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author El Ghoul, Sadok
Guedhami, Omrane
Mansi, Sattar A.
Sy, Oumar
author_facet El Ghoul, Sadok
Guedhami, Omrane
Mansi, Sattar A.
Sy, Oumar
author_sort El Ghoul, Sadok
collection PubMed
description Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single-country setting (usually the U.S.), but little work has yet been conducted in an international context, perhaps due to the complexities inherent in implementing cross-country studies. This paper explores the methodological challenges of conducting event studies in international finance research. We emphasize how scholars should choose an event, select the study period (short vs. long term), estimate abnormal returns, infer statistically whether the event under consideration produces a reliable price reaction, and explore the role of formal and informal institutions in explaining cross-country differences in price reactions. We also provide an extension of event studies to an important but less studied asset class in an international setting – the fixed-income market. We conclude by offering practical recommendations for researchers conducting cross-country finance event studies and identifying opportunities for future research. Given the increasing number of global events, such as the COVID-19 pandemic, Brexit, and the Paris and Trans-Pacific Partnership agreements, we believe our paper is especially timely.
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spelling pubmed-92643052022-07-08 Event studies in international finance research El Ghoul, Sadok Guedhami, Omrane Mansi, Sattar A. Sy, Oumar J Int Bus Stud Research Note Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single-country setting (usually the U.S.), but little work has yet been conducted in an international context, perhaps due to the complexities inherent in implementing cross-country studies. This paper explores the methodological challenges of conducting event studies in international finance research. We emphasize how scholars should choose an event, select the study period (short vs. long term), estimate abnormal returns, infer statistically whether the event under consideration produces a reliable price reaction, and explore the role of formal and informal institutions in explaining cross-country differences in price reactions. We also provide an extension of event studies to an important but less studied asset class in an international setting – the fixed-income market. We conclude by offering practical recommendations for researchers conducting cross-country finance event studies and identifying opportunities for future research. Given the increasing number of global events, such as the COVID-19 pandemic, Brexit, and the Paris and Trans-Pacific Partnership agreements, we believe our paper is especially timely. Palgrave Macmillan UK 2022-07-08 2023 /pmc/articles/PMC9264305/ /pubmed/35822194 http://dx.doi.org/10.1057/s41267-022-00534-6 Text en © Academy of International Business 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Research Note
El Ghoul, Sadok
Guedhami, Omrane
Mansi, Sattar A.
Sy, Oumar
Event studies in international finance research
title Event studies in international finance research
title_full Event studies in international finance research
title_fullStr Event studies in international finance research
title_full_unstemmed Event studies in international finance research
title_short Event studies in international finance research
title_sort event studies in international finance research
topic Research Note
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9264305/
https://www.ncbi.nlm.nih.gov/pubmed/35822194
http://dx.doi.org/10.1057/s41267-022-00534-6
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