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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...
Autores principales: | , , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Palgrave Macmillan UK
2022
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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. |
format | Online Article Text |
id | pubmed-9264305 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Palgrave Macmillan UK |
record_format | MEDLINE/PubMed |
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 |
work_keys_str_mv | AT elghoulsadok eventstudiesininternationalfinanceresearch AT guedhamiomrane eventstudiesininternationalfinanceresearch AT mansisattara eventstudiesininternationalfinanceresearch AT syoumar eventstudiesininternationalfinanceresearch |