Event Study (event + study)

Distribution by Scientific Domains

Terms modified by Event Study

  • event study methodology

  • Selected Abstracts


    PREDICTING THE IMPACT OF ANTICIPATORY ACTION ON U.S. STOCK MARKET,AN EVENT STUDY USING ANFIS (A NEURAL FUZZY MODEL)

    COMPUTATIONAL INTELLIGENCE, Issue 2 2007
    P. Cheng
    In this study, the adaptive neural fuzzy inference system (ANFIS), a hybrid fuzzy neural network, is adopted to predict the actions of the investors (when and whether they buy or sell) in a stock market in anticipation of an event,changes in interest rate, announcement of its earnings by a major corporation in the industry, or the outcome of a political election for example. Generally, the model is relatively more successful in predicting when the investors take actions than what actions they take and the extent of their activities. The findings do demonstrate the learning and predicting potential of the ANFIS model in financial applications, but at the same time, suggest that some of the market behaviors are too complex to be predictable. [source]


    Event study concerning international bond price effects of credit rating actions

    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2001
    Manfred Steiner
    Abstract The influence of credit ratings on eurobond prices has been neglected for a long time. It is questionable whether non-US investors relate their investment decisions on US ratings and whether ratings from US agencies are relevant information sources for international capital markets. This paper examines daily excess eurobond returns associated with announcements of watchlistings and rating changes by Standard & Poor's and Moody's. Significant bond price reactions are observed for announcements of downgradings and negative watchlistings while upgradings and positive watchlistings do not cause announcement effects. Distinct from the results on national capital markets the international evidence shows that besides actual yield level and issuer type the issuer nationality is a key factor that determines the intensity of price reactions after downgrades. The price reaction is also significantly stronger for downgrades into speculative grade. This indicates, that the announcement effects can in part be explained by price pressure effects due to regulatory constraints rather than original information content of rating changes. Copyright 2001 John Wiley & Sons, Ltd. [source]


    European monetary policy surprises: the aggregate and sectoral stock market response

    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2009
    Don Bredin
    Abstract In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in the UK and German/Euro area policy rates on the UK and German aggregate and sectoral equity returns in an event study. The decomposition of (un)expected changes in policy rates is based on futures markets. Overall, our results suggest that, the UK monetary policy surprises have a significant negative influence on both aggregate and industry level returns in both countries. The influence of German/Euro area monetary policy shocks appears insignificant for both Germany and the UK. Copyright 2007 John Wiley & Sons, Ltd. [source]


    The Politics of Financial Development: Evidence from Trade Liberalization

    THE JOURNAL OF FINANCE, Issue 3 2008
    MATIAS BRAUN
    ABSTRACT Incumbents in various industries have different incentives to promote or oppose financial development. Changes in the relative strength of promoter and opponent industries thus result in changes in the political equilibrium level of financial development. We conduct an event study using a sample of 41 countries that liberalized trade during 1970 to 2000, and show that the strengthening of promoter relative to opponent industries resulting from liberalization is a good predictor of subsequent financial development. The benefits of developing the financial system are insufficient for financial development, and rents in particular hands appear to be necessary to achieve it. [source]


    Linking Product Development Outcomes to Market Valuation of the Firm: The Case of the U.S. Pharmaceutical Industry,

    THE JOURNAL OF PRODUCT INNOVATION MANAGEMENT, Issue 5 2004
    Anurag Sharma
    The purpose of this research was to examine empirically the effects of new product development outcomes on overall firm performance. To do so, first product development and finance literature were connected to develop three testable hypotheses. Next, an event study was conducted in order to explore whether the changes in the stock market valuation of firms are influenced by the outcomes of efforts to develop new products. The pharmaceutical industry was chosen as the empirical context for the present study's analysis largely because the gate-keeping role played by the Food and Drug Administration (FDA) provides a specific event date on which to focus the event study methodology. As such, this study's events were dates of public announcements of the FDA decisions to approve or to reject the New Drug Applications submitted by the sponsoring firms. Consistent with the efficient market hypothesis, this study's results show that market valuations are responsive strongly and cleanly to the success or failure of new product development efforts. Hence, one of this study's key results suggests that financial markets may be attuned sharply to product development outcomes in publicly traded firms. This study also finds that financial market losses from product development failures were much larger in magnitude than financial market gains from product development successes,indicating an asymmetry in the response of financial markets to the success and failure of new product development efforts. Hence, another implication of this study's results is that managers should factor in a substantial risk premium when considering substantial new development projects. The present study's results also imply that managers should refrain from hyping new products and perhaps even should restrain the enthusiasm that the financial community may build before the product fully is developed. The effect on firm value is severe when expectations about an anticipated new product are not fulfilled. Managers in effect should take care to build reasonable and realistic expectations about potential new products. [source]