Long-Run Post-Event Abnormal Returns in Global Stock Markets*
Publication Date
6-22-2023
Abstract
The literature has assessed returns following corporate events in global markets, but conclusions are varied and inconsistent due to disparate methods and samples. We employ uniform methods and a comprehensive sample comprised of 52,000 non-U.S. firms from 58 countries, and show that traditional benchmarks imply abnormally high returns following dividend initiations and share repurchases, and abnormally low returns after IPOs, SEOs, mergers and acquisitions, and stock splits. However, when we apply a characteristic-based benchmark, these apparent abnormal returns are reduced in magnitude and are largely insignificant, indicating they are mainly attributable to the characteristics of the firms involved rather than the events themselves. This finding is consistent across firm size, time periods, regions, and market development. Our findings highlight the importance of methodological choices in event studies and the role of firm attributes, and have significant implications for financial theories.
Document Type
Article
Keywords
international, firm characteristics, abnormal returns, covariance risk, corporate events JEL classification: G14, G30 international, firm characteristics, abnormal returns, covariance risk, corporate events JEL classification: G14, G30
Disciplines
Finance
DOI
10.2139/ssrn.4181881
Source
SMU Cox: Finance (Topic)
Language
English
