| 外文摘要: |
Most event studies rely on cumulative abnormal returns, measured as percentage changes in
stock prices, as their dependent variable. Stock price reflects the value of the operating business
plus non-operating assets minus debt. Yet, many events, in particular in marketing, only
influence the value of the operating business, but not non-operating assets and debt. For
these cases, the authors argue that the cumulative abnormal return on the operating business,
defined as the ratio between the cumulative abnormal return on stock price and the firmspecific
leverage effect, is a more appropriate dependent variable. Ignoring the differences in
firm-specific leverage effects inflates the impact of observations pertaining to firms with
large debt and deflates those pertaining to firms with large non-operating assets. Observations
of firms with high debt receive several times the weight attributed to firms with low debt. A
simulation study and the reanalysis of three previously published marketing event studies
shows that ignoring the firm-specific leverage effects influences an event study's results in
unpredictable ways. |
发布于 2018-4-16 15:41:29
