This research explores the effects that media coverage of corporate social responsibility (CSR) news related to investor, customer, employee and community issues has on the market value of Spanish banks, measured as the impact generated in abnormal returns for these companies. We use an event...

Despite widespread agreement that corporate social responsibility (CSR) should not be motivated only by a desire to increase corporate financial performance (CFP), marketers are aware of the possible links between CSR and CFP. Surprisingly, after decades of empirical investigation, the evidence...

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

This study examines the relation of stock returns and the announcements on verified emissions in the European Emission Trading Scheme (EU ETS). In a first step we employ event study methods to detect possibly abnormal returns on the respective announcement dates using a sample of quoted stock...

When an event is anticipated, the firm's stock return around the announcement of the event may have an inconsistent sign: a positive sign around negative news, or vice versa. We attempt to quantify the frequency of this problem, first with a brief mathematical model and simulation, then with...

In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-minute price movement configurations based on High-Low-Open-Close (HLOC) patterns and measure liquidity in terms of spread, depth, order imbalance,...

Traditional event study methods use regression models to estimate market models and conduct statistical tests. We present a method based on option-implied information about the distribution of stock returns and the co-movement with return factors. This method decreases the reliance on historical...

Originally developed as a statistical tool for empirical research in accounting and finance, event studies have since migrated to other disciplines as well, including economics, history, law, management, marketing, and political science. Despite the elegant simplicity of a standard event study,...

We study the short-term market reactions of US and European stocks during the beginning of the COVID-19 pandemic. Employing an event study, we document that stocks react significantly negatively to the announcement of the first death in a given country. While our results suggest that the...

The monetary policy shocks have been widely regarded to have effects on the financial markets. Before the 2008 financial crisis, the Federal Reserve adjusted the federal funds target rate to implement the monetary policy. This paper uses event studies to examine the relationship between the...