ORBilu: Detailed Reference

Article (Scientific journals)

Event studies with daily stock returns in Stata: Which command to use?

KASPEREIT, Thomas

2021 • In Stata Journal, 21 (2), p. 462-497

Peer Reviewed verified by ORBi

Permalink
https://hdl.handle.net/10993/44937

DOI
10.1177/1536867X211025835

Files (1)Send to Details Statistics Bibliography Similar publications

Files

Full Text

main.pdf

Author preprint (710.8 kB)

All documents in ORBilu are protected by a user license.

Send to

RIS BibTex APA Chicago Permalink X Linkedin

Details

Keywords :

event studies; estudy; eventstudy2

Abstract :

[en] This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older command eventstudy provides a comfortable graphical user interface and good functionality for event studies that do not require hypotheses testing. The command estudy described in Pacicco et al. (2018, Stata Journal 18(2), pp. 416–476; 2020, Stata Journal, forthcoming) provides a set of commonly applied test statistics, useful exporting routines to spreadsheet software and LATEX for event studies with a limited number of events. The most complete command in terms of available test statistics and benchmark models as well as its ability to handle events with insufficient data, thin trading and large samples is eventstudy2

Disciplines :

Finance

Author, co-author :

KASPEREIT, Thomas ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Economics and Management (DEM)

External co-authors :

no

Language :

English

Title :

Event studies with daily stock returns in Stata: Which command to use?

Publication date :

2021

Journal title :

Stata Journal

ISSN :

1536-867X

Publisher :

Stata Press, College Station, United States - Texas

Volume :

21

Issue :

2

Pages :

462-497

Peer reviewed :

Peer Reviewed verified by ORBi

Focus Area :

Computational Sciences

Available on ORBilu :

since 06 December 2020

Statistics

Number of views

404 (9 by Unilu)

Number of downloads

3857 (21 by Unilu)

More statistics

Scopus citations^®

10

Scopus citations^®
without self-citations

10

OpenCitations

4

OpenAlex citations

11

WoS citations^™

8

Bibliography

Abarbanell J., Park H., 2017. Do bright-line earnings surprises really affect stock price reactions? Management Science 63: 1063–1084. https://doi.org/10.1287/mnsc.2015.2376.
Abrahamson M., Jenkinson T., Jones H., 2011. Why don’t U.S. issuers demand European fees for IPOs? Journal of Finance 66: 2055–2082. https://doi.org/10.1111/j.1540-6261.2011.01699.x.
Agarwal S., Chen V. Y. S., Zhang W., 2016. The information value of credit rating action reports: A textual analysis. Management Science 62: 2218–2240. https://doi.org/10.1287/mnsc.2015.2243.
Agarwal V., Jiang W., Tang Y., Yang B., 2013. Uncovering hedge fund skill from the portfolio holdings they hide. Journal of Finance 68: 739–783. https://doi.org/10.1111/jofi.12012.
Aggarwal R., Saffi P. A. C., Sturgess J., 2015. The role of institutional investors in voting: Evidence from the securities lending market. Journal of Finance 70: 2309–2346. https://doi.org/10.1111/jofi.12284.
Agrawal J., Kamakura W. A., 1995. The economic worth of celebrity endorsers: An event study analysis. Journal of Marketing 59: 56–62. https://doi.org/10.2307/1252119.
Ahern K. R., Harford J., 2014. The importance of industry links in merger waves. Journal of Finance 69: 527–576. https://doi.org/10.1111/jofi.12122.
Akbas F. 2016. The calm before the storm. Journal of Finance 71: 225–266. https://doi.org/10.1111/jofi.12377.
Albuquerque R., Schroth E., 2015. The value of control and the costs of illiquidity. Journal of Finance 70: 1405–1455. https://doi.org/10.1111/jofi.12207.
Allee K. D., DeAngelis M. D., 2015. The structure of voluntary disclosure narratives: Evidence from tone dispersion. Journal of Accounting Research 53: 241–274. https://doi.org/10.1111/1475-679X.12072.
Ammann M., Horsch P., Oesch D., 2016. Competing with superstars. Management Science 62: 2842–2858. https://doi.org/10.1287/mnsc.2015.2266.
Anderson R. C., Reeb D. M., Zhao W., 2012. Family-controlled firms and informed trading: Evidence from short sales. Journal of Finance 67: 351–385. https://doi.org/10.1111/j.1540-6261.2011.01714.x.
Anderson R. W., Bustamante M. C., Guibaud S., Zervos M., 2018. Agency, firm growth, and managerial turnover. Journal of Finance 73: 419–464. https://doi.org/10.1111/jofi.12583.
Arikan A. M., Stulz R. M., 2016. Corporate acquisitions, diversification, and the firm’s life cycle. Journal of Finance 71: 139–194. https://doi.org/10.1111/jofi.12362.
Ashbaugh-Skaife H., Collins D. W., Kinney W. R., Jr. LaFond R., 2009. The effect of SOX internal control deficiencies on firm risk and cost of equity. Journal of Accounting Research 47: 1–43. https://doi.org/10.1111/j.1475-679X.2008.00315.x.
Asquith P., Mullins D. W., 1983. The impact of initiating dividend payments on shareholders’ wealth. Journal of Business 56: 77–96. https://doi.org/10.1086/296187.
Babenko I., 2009. Share repurchases and pay-performance sensitivity of employee compensation contracts. Journal of Finance 64: 117–150. https://doi.org/10.1111/j.1540-6261.2008.01430.x.
Badoer D. C., James C. M., 2016. The determinants of long-term corporate debt issuances. Journal of Finance 71: 457–492. https://doi.org/10.1111/jofi.12264.
Ball R., Brown P., 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6: 159–178. https://doi.org/10.2307/2490232.
Barber B. M., Lyon J. D., 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics 43: 341–372. https://doi.org/10.1016/S0304-405X(96)00890-2.
Becher D. A., Cohn J. B., Juergens J. L., 2015. Do stock analysts influence merger completion? An examination of postmerger announcement recommendations. Management Science 61: 2430–2448. https://doi.org/10.1287/mnsc.2014.2065.
Berkman H., Koch P. D., Westerholm P. J., 2014. Informed trading through the accounts of children. Journal of Finance 69: 363–404. https://doi.org/10.1111/jofi.12043.
Berkman H., Truong C., 2009. Event day 0? After-hours earnings announcements. Journal of Accounting Research 47: 71–103. https://doi.org/10.1111/j.1475-679X.2008.00312.x.
Bernhardt D., Wan C., Xiao Z., 2016. The reluctant analyst. Journal of Accounting Research 54: 987–1040. https://doi.org/10.1111/1475-679X.12120.
Betton S., Eckbo B. E., Thompson R., Thorburn K. S., 2014. Merger negotiations with stock market feedback. Journal of Finance 69: 1705–1745. https://doi.org/10.1111/jofi.12151.
Bhagat S., Romano R., 2002a. Event studies and the law: Part I: Technique and corporate litigation. American Law and Economics Review 4: 141–168. https://doi.org/10.1093/aler/4.1.141.
Bhagat S., Romano R., 2002b. Event studies and the law: Part II: Empirical studies of corporate law. American Law and Economics Review 4: 380–423. https://doi.org/10.1093/aler/4.2.380.
Bhojraj S., Hribar P., Picconi M., McInnis J., 2009. Making sense of cents: An examination of firms that marginally miss or beat analyst forecasts. Journal of Finance 64: 2361–2388. https://doi.org/10.1111/j.1540-6261.2009.01503.x.
Blankespoor E., Hendricks B. E., Miller G. S., 2017. Perceptions and price: Evidence from CEO presentations at IPO roadshows. Journal of Accounting Research 55: 275–327. https://doi.org/10.1111/1475-679X.12164.
Boehmer E., Musumeci J., Poulsen A. B., 1991. Event-study methodology under conditions of event-induced variance. Journal of Financial Economics 30: 253–272. https://doi.org/10.1016/0304-405X(91)90032-F.
Bowen R. M., Castanias R. P., Daley L. A., 1983. Intra-industry effects of the accident at Three Mile Island. Journal of Financial and Quantitative Analysis 18: 87–111. https://doi.org/10.2307/2330806.
Bradley D., Gokkaya S., Liu X., 2017. Before an analyst becomes an analyst: Does industry experience matter? Journal of Finance 72: 751–792. https://doi.org/10.1111/jofi.12466.
Brennan M. J., Huh S.-W., Subrahmanyam A., 2016. Asymmetric effects of informed trading on the cost of equity capital. Management Science 62: 2460–2480. https://doi.org/10.1287/mnsc.2015.2250.
Brown S. J., Warner J. B., 1980. Measuring security price performance. Journal of Financial Economics 8: 205–258. http://dx.doi.org/10.1016/0304-405X(80)90002-1.
Brown S. J., Warner J. B., 1985. Using daily stock returns: The case of event studies. Journal of Financial Economics 14: 3–31. https://doi.org/10.1016/0304-405X(85)90042-X.
Brown S. V., Tucker J. W., 2011. Large-sample evidence on firms’ year-over-year MD&A modifications. Journal of Accounting Research 49: 309–346. https://doi.org/10.1111/j.1475-679X.2010.00396.x.
Bruno V., Cornaggia J., Cornaggia K. J., 2016. Does regulatory certification affect the information content of credit ratings? Management Science 62: 1578–1597. https://doi.org/10.1287/mnsc.2015.2188.
Bushee B. J., Core J. E., Guay W., Hamm S. J., 2010. The role of the business press as an information intermediary. Journal of Accounting Research 48: 1–19. https://doi.org/10.1111/j.1475-679X.2009.00357.x.
Bushee B. J., Jung M. J., Miller G. S., 2011. Conference presentations and the disclosure milieu. Journal of Accounting Research 49: 1163–1192. https://doi.org/10.1111/j.1475-679X.2011.00426.x.
Bushman R. M., Williams C. D., Wittenberg-Moerman R., 2017. The informational role of the media in private lending. Journal of Accounting Research 55: 115–152. https://doi.org/10.1111/1475-679X.12131.
Call A. C., Martin G. S., Sharp N. Y., Wilde J. H., 2018. Whistleblowers and outcomes of financial misrepresentation enforcement actions. Journal of Accounting Research 56: 123–171. https://doi.org/10.1111/1475-679X.12177.
Cao S. S., Narayanamoorthy G. S., 2012. Earnings volatility, post–earnings announcement drift, and trading frictions. Journal of Accounting Research 50: 41–74. https://doi.org/10.1111/j.1475-679X.2011.00425.x.
Cao Y., Dhaliwal D., Li Z., Yang Y. G., 2015. Are all independent directors equally informed? Evidence based on their trading returns and social networks. Management Science 61: 795–813. https://doi.org/10.1287/mnsc.2013.1892.
Capron L., Pistre N., 2002. When do acquirers earn abnormal returns? Strategic Management Journal 23: 781–794. https://doi.org/10.1002/smj.262.
Cen L., Dasgupta S., Sen R., 2016. Discipline or disruption? Stakeholder relationships and the effect of takeover threat. Management Science 62: 2820–2841. https://doi.org/10.1287/mnsc.2015.2252.
Chang Y. Y., Dasgupta S., Hilary G., 2010. CEO ability, pay, and firm performance. Management Science 56: 1633–1652. https://doi.org/10.1287/mnsc.1100.1205.
Chava S., Huang K., Johnson S. A., 2018. The dynamics of borrower reputation following financial misreporting. Management Science 64: 4775–4797. https://doi.org/10.1287/mnsc.2017.2739.
Cheong F. S., Thomas J., 2018. Management of reported and forecast EPS, investor responses, and research implications. Management Science 64: 4277–4301. https://doi.org/10.1287/mnsc.2017.2832.
Chhaochharia V., Grinstein Y., Grullon G., Michaely R., 2017. Product market competition and internal governance: Evidence from the Sarbanes—Oxley Act. Management Science 63: 1405–1424. https://doi.org/10.1287/mnsc.2015.2409.
Choudhary P., Rajgopal S., Venkatachalam M., 2009. Accelerated vesting of employee stock options in anticipation of FAS 123-R. Journal of Accounting Research 47: 105–146. https://doi.org/10.1111/j.1475-679X.2008.00316.x.
Christensen H. B., Lee E., Walker M., 2009. Do IFRS reconciliations convey information? The effect of debt contracting. Journal of Accounting Research 47: 1167–1199. https://doi.org/10.1111/j.1475-679X.2009.00345.x.
Cohen L., Schmidt B., 2009. Attracting flows by attracting big clients. Journal of Finance 64: 2125–2151. https://doi.org/10.1111/j.1540-6261.2009.01496.x.
Cohn J. B., Gillan S. L., Hartzell J. C., 2016. On enhancing shareholder control: A (Dodd-) frank assessment of proxy access. Journal of Finance 71: 1623–1668. https://doi.org/10.1111/jofi.12402.
Collin-Dufresne P., Fos V., 2015. Do prices reveal the presence of informed trading? Journal of Finance 70: 1555–1582. https://doi.org/10.1111/jofi.12260.
Collins D. W., Kothari S. P., 1989. An analysis of the intertemporal and crosssectional determinants of earnings response coefficients. Journal of Accounting and Economics 11: 143–181. http://dx.doi.org/10.1016/0165-4101(89)90004-9.
Corrado C., 1989. A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics 23: 385–395. https://doi.org/10.1016/0304-405X(89)90064-0.
Corrado C. J., 2011. Event studies: A methodology review. Accounting & Finance 51: 207–234. https://doi.org/10.1111/j.1467-629X.2010.00375.x.
Corrado C. J., Zivney T. L., 1992. The specification and power of the sign test in event study hypothesis tests using daily stock returns. Journal of Financial and Quantitative Analysis 27: 465–478. https://doi.org/10.2307/2331331.
Cowan A. R., 1992. Nonparametric event study tests. Review of Quantitative Finance and Accounting 2: 343–358. https://doi.org/10.1007/BF00939016.
Crane A. D., Koch A., 2018. Shareholder litigation and ownership structure: Evidence from a natural experiment. Management Science 64: 5–23. https://doi.org/10.1287/mnsc.2016.2561.
Crawford S., Gray W., Johnson B. R., Price R. A., 2018. What motivates buy-side analysts to share recommendations online? Management Science 64: 2574–2589. https://doi.org/10.1287/mnsc.2017.2749.
Cready W., Kumas A., Subasi M., 2014. Are trade size-based inferences about traders reliable? Evidence from institutional earnings-related trading. Journal of Accounting Research 52: 877–909. https://doi.org/10.1111/1475-679X.12056.
Cready W. M., Gurun U. G., 2010. Aggregate market reaction to earnings announcements. Journal of Accounting Research 48: 289–334. https://doi.org/10.1111/j.1475-679X.2010.00368.x.
Cuñat V., Gine M., Guadalupe M., 2012. The vote is cast: The effect of corporate governance on shareholder value. Journal of Finance 67: 1943–1977. https://doi.org/10.1111/j.1540-6261.2012.01776.x.
Da Z., Engelberg J., Gao P., 2011. In search of attention. Journal of Finance 66: 1461–1499. https://doi.org/10.1111/j.1540-6261.2011.01679.x.
Daniel K., Grinblatt M., Titman S., Wermers R., 1997. Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance 52: 1035–1058. https://doi.org/10.1111/j.1540-6261.1997.tb02724.x.
de Bodt E., Cousin J.-G., Roll R., 2018. Full-stock-payment marginalization in merger and acquisition transactions. Management Science 64: 760–783. https://doi.org/10.1287/mnsc.2016.2635.
De Franco G., Vasvari F. P., Wittenberg-Moerman R., 2009. The informational role of bond analysts. Journal of Accounting Research 47: 1201–1248. https://doi.org/10.1111/j.1475-679X.2009.00348.x.
DeHaan E., Madsen J., Piotroski J. D., 2017. Do weather-induced moods affect the processing of earnings news? Journal of Accounting Research 55: 509–550. https://doi.org/10.1111/1475-679X.12160.
Dellavigna S., Pollet J. M., 2009. Investor inattention and Friday earnings announcements. Journal of Finance 64: 709–749. https://doi.org/10.1111/j.1540-6261.2009.01447.x.
Demerjian P., Lev B., McVay S., 2012. Quantifying managerial ability: A new measure and validity tests. Management Science 58: 1229–1248. https://doi.org/10.1287/mnsc.1110.1487.
Dimitrov V., Jain P. C., 2011. It’s showtime: Do managers report better news before annual shareholder meetings? Journal of Accounting Research 49: 1193–1221. https://doi.org/10.1111/j.1475-679X.2011.00419.x.
Doidge C., Dyck A., 2015. Taxes and corporate policies: Evidence from a quasi natural experiment. Journal of Finance 70: 45–89. https://doi.org/10.1111/jofi.12101.
Doidge C., Karolyi G. A., Stulz R. M., 2010. Why do foreign firms leave U.S. equity markets? Journal of Finance 65: 1507–1553. https://doi.org/10.1111/j.1540-6261.2010.01577.x.
Donelson D. C., Hopkins J. J., 2016. Large market declines and securities litigation: Implications for disclosing adverse earnings news. Management Science 62: 3183–3198. https://doi.org/10.1287/mnsc.2015.2306.
Døskeland T. M., Hvide H. K., 2011. Do individual investors have asymmetric information based on work experience? Journal of Finance 66: 1011–1041. https://doi.org/10.1111/j.1540-6261.2011.01658.x.
Doyle J. T., Magilke M. J., 2013. Decision usefulness and accelerated filing deadlines. Journal of Accounting Research 51: 549–581.
Drake M. S., Roulstone D. T., Thornock J. R., 2012. Investor information demand: Evidence from Google searches around earnings announcements. Journal of Accounting Research 50: 1001–1040. https://doi.org/10.1111/j.1475-679X.2012.00443.x.
Durnev A., Mangen C., 2009. Corporate investments: Learning from restatements. Journal of Accounting Research 47: 679–720. https://doi.org/10.1111/j.1475-679X.2009.00332.x.
Dyck A., Morse A., Zingales L., 2010. Who blows the whistle on corporate fraud? Journal of Finance 65: 2213–2253. https://doi.org/10.1111/j.1540-6261.2010.01614.x.
Dyreng S. D., Hoopes J. L., Wilde J. H., 2016. Public pressure and corporate tax behavior. Journal of Accounting Research 54: 147–186. https://doi.org/10.1111/1475-679X.12101.
Edmans A., Goldstein I., Jiang W., 2012. The real effects of financial markets: The impact of prices on takeovers. Journal of Finance 67: 933–971. https://doi.org/10.1111/j.1540-6261.2012.01738.x.
Engelberg J., Sasseville C., Williams J., 2012. Market madness? The case of mad money. Management Science 58: 351–364. https://doi.org/10.1287/mnsc.1100.1290.
Ertimur Y., Ferri F., Oesch D., 2013. Shareholder votes and proxy advisors: Evidence from say on pay. Journal of Accounting Research 51: 951–996. https://doi.org/10.1111/1475-679X.12024.
Falato A., Li D., Milbourn T., 2015. Which skills matter in the market for CEOs? Evidence from pay for CEO credentials. Management Science 61: 2845–2869. https://doi.org/10.1287/mnsc.2014.2024.
Fama E. F., Fisher L., Jensen M. C., Roll R., 1969. The adjustment of stock prices to new information. International Economic Review 10: 1–21.
Fama E. F., French K. R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3–56. https://doi.org/10.1016/0304-405X(93)90023-5.
Fama E. F, French K. R., 2015. A five-factor asset pricing model. Journal of Financial Economics 116: 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010.
Fang V. W., Huang A. H., Karpoff J. M., 2016. Short selling and earnings management: A controlled experiment. Journal of Finance 71: 1251–1294. https://doi.org/10.1111/jofi.12369.
Fang V. W., Huang A. H., Wang W., 2017. Imperfect accounting and reporting bias. Journal of Accounting Research 55: 919–962. https://doi.org/10.1111/1475-679X.12170.
Fernando C. S., May A. D., Megginson W. L., 2012. The value of investment banking relationships: Evidence from the collapse of Lehman Brothers. Journal of Finance 235–270. https://doi.org/10.1111/j.1540-6261.2011.01711.x.
Firth M., Lin C., Liu P., Xuan Y., 2013. The client is king: Do mutual fund relationships bias analyst recommendations? Journal of Accounting Research 51: 165–200. https://doi.org/10.1111/j.1475-679X.2012.00469.x.
Flammer C., 2015. Does corporate social responsibility lead to superior financial performance? A regression discontinuity approach. Management Science 61: 2549–2568. https://doi.org/10.1287/mnsc.2014.2038.
Fosfuri A., Giarratana M. S., 2009. Masters of war: Rivals’ product innovation and new advertising in mature product markets. Management Science 55: 181–191. https://doi.org/10.1287/mnsc.1080.0939.
Fracassi C., Tate G., 2012. External networking and internal firm governance. Journal of Finance 67: 153–194. https://doi.org/10.1111/j.1540-6261.2011.01706.x.
Franco F., Ittner C. D., Urcan O., 2017. Determinants and trading performance of equity deferrals by corporate outside directors. Management Science 63: 114–138. https://doi.org/10.1287/mnsc.2015.2332.
Fu F., Huang S., 2016. The persistence of long-run abnormal returns following stock repurchases and offerings. Management Science 62: 964–984. https://doi.org/10.1287/mnsc.2015.2150.
Fung S. Y. K., Gul F. A., Radhakrishnan S., 2014. Investment banks’ entry into new IPO markets and IPO underpricing. Management Science 60: 1297–1316. https://doi.org/10.1287/mnsc.2013.1817.
Gande A., Saunders A., 2012. Are banks still special when there is a secondary market for loans? Journal of Finance 67(5): 1649–1684. https://doi.org/10.1111/j.1540-6261.2012.01769.x.
Garfinkel J. A., 2009. Measuring investors’ opinion divergence. Journal of Accounting Research 47: 1317–1348. https://doi.org/10.1111/j.1475-679X.2009.00344.x.
Giannetti M., Liao G., Yu X., 2015. The brain gain of corporate boards: Evidence from China. Journal of Finance 70: 1629–1682. https://doi.org/10.1111/jofi.12198.
Gilje E. P., Taillard J. P., 2016. Do private firms invest differently than public firms? Taking cues from the natural gas industry. Journal of Finance 71: 1733–1778. https://doi.org/10.1111/jofi.12417.
Gillan S. L., Hartzell J. C., Parrino R., 2009. Explicit versus implicit contracts: Evidence from CEO employment agreements. Journal of Finance 64: 1629–1655. https://doi.org/10.1111/j.1540-6261.2009.01475.x.
Goldman E. M., Huang P. P., 2015. Contractual vs. actual separation pay following CEO turnover. Management Science 61: 1108–1120. https://doi.org/10.1287/mnsc.2014.1988.
Golubov A., Petmezas D., Travlos N. G., 2012. When it pays to pay your investment banker: New evidence on the role of financial advisors in M&As. Journal of Finance 67: 271–311. https://doi.org/10.1111/j.1540-6261.2011.01712.x.
Gorton G., Kahl M., Rosen R. J., 2009. Eat or be eaten: A theory of mergers and firm size. Journal of Finance 64: 1291–1344. https://doi.org/10.1111/j.1540-6261.2009.01465.x.
Green T. C., Hwang B.-H., 2012. Initial public offerings as lotteries: Skewness preference and first-day returns. Management Science 58: 432–444. https://doi.org/10.1287/mnsc.1110.1431.
Gurun U. G., Johnston R., Markov S., 2016. Sell-side debt analysts and debt market efficiency. Management Science 62: 682–703. https://doi.org/10.1287/mnsc.2014.2145.
Hail L., Tahoun A., Wang C., 2014. Dividend payouts and information shocks. Journal of Accounting Research 52: 403–456. https://doi.org/10.1111/1475-679X.12040.
Halpern P., 1983. Corporate acquisitions: A theory of special cases? A review of event studies applied to acquisitions. Journal of Finance 38: 297–317. https://doi.org/10.2307/2327962.
Hartzmark S. M., Shue K., 2018. A tough act to follow: Contrast effects in financial markets. Journal of Finance 73(4): 1567–1613. https://doi.org/10.1111/jofi.12685.
Hendershott T., Madhavan A., 2015. Click or call? Auction versus search in the over-the-counter market. Journal of Finance 70: 419–447. https://doi.org/10.1111/jofi.12164.
Henry T. R., Koski J. L., 2017. Ex-dividend profitability and institutional trading skill. Journal of Finance 72: 461–494. https://doi.org/10.1111/jofi.12472.
Hilary G., Hsu C., Wang R., 2014. Management forecast consistency. Journal of Accounting Research 52: 163–191. https://doi.org/10.1111/1475-679X.12033.
Hill J., Schneeweis T., 1983. The effect of Three Mile Island on electric utility stock prices: A note. Journal of Finance 38: 1285–1292. https://doi.org/10.1111/j.1540-6261.1983.tb02297.x.
Hirshleifer D., Lim S. S., Teoh S. H., 2009. Driven to distraction: Extraneous events and underreaction to earnings news. Journal of Finance 64: 2289–2325. https://doi.org/10.1111/j.1540-6261.2009.01501.x.
Hobson J. L., Mayew W. J., Venkatachalam M., 2012. Analyzing speech to detect financial misreporting. Journal of Accounting Research 50: 349–392. https://doi.org/10.1111/j.1475-679X.2011.00433.x.
Hsu H.-C., Reed A. V., Rocholl J., 2010. The new game in town: Competitive effects of IPOs. Journal of Finance 65: 495–528. https://doi.org/10.1111/j.1540-6261.2009.01542.x.
Huang A. H., Lehavy R., Zang A. Y., Zheng R., 2018. Analyst information discovery and interpretation roles: A topic modeling approach. Management Science 64: 2833–2855. https://doi.org/10.1287/mnsc.2017.2751.
Huang S., Hilary G., 2018. Zombie board: Board tenure and firm performance. Journal of Accounting Research 56: 1285–1329. https://doi.org/10.1111/1475-679X.12209.
Hui K. W., Yeung P. E., 2013. Underreaction to industry-wide earnings and the post-forecast revision drift. Journal of Accounting Research 51: 701–737. https://doi.org/10.1111/1475-679X.12006.
Hutton I., Jiang D., Kumar A., 2015. Political values, culture, and corporate litigation. Management Science 61: 2905–2925. https://doi.org/10.1287/mnsc.2014.2106.
Ibbotson R. G., 1975. Price performance of common stock new issues. Journal of Financial Economics 2: 235–272. https://doi.org/10.1016/0304-405X(75)90015-X.
Iliev P., 2010. The effect of SOX Section 404: Costs, earnings quality, and stock prices. Journal of Finance 65: 1163–1196. https://doi.org/10.1111/j.1540-6261.2010.01564.x.
Jagolinzer A. D., 2009. SEC Rule 10b5-1 and insiders’ strategic trade. Management Science 55: 224–239. https://doi.org/10.1287/mnsc.1080.0928.
Jagolinzer A. D., Larcker D. F., Taylor D. J., 2011. Corporate governance and the information content of insider trades. Journal of Accounting Research 49: 1249–1274. https://doi.org/10.1111/j.1475-679X.2011.00424.x.
Jame R., Johnston R., Markov S., Wolfe M. C., 2016. The value of crowdsourced earnings forecasts. Journal of Accounting Research 54: 1077–1110. https://doi.org/10.1111/1475-679X.12121.
Jenter D., Lewellen K., 2015. CEO preferences and acquisitions. Journal of Finance 70: 2813–2852. https://doi.org/10.1111/jofi.12283.
Jenter D., Lewellen K., Warner J. B., 2011. Security issue timing: What do managers know, and when do they know it? Journal of Finance 66: 413–443. https://doi.org/10.1111/j.1540-6261.2010.01638.x.
Jiang W., Li K., Wang W., 2012. Hedge funds and Chapter 11. Journal of Finance 67: 513–560. https://doi.org/10.1111/j.1540-6261.2012.01724.x.
Jiang W., Li T., Mei D., 2018. Influencing control: Jawboning in risk arbitrage. Journal of Finance 73: 2635–2675. https://doi.org/10.1111/jofi.12721.
Jin W., Livnat J., Zhang Y., 2012. Option prices leading equity prices: Do option traders have an information advantage? Journal of Accounting Research 50: 401–432. https://doi.org/10.1111/j.1475-679X.2012.00439.x.
Johnson T. L., So E. C., 2018. Asymmetric trading costs prior to earnings announcements: Implications for price discovery and returns. Journal of Accounting Research 56: 217–263. https://doi.org/10.1111/1475-679X.12189.
Jorion P., Zhang G., 2009. Credit contagion from counterparty risk. Journal of Finance 64: 2053–2087. https://doi.org/10.1111/j.1540-6261.2009.01494.x.
Kadyrzhanova D., Rhodes-Kropf M., 2011. Concentrating on governance. Journal of Finance 66: 1649–1685. https://doi.org/10.1111/j.1540-6261.2011.01684.x.
Kahl M., Shivdasani A., Wang Y., 2015. Short-term debt as bridge financing: Evidence from the commercial paper market. Journal of Finance 70: 211–255. https://doi.org/10.1111/jofi.12216.
Kalaignanam K., Kushwaha T., Steenkamp J.-B. E. M., Tuli K. R., 2013. The effect of CRM outsourcing on shareholder value: A contingency perspective. Management Science 59: 748–769. https://doi.org/10.1287/mnsc.1120.1565.
Kane A., Lee Y. K., Marcus A., 1984. Earnings and dividend announcements: Is there a corroboration effect? Journal of Finance 39: 1091–1099. https://doi.org/10.1111/j.1540-6261.1984.tb03894.x.
Kaniel R., Liu S., Saar G., Titman S., 2012. Individual investor trading and return patterns around earnings announcements. Journal of Finance 67: 639–680. https://doi.org/10.1111/j.1540-6261.2012.01727.x.
Karolyi G. A., Taboada A. G., 2015. Regulatory arbitrage and cross-border bank acquisitions. Journal of Finance 70: 2395–2450. https://doi.org/10.1111/jofi.12262.
Karolyi S. A., 2018. Personal lending relationships. Journal of Finance 73: 5–49. https://doi.org/10.1111/jofi.12589.
Karpoff J. M., Lou X., 2010. Short sellers and financial misconduct. Journal of Finance 65: 1879–1913. https://doi.org/10.1111/j.1540-6261.2010.01597.x.
Kaspereit T., 2015. eventstudy2: Stata module to perform event studies with complex test statistics. Statistical Software Components S458086, Department of Economics, Boston College. https://ideas.repec.org/c/boc/bocode/s458086.html.
Kecskés A., Michaely R., Womack K. L., 2017. Do earnings estimates add value to sell-side analysts’ investment recommendations? Management Science 63: 1855–1871. https://doi.org/10.1287/mnsc.2015.2385.
Keung E., Lin Z.-X., Shih M., 2010. Does the stock market see a zero or small positive earnings surprise as a red flag? Journal of Accounting Research 48: 105–136. https://doi.org/10.1111/j.1475-679X.2009.00354.x.
Kim Y., Song M., 2015. Management earnings forecasts and value of analyst forecast revisions. Management Science 61: 1663–1683. https://doi.org/10.1287/mnsc.2014.1920.
Klein A., Zur E., 2009. Entrepreneurial shareholder activism: Hedge funds and other private investors. Journal of Finance 64: 187–229. https://doi.org/10.1111/j.1540-6261.2008.01432.x.
Knittel C. R., Stango V., 2014. Celebrity endorsements, firm value, and reputation risk: Evidence from the Tiger Woods scandal. Management Science 60: 21–37. https://doi.org/10.1287/mnsc.2013.1749.
Koester A., Lundholm R., Soliman M., 2016. Attracting attention in a limited attention world: Exploring the causes and consequences of extreme positive earnings surprises. Management Science 62: 2871–2896. https://doi.org/10.1287/mnsc.2015.2286.
Kolari J. W., Pynnönen S., 2010. Event study testing with cross-sectional correlation of abnormal returns. Review of Financial Studies 23: 3996–4025. https://doi.org/10.1093/rfs/hhq072.
Kolari J. W, Pynnönen S., 2011. Nonparametric rank tests for event studies. Journal of Empirical Finance 18: 953–971. https://doi.org/10.1016/j.jempfin.2011.08.003.
Kolasinski A. C., Reed A. V., Ringgenberg M. C., 2013. A multiple lender approach to understanding supply and search in the equity lending market. Journal of Finance 68: 559–595. https://doi.org/10.1111/jofi.12007.
Kothari S., Warner J., 2007. The econometrics of event studies. In Handbook of Corporate Finance: Empirical Corporate Finance, ed. B. E. Eckbo. Vol. 1, chap. 1, 3–36. Amsterdam: Elsevier.
Kothari S. P., Shu S., Wysocki P. D., 2009. Do managers withhold bad news? Journal of Accounting Research 47: 241–276. https://doi.org/10.1111/j.1475-679X.2008.00318.x.
Krüger P., Landier A., Thesmar D., 2015. The WACC fallacy: The real effects of using a unique discount rate. Journal of Finance 70: 1253–1285. https://doi.org/10.1111/jofi.12250.
Kumar A., 2010. Self-selection and the forecasting abilities of female equity analysts. Journal of Accounting Research 48: 393–435. https://doi.org/10.1111/j.1475-679X.2009.00362.x.
Kutsuna K., Smith J. K., Smith R. L., 2009. Public information, IPO price formation, and long-run returns: Japanese evidence. Journal of Finance 64: 505–546. https://doi.org/10.1111/j.1540-6261.2008.01440.x.
Lamb R. P., 1998. An examination of market efficiency around hurricanes. Financial Review 33: 163–172. https://doi.org/10.1111/j.1540-6288.1998.tb01614.x.
Lee L. F., Hutton A. P., Shu S., 2015. The role of social media in the capital market: Evidence from consumer product recalls. Journal of Accounting Research 53: 367–404. https://doi.org/10.1111/1475-679X.12074.
Lee L. F., Lo A. K., 2016. Do opinions on financial misstatement firms affect analysts’ reputation with investors? Evidence from reputational spillovers. Journal of Accounting Research 54(4): 1111–1148. https://doi.org/10.1111/1475-679X.12119.
Lemmon M., Liu L. X., Mao M. Q., Nini G., 2014. Securitization and capital structure in nonfinancial firms: An empirical investigation. Journal of Finance 69: 1787–1825. https://dx.doi.org/10.2139/ssrn.1964647.
Leung E., Veenman D., 2018. Non-GAAP earnings disclosure in loss firms. Journal of Accounting Research 56: 1083–1137. https://doi.org/10.1111/1475-679X.12216.
Levi M., Li K., Zhang F., 2010. Deal or no deal: Hormones and the mergers and acquisitions game. Management Science 56(9): 1462–1483. https://doi.org/10.1287/mnsc.1100.1206.
Levi S., Zhang X.-J., 2015. Do temporary increases in information asymmetry affect the cost of equity? Management Science 61: 354–371. https://doi.org/10.1287/mnsc.2013.1887.
Li Y., Zhang L., 2015. Short selling pressure, stock price behavior, and management forecast precision: Evidence from a natural experiment. Journal of Accounting Research 53: 79–117. https://doi.org/10.1111/1475-679X.12068.
Loh R. K., Stulz R. M., 2018. Is sell-side research more valuable in bad times? Journal of Finance 73: 959–1013. https://doi.org/10.1111/jofi.12611.
Loughran T., Mcdonald B., 2011. When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. Journal of Finance 66: 35–65. https://doi.org/10.1111/j.1540-6261.2010.01625.x.
Loughran T., Mcdonald B., 2014. Measuring readability in financial disclosures. Journal of Finance 69: 1643–1671. https://doi.org/10.1111/jofi.12162.
Louis H., Sun A., 2010. Investor inattention and the market reaction to merger announcements. Management Science 56: 1781–1793. https://doi.org/10.1287/mnsc.1100.1212.
Louis H., Sun A. X., Urcan O., 2013. Do analysts sacrifice forecast accuracy for informativeness? Management Science 59: 1688–1708. https://doi.org/10.1287/mnsc.1120.1675.
Loureiro G., Taboada A. G., 2015. Do improvements in the information environment enhance insiders’ ability to learn from outsiders? Journal of Accounting Research 53: 863–905. https://doi.org/10.1111/1475-679X.12082.
Lui D., Markov S., Tamayo A., 2012. Equity analysts and the market’s assessment of risk. Journal of Accounting Research 50: 1287–1317. https://doi.org/10.1111/j.1475-679X.2012.00462.x.
Lyon J. D., Barber B. M., Tsai C.-L., 1999. Improved methods for tests of long-run abnormal stock returns. Journal of Finance 54: 165–201. https://doi.org/10.1111/0022-1082.00101.
MacKinlay A. C., 1997. Event studies in economics and finance. Journal of Economic Literature 35: 13–39.
Madsen J., 2017. Anticipated earnings announcements and the customer–supplier anomaly. Journal of Accounting Research 55: 709–741. https://doi.org/10.1111/1475-679X.12158.
Manchiraju H., Rajgopal S., 2017. Does corporate social responsibility (CSR) create shareholder value? Evidence from the Indian Companies Act 2013. Journal of Accounting Research 55: 1257–1300. https://doi.org/10.1111/1475-679X.12174.
Manconi A., Massa M., Zhang L., 2018. The informational role of corporate hedging. Management Science 64: 3843–3867. https://doi.org/10.1287/mnsc.2016.2717.
Martin X., Shalev R., 2017. Target firm-specific information and acquisition efficiency. Management Science 63: 672–690. https://doi.org/10.1287/mnsc.2015.2371.
Masulis R. W., Mobbs S., 2011. Are all inside directors the same? Evidence from the external directorship market. Journal of Finance 66: 823–872. https://doi.org/10.1111/j.1540-6261.2011.01653.x.
Masulis R. W., Wang C., Xie F., 2009. Agency problems at dual-class companies. Journal of Finance 64: 1697–1727. https://doi.org/10.1111/j.1540-6261.2009.01477.x.
Mayew W. J., Venkatachalam M., 2012. The power of voice: Managerial affective states and future firm performance. Journal of Finance 67: 1–43. https://doi.org/10.1111/j.1540-6261.2011.01705.x.
Maynes E., Rumsey J., 1993. Conducting event studies with thinly traded stocks. Journal of Banking & Finance 17: 145–157. https://doi.org/10.1016/0378-4266(93)90085-R.
McNally W. J., Shkilko A., Smith B. F., 2017. Do brokers of insiders tip other clients? Management Science 63: 317–332. https://doi.org/10.1287/mnsc.2015.2287.
Michels J., 2017. Disclosure versus recognition: Inferences from subsequent events. Journal of Accounting Research 55: 3–34. https://doi.org/10.1111/1475-679X.12128.
Milian J. A., 2015. Unsophisticated arbitrageurs and market efficiency: Overreacting to a history of underreaction? Journal of Accounting Research 53: 175–220. https://doi.org/10.1111/1475-679X.12070.
Nguyen B. D., Nielsen K. M., 2014. What death can tell: Are executives paid for their contributions to firm value? Management Science 60: 2994–3010. https://doi.org/10.1287/mnsc.2014.2011.
Oxley J. E., Sampson R. C., Silverman B. S., 2009. Arms race or détente? How interfirm alliance announcements change the stock market valuation of rivals. Management Science 55: 1321–1337. https://doi.org/10.1287/mnsc.1090.1022.
Pacicco F., Vena L., Venegoni A., 2018. Event study estimations using Stata: The estudy command. Stata Journal 18: 461–476. https://doi.org/10.1177/1536867X1801800211.
Pacicco F., Vena L., Venegoni A., 2019. estudy: Stata module to perform an event study. Statistical Software Components S458628, Department of Economics, Boston College. https://ideas.repec.org/c/boc/bocode/s458628.html.
Pacicco F., Vena L., Venegoni A., 2021. From common to firm-specific event dates: A new version of the estudy command. Stata Journal 21: 141–151. https://doi.org/10.1177/1536867X211000010.
Patell J. M., 1976. Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of Accounting Research 14: 246–276. https://doi.org/10.2307/2490543.
Peress J., 2010. Product market competition, insider trading, and stock market efficiency. Journal of Finance 65: 1–43. https://doi.org/10.1111/j.1540-6261.2009.01522.x.
Qian J., Zhu J. L., 2018. Return to invested capital and the performance of mergers and acquisitions. Management Science 64: 4818–4834. https://doi.org/10.1287/mnsc.2017.2766.
Rajamani A., van der Poel M., de Jong A., Ongena S., 2017. The international diversification of banks and the value of their cross-border M&A advice. Management Science 63: 2211–2232. https://doi.org/10.1287/mnsc.2015.2396.
Ransbotham S., Mitra S., 2010. Target age and the acquisition of innovation in high-technology industries. Management Science 56: 2076–2093. https://doi.org/10.1287/mnsc.1100.1223.
Robinson A. B., Tuli K. R., Kohli A. K., 2015. Does brand licensing increase a licensor’s shareholder value? Management Science 61: 1436–1455. https://doi.org/10.1287/mnsc.2014.1980.
Ryngaert M., Thomas S., 2012. Not all related party transactions (RPTs) are the same: Ex ante versus ex post RPTs. Journal of Accounting Research 50: 845–882. https://doi.org/10.1111/j.1475-679X.2012.00437.x.
Savor P., Wilson M., 2016. Earnings announcements and systematic risk. Journal of Finance 71: 83–138. https://doi.org/10.1111/jofi.12361.
Savor P. G., Lu Q., 2009. Do stock mergers create value for acquirers? Journal of Finance 64: 1061–1097. https://doi.org/10.1111/j.1540-6261.2009.01459.x.
Serfling M. 2016. Firing costs and capital structure decisions. Journal of Finance 71: 2239–2286. https://doi.org/10.1111/jofi.12403.
Servaes H., Tamayo A., 2014. How do industry peers respond to control threats? Management Science 60: 380–399. https://doi.org/10.1287/mnsc.2013.1773.
Seybert N., Yang H. I., 2012. The party’s over: The role of earnings guidance in resolving sentiment-driven overvaluation. Management Science 58: 308–319. https://doi.org/10.1287/mnsc.1110.1386.
Sheen A., 2014. The real product market impact of mergers. Journal of Finance 69: 2651–2688. https://doi.org/10.1111/jofi.12200.
Shenoy J., 2012. An examination of the efficiency, foreclosure, and collusion rationales for vertical takeovers. Management Science 58: 1482–1501. https://doi.org/10.1287/mnsc.1110.1498.
Shon J., Veliotis S., 2013. Insiders’ sales under rule 10b5-1 plans and meeting or beating earnings expectations. Management Science 59: 1988–2002. https://doi.org/10.1287/mnsc.1120.1669.
Shroff N., Sun A. X., White H. D., Zhang W., 2013. Voluntary disclosure and information asymmetry: Evidence from the 2005 securities offering reform. Journal of Accounting Research 51: 1299–1345. https://doi.org/10.1111/1475-679X.12022.
Silvers R., 2016. The valuation impact of SEC enforcement actions on nontarget foreign firms. Journal of Accounting Research 54: 187–234. https://doi.org/10.1111/1475-679X.12098.
Solomon D. H., 2012. Selective publicity and stock prices. Journal of Finance 67: 599–638. https://doi.org/10.1111/j.1540-6261.2012.01726.x.
Spiegel M., Tookes H., 2013. Dynamic competition, valuation, and merger activity. Journal of Finance 68: 125–172. https://doi.org/10.1111/j.1540-6261.2012.01796.x.
Teoh S. H., Wong T. J., 1993. Perceived auditor quality and the earnings response coefficient. Accounting Review 68: 346–366.
Thirumalai S., Sinha K. K., 2011. Product recalls in the medical device industry: An empirical exploration of the sources and financial consequences. Management Science 57: 376–392. https://doi.org/10.1287/mnsc.1100.1267.
von Lilienfeld-Toal U., Ruenzi S., 2014. CEO ownership, stock market performance, and managerial discretion. Journal of Finance 69: 1013–1050. https://doi.org/10.1111/jofi.12139.
Vyas D., 2011. The timeliness of accounting write-downs by U.S. financial institutions during the financial crisis of 2007–2008. Journal of Accounting Research 49: 823–860. https://doi.org/10.1111/j.1475-679X.2011.00410.x.
Wang C., 2014. Accounting standards harmonization and financial statement comparability: Evidence from transnational information transfer. Journal of Accounting Research 52: 955–992. https://doi.org/10.1111/1475-679X.12055.
Wang S., Welker M., 2011. Timing equity issuance in response to information asymmetry arising from IFRS adoption in Australia and Europe. Journal of Accounting Research 49: 257–307. https://doi.org/10.1111/j.1475-679X.2010.00392.x.
Wilcoxon F., 1945. Individual comparisons by ranking methods. Biometrics Bulletin 1: 80–83. https://doi.org/10.2307/3001968.
Williams J., 2013. Financial analysts and the false consensus effect. Journal of Accounting Research 51: 855–907. https://doi.org/10.1111/1475-679X.12016.
Zhang X., Li C., Xu X., 2013. eventstudy: Stata module to perform event studies in finance. Statistical Software Components S457615, Department of Economics, Boston College. https://econpapers.repec.org/software/bocbocode/s457615.htm.
Zhao X., 2017. Does information intensity matter for stock returns? Evidence from Form 8-K filings. Management Science 63: 1382–1404. https://doi.org/10.1287/mnsc.2015.2408.

Similar publications