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A guide to using event study methods in multi‐country settings

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  • Namgyoo K. Park

Abstract

While the event study method has made significant contributions to strategic management research, most event study research published in management journals has analyzed the financial implications of corporate announcements in a single country. This study discusses solutions to methodological challenges that emerge when applying the event study method to multiple countries. Specifically, this study develops the world market model, illustrating how to simultaneously assess the financial impact of strategic actions in multiple countries. These challenges and solutions are illustrated by an example of a multi‐country event study analyzing 241 international alliance announcements of 23 firms in 16 countries. The findings show that the use of the single country market model in a multi‐country event study is likely to overestimate changes in firm value, demonstrating the need for this world market model. Copyright © 2004 John Wiley & Sons, Ltd.

Suggested Citation

  • Namgyoo K. Park, 2004. "A guide to using event study methods in multi‐country settings," Strategic Management Journal, Wiley Blackwell, vol. 25(7), pages 655-668, July.
    • Handle: RePEc:bla:stratm:v:25:y:2004:i:7:p:655-668
    DOI: 10.1002/smj.399
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    Cited by:

    1. Assaf, Rima & Gupta, Deeksha & Kumar, Rahul, 2023. "The price of war: Effect of the Russia-Ukraine war on the global financial market," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    2. Kok Jun Tan & Mohd Edil Abd Sukor, 2023. "The Effects of Lockdown, Economic Stimulus Packages and National Recovery Plan Announcements on the Malaysian Stock Market," Capital Markets Review, Malaysian Finance Association, vol. 31(1), pages 73-84.
    3. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
    4. Hassan, M Kabir & Boubaker, Sabri & Kumari, Vineeta & Pandey, Dharen Kumar, 2022. "Border disputes and heterogeneous sectoral returns: An event study approach," Finance Research Letters, Elsevier, vol. 50(C).
    5. Monica Martinez-Blasco & Vanessa Serrano & Francesc Prior & Jordi Cuadros, 2023. "Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-34, December.
    6. Maneenop, Sakkakom & Kotcharin, Suntichai, 2020. "The impacts of COVID-19 on the global airline industry: An event study approach," Journal of Air Transport Management, Elsevier, vol. 89(C).
    7. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
    8. Matteo Foglia & Eliana Angelini, 2024. "A Riskmas Carol," Global Business Review, International Management Institute, vol. 25(2_suppl), pages 121-137, April.
    9. Vahidin Jeleskovic & Yinan Wan, 2024. "The impact of Facebook-Cambridge Analytica data scandal on the USA tech stock market: An event study based on clustering method," Papers 2402.14206, arXiv.org.
    10. repec:hig:wpaper:101sti2019 is not listed on IDEAS
    11. Jędrzej Białkowski & Anna Sławik, 2021. "Do investors respond to changes in the composition of sustainability indices?," Bank i Kredyt, Narodowy Bank Polski, vol. 52(4), pages 319-338.
    12. Veronika Vinogradova, 2018. "Value creation through external growth strategy: the architecture of successful performance," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 847-882, October.
    13. Lorraine Eden & Stewart R. Miller & Sarfraz Khan & Robert J. Weiner & Dan Li, 2022. "The event study in international business research: Opportunities, challenges, and practical solutions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 53(5), pages 803-817, July.
    14. Hartwell, Christopher A., 2022. "Populism and financial markets," Finance Research Letters, Elsevier, vol. 46(PB).
    15. Prasad, Mason & Bakry, Walid & Varua, Maria Estela, 2021. "Abnormal volatility in seasoned equity offerings during economic disruptions," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    16. Chortane, Sana Gaied & Pandey, Dharen Kumar, 2022. "Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    17. Tihana Škrinjarić, 2021. "Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets," Mathematics, MDPI, vol. 9(17), pages 1-20, August.
    18. Baojun Yu & Hangjun Xu & Feng Dong, 2019. "Vertical vs. Horizontal: How Strategic Alliance Type Influence Firm Performance?," Sustainability, MDPI, vol. 11(23), pages 1-14, November.
    19. Edeling, Alexander & Srinivasan, Shuba & Hanssens, Dominique M., 2021. "The marketing–finance interface: A new integrative review of metrics, methods, and findings and an agenda for future research," International Journal of Research in Marketing, Elsevier, vol. 38(4), pages 857-876.
    20. Restrepo-Ochoa, Diana Constanza & Peña, Juan Ignacio, 2020. "The impact of forced divestments on parent company stock prices: Buy on the rumor, sell on the news?," Research in International Business and Finance, Elsevier, vol. 53(C).
    21. Sander F. M. Beckers & Jenny Doorn & Peter C. Verhoef, 2018. "Good, better, engaged? The effect of company-initiated customer engagement behavior on shareholder value," Journal of the Academy of Marketing Science, Springer, vol. 46(3), pages 366-383, May.
    22. Chengguang Li & Oded Shenkar & William E. Newburry & Yinuo Tang, 2021. "How Country Reputation Differentials Influence Market Reaction to International Acquisitions," Journal of Management Studies, Wiley Blackwell, vol. 58(6), pages 1609-1639, September.

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