Exchange rate expectation, abnormal returns, and the COVID-19 pandemic.

This study analyzes the impact of the COVID-19 pandemic on exchange rates based on a comprehensive set of survey forecasts for more than 50 currency pairs. At the first stage, we assess whether the policy to manage the COVID-19 pandemic affects the expected path of exchange rates over the medium and long run. At the second stage, we adopt an event study analysis and identify the occurrences of abnormal returns on foreign exchange markets since the start of the COVID-19 pandemic. Our results suggest the presence of cumulated excess returns that are partly driven by macroeconomic fundamentals for major currencies. However, we find that policy responses to the COVID-19 pandemic have the strongest effect on cumulated excess returns, showing that foreign exchange markets take expected policy effects as an important determinant of future developments into account while expectations for minor currencies react stronger to response policies.

Earnings Quality Measures and Excess Returns.

This paper examines how commonly used earnings quality measures fulfill a key objective of financial reporting, i.e., improving decision usefulness for investors. We propose a stock-price-based measure for assessing the quality of earnings quality measures. We predict that firms with higher earnings quality will be less mispriced than other firms. Mispricing is measured by the difference of the mean absolute excess returns of portfolios formed on high and low values of a measure. We examine persistence, predictability, two measures of smoothness, abnormal accruals, accruals quality, earnings response coefficient and value relevance. For a large sample of US non-financial firms over the period 1988-2007, we show that all measures except for smoothness are negatively associated with absolute excess returns, suggesting that smoothness is generally a favorable attribute of earnings. Accruals measures generate the largest spread in absolute excess returns, followed by smoothness and market-based measures. These results lend support to the widespread use of accruals measures as overall measures of earnings quality in the literature.

How does China's stock market react to supply chain disruptions from COVID-19?

As a once-in-a-century global pandemic, COVID-19 severely hit the global economy and disrupted the worldwide supply chain. Based on 505 Chinese firms, we use the event study method to explore the effect of COVID-19 on the financial performance of firms. The findings show that COVID-19 has an immediate impact on Chinese firms. Hubei firms experience stronger effects than non-Hubei firms. Supply chain disruptions effects from COVID-19 are observed. Transportation industry is hit more severely than retail industry. Insurance companies experience a strong adverse effect. On the other hand, both medical and competitor firms experience significantly positive spillover effects.

Did COVID-19 tourism sector supports alleviate investor fear?

The COVID-19 pandemic presented a dynamic black-swan event to which governments implemented support programmes to reduce sectoral probability of default. This research analyses investor response to such assistance, designed to mitigate the effects of the pandemic upon international aviation and tourism. Investor confidence in such support schemes is estimated through short-term abnormal returns. Results indicate significant differential behaviour, with fiscal policy found to be a dominant and largely effective mechanism generating median abnormal returns of 2.17 %. Specific assistance programmes relating to COVID-19 loan facilities, and the provision of pandemic relief packages significantly alleviated short-term investor concerns with median abnormal returns estimated between 2.87 % and 3.89 % respectively. Our empirical results offer investors and policymakers an additional layer of information.

Employee satisfaction and stock returns during the COVID-19 Pandemic.

The COVID-19 Pandemic has had an unprecedented impact on how employees and employers operate. Employees, directly affected by workplace changes, may provide information regarding future efficiencies. As a result, crowdsourced employee satisfaction ( E S ) reviews mentioning the COVID-19 Pandemic may contain useful information regarding the future profitability of these firms. We utilize crowdsourced COVID-19 Pandemic specific E S obtained from Glassdoor.com to determine the impact on abnormal stock returns for public firms from March-December 2020. We find evidence that higher COVID-19 E S is related to higher abnormal stock returns. While non-COVID E S is found not to be related to abnormal stock returns.

The event study in international business research: Opportunities, challenges, and practical solutions.

The event study or event study method (ESM) is an empirical technique for capturing investors' reaction to an event affecting one or more publicly traded firms. The ESM has been little employed in international business (IB) research despite its frequency in accounting, economics, and finance; for example, only two percent of the empirical articles in JIBS over 1970-2019 include an event study. While this scarcity could indicate a lack of demand, we argue that the field of IB studies offers many interesting and important research opportunities for an event study. We believe that the challenges arise primarily from the supply side, because conducting an event study involves overcoming a variety of data and analytical hurdles. We examine these methodological challenges and offer practical solutions designed to encourage adoption of the ESM. An online appendix with coding and examples provides additional resources. Supplementary Information: The online version contains supplementary material available at 10.1057/s41267-022-00509-7.

L'étude d'événement ou la méthode d'étude d'événement (Event Study Method - ESM) est une technique empirique qui vise à refléter la réaction des investisseurs à un événement influençant une ou plusieurs entreprises cotées en bourse. Malgré sa fréquence dans la comptabilité, l'économie et la finance, l'ESM a été peu utilisée dans la recherche portée sur les affaires internationales (International Business - IB) ; A titre d'exemple, seuls deux pour cent des articles empiriques publiés dans la JIBS sur la période 1970­2019 incluent une étude d'événement. Bien que cette rareté puisse indiquer un manque de demande, nous argumentons que le domaine des IB offre de nombreuses opportunités de recherche intéressantes et importantes à une étude d'événement. Nous croyons que les défis proviennent principalement du côté de l'offre, car la réalisation d'une étude d'événement implique de surmonter une variété d'obstacles analytiques et de données. Nous examinons ces défis méthodologiques, et proposons des solutions pratiques conçues pour encourager l'adoption de l'ESM. Une annexe en ligne avec codage et exemples fournit des ressources supplémentaires.

El estudio de eventos o método de estudio de eventos (ESM por sus iniciales en inglés) es una técnica empírica para capturarar la reacción de los inversionistas a un evento que afecta a una o más empresas que cotizan en bolsa. El método de estudio de eventos ha sido poco empleado en la investigación de negocios internacionales (IB por las siglas en inglés) a pesar de su frecuencia en contabilidad, economía y finanzas; por ejemplo, sólo el dos por ciento de los artículos empíricos en JIBS durante 1970­2019 incluyen un estudio de eventos. Si bien esta escasez podría indicar una falta de demanda, sostenemos que el campo de los estudios de negocios internacionales ofrece muchas interesantes e importantes oportunidades de investigación para un estudio de eventos. Creemos que los retos surgen principalmente del lado de la oferta, debido a que llevar a cabo un estudio de eventos supone superar una variedad de datos y obstáculos analíticos. Examinamos estos retos metodológicos y ofrecemos soluciones prácticas diseñadas para fomentar la adopción del estudio de eventos. Un apéndice en línea con codificación y ejemplos ofrece recursos adicionales.

O estudo de eventos ou método de estudo de eventos (ESM) é uma técnica empírica para capturar a reação de investidores a um evento que afeta uma ou mais empresas de capital aberto. O ESM tem sido pouco empregado na pesquisa de negócios internacionais (IB), apesar da sua frequência em contabilidade, economia e finanças; por exemplo, apenas dois por cento dos artigos empíricos no JIBS entre 1970­2019 incluem um estudo de evento. Embora essa escassez possa indicar falta de demanda, argumentamos que o campo de estudos em IB oferece muitas oportunidades de pesquisa interessantes e importantes para um estudo de evento. Acreditamos que os desafios surjam principalmente do lado da oferta, já que a condução de um estudo de evento envolve superar uma variedade de dados e obstáculos analíticos. Examinamos esses desafios metodológicos e oferecemos soluções práticas destinadas a incentivar a adoção do ESM. Um apêndice online com códigos e exemplos fornece recursos adicionais.

Action for Action: Mad COVID-19, Falling Markets and Rising Volatility of SAARC Region.

The Southern Region has reported a large number of contagious pandemic outbreaks. These epidemics brought threats to human health and resulted in serious economic losses. The COVID-19 is a global virus and has weakened the global financial markets with significant effect on stock returns and market volatilities. The study obtained a dataset about the financial market structure of South Asian Association for Regional Cooperation (SAARC) Countries. The purpose of the study is to determine the effect of 2019-nCov on stock market performance of SAARC member states. The study considered indexes of the National Stock Exchanges of each country and applied an event study approach for estimating the impact of Mad COVID-19 on the stock returns and market volatilities with an event window of 25 days of severe pandemic hits. The CAR approach proved the declining effect of Mad COVID-19 on the stock returns of SAARC countries. Asymmetric GJR-GARCH Model estimated the changeable volatility and proved the increase in volatility with COVID-19 as a negative shock. SAARC Region significantly reacts to Mad COVID-19 with falling markets and rising volatility.

Dataset on political connections, Sharia, and abnormal returns surrounding M&A announcement in the Indonesian stock market.

This article presents a dataset on political connections, Sharia, and abnormal returns surrounding the M&A announcement of listed firms on Indonesia Stock Exchange (IDX) during the period 2010-2016. The dataset provides both short-run and long-run abnormal returns. Using an event study methodology, I calculate cumulative abnormal returns (CAR) as short-run abnormal returns and buy-and-hold abnormal returns (BHAR) as long-run abnormal returns. This dataset may be useful for researchers who study political connections, Sharia, and M&A performance. The data presented in this article are related to the research article entitled "Political connections, Sharia and M&A performance: Evidence from Indonesia" (Wahyono, 2021) [1].

The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market.

This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by CommonWealth magazine to classify the listed companies in Taiwan as CSR and non-CSR companies. The event study approach is applied to examine the change in the stock prices of CSR companies after the first COVID-19 outbreak in Taiwan. The empirical results indicate that the stock prices of all companies generated significantly negative abnormal returns and negative cumulative abnormal returns after the outbreak. Compared with all companies and with non-CSR companies, CSR companies were less affected by the outbreak; their stock prices were relatively resistant to the fall and they recovered faster. In addition, the cumulative impact of the COVID-19 on the stock prices of CSR companies is smaller than that of non-CSR companies on both short- and long-term bases. However, the stock price performance of non-CSR companies was not weaker than that of CSR companies during times when the impact of the pandemic was lower or during the price recovery phase.

A Research on the Crisis Spillover Effect of Food Safety Incidents on Competitive Firms: The Influence of Political Connections and Charitable Donations.

Taking the perspective of corporate social responsibility and institutional theory, this research establishes an innovative relationship between variables such as charitable donation, political connection and crisis spillover effect of firms through quantitative analysis using the event study method, regression analysis and the Heckman two-stage model. Taking 8 food safety incidents from 2011 to 2016 as research samples, this paper studies the impact of food safety incidents on the market value of both firms under crisis and their competitive firms, as well as the influence of political connection and charitable donation. Based on the current situation that the product crisis or reputation crisis of a firm will, inevitably, affect the market performance and value of its competitive firms in the same industry, this paper attempts to answer questions such as "what kind of firms are capable of minimizing this negative influence?" "will the political connection of competitive firms exert a positive or negative impact?" and "can actions taken before the crisis, such as charitable donation of competitive firms, help these firms in reducing the harm?" The conclusions are as follows: first, the occurrence of food safety incidents not only has a negative impact on the market value of the crisis firm, but also has a negative spillover effect on the competitive firm; second, charitable donations made by the competitive firm before the crisis demonstrates a positive competitive effect on the competitive firm, and the intensity of such charitable donations is positively correlated with this positive competitive effect; third, the political connection of the competitive firm has no significant impact on the crisis spillover effect. These findings provide enlightenment for the operation and management of firms in the food industry.

Dynamic network and own effects on abnormal returns: evidence from China's stock market.

This paper addresses the question of how to model the process of abnormal returns on individual stocks. It postulates a framework, where abnormal returns are generated by a process which features two autoregressive components, one stock-specific and one related to network effects. This process deviates from customary ones in that the parameters are specific to each stock/firm, that the autoregressive process is explicitly modelled instead of using cumulative abnormal returns over a pre-specified window, and that network effects are present. Abandoning either one of those deviations is rejected by data on Chinese stocks in 2018 and 2019, an episode which is significant for an abnormal stock-market returns analysis, as it was characterized by numerous tariff-setting events related to the "trade war" between the USA and China.

COVID-19 outbreak and sectoral performance of the Australian stock market: An event study analysis.

The outbreak of COVID-19 has weakened the economy of Australia and its capital market since early 2020. The overall stock market has declined. However, some sectors become highly vulnerable while others continue to perform well even in the crisis period. Given this new reality, we seek to investigate the initial volatility and the sectoral return. In this study, we analyse data for eight sectors such as, transportation, pharmaceuticals, healthcare, energy, food, real estate, telecommunications and technology of the Australian stock market. In doing so, we obtain data from Australian Securities Exchange (ASX) and analysed them based on 'Event Study' method. Here, we use the 10-days window for the event of official announcement of the COVID-19 outbreak in Australia on 27 February 2020. The findings of the study show that on the day of announcement, the indices for food, pharmaceuticals and healthcare exhibit impressive positive returns. Following the announcement, the telecommunications, pharmaceuticals and healthcare sectors exhibit good performance, while poor performance is demonstrated by the transportation industry. The findings are vital for investors, market participants, companies, private and public policymakers and governments to develop recovery action plans for vulnerable sectors and enable investors to regain their confidence to make better investment decisions.

COVID-19, government interventions and emerging capital markets performance.

In this study, we explore the impact of government intervention to contain the spread of COVID-19 in emerging countries on the performance of their leading stock indices. We retrieved data on the performance of 25 international capital market indices included in the MSCI Emerging Markets Index and data about the closures, economic, and health measures imposed in each country examined. Overall, our findings show that government restrictions are associated with negative market returns, possibly due to the anticipated adverse effect to the economy. The adverse effect is more evident when closures are imposed. The market response to economic stimulus is mild but varies depending on the type of intervention imposed, much as with the health measures. Public campaigns may raise public awareness about COVID-19, but they can also increase the public's fear of the pandemic, reflected in the negative response in capital markets. The results are essential for understanding the trends and fluctuations in emerging markets during this current crisis and for preparing for crises in the future.

The COVID-19 Outbreak and Affected Countries Stock Markets Response.

This paper evaluates the short-term impact of the coronavirus outbreak on 21 leading stock market indices in major affected countries including Japan, Korea, Singapore, the USA, Germany, Italy, and the UK etc. The consequences of infectious disease are considerable and have been directly affecting stock markets worldwide. Using an event study method, our results indicate that the stock markets in major affected countries and areas fell quickly after the virus outbreak. Countries in Asia experienced more negative abnormal returns as compared to other countries. Further panel fixed effect regressions also support the adverse effect of COVID-19 confirmed cases on stock indices abnormal returns through an effective channel by adding up investors' pessimistic sentiment on future returns and fears of uncertainties.

How important is social trust during the COVID-19 crisis period? Evidence from the Fed announcements.

During the COVID-19 crisis period, firms headquartered in high social trust US states perform better than their counterparts from the low social trust states. Stock returns over the crisis period are 3 to 4 percentage points higher, on average, if social trust increases by one standard deviation. The association is stronger for firms of more affected industries (COVID-19 industries). More specifically, a one standard deviation increase of social trust associates with a 6.45% increase of C A R if firms belong to the COVID-19 industries. Next, I analyze the stock market reactions to the Fed's announcements on March 23, 2020. The results show that firms headquartered in the high trust states benefit less from the announcements because these firms can access to other external financings cheaply. The average three-day announcement C A R and B H A R (FF 3-factor adjusted) are higher by 2.5% and 2.6% respectively if firms headquartered in low trust states.

Dataset on share issuance, abnormal returns and market timing in the Brazilian stock market.

This article presents a dataset to investigate the determinants of firms' decision for primary share issuance and the effects of market timing on primary share issues in the Brazilian stock market. The data refer to Brazilian nonfinancial firms that issued primary shares (IPOs and SEOs) in the 2004-2015 period. The data were gathered from the online bases of Economatica® and the São Paulo Securities, Commodities and Futures Exchange (BM&FBovespa). The final sample was composed of 123 firms and 165 primary share issues: 97 initial public offerings and 68 follow-on offerings. The dataset was developed to support a model that captures market timing behavior through cumulative abnormal returns and shows the effects of this behavior on the amount of proceeds raised. The dataset contains subsamples and different analysis time windows, processed and unprocessed data. Researchers can use the dataset for future research and comparisons with other markets and models. The related research article using part of the current dataset was published under the following title: "Effects of market timing on primary share issues in the Brazilian capital market" (Gomes et al.).