Using Event Studies to Evaluate Stock Market Return Performance
Keywords:
historical data, adjusted stock price, expected return, actual return, volatility
Abstract
This research used event study methodology to evaluate stock market return performance of three multinational companies using three historical events. The sample of the study consisted of daily historical stock data of the three multinational companies from Yahoo Finance, a month before and a month after the announcement of the November 7, 2000, November 4, 2008, and November 8, 2016 elections. The multinational companies in this study were Exxon Mobil, Toyota Motors, and Gazprom. A t-test was used to examine the significance of the means and stock returns of the three companies and the market index (S&P 500). Also, the Capital Asset Pricing Model (CAPM) was used to determine the abnormal stock return. This analysis was inconsistent with event announcements that state they do have an effect on the stock market returns. The finding showed there was both negative and positive abnormal return in all three historical events. Actual return fluctuates within a period prior and after announcements.
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2017-10-24
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