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Blajer-Gołębiewska Anna (University of Gdansk, Poland)
Stock Exchanges Indices and Abnormal Returns in the Crisis Condition
Journal of International Studies, 2012, vol. 5, nr 2, s. 9-17, rys., tab., bibliogr. 10 poz.
Słowa kluczowe
Rynki finansowe, Decyzje inwestycyjne, Wycena aktywów, Kryzys finansowy
Financial markets, Investment decisions, Valuation of assets, Financial crisis
In the event study methodology it is recommended to use buy-and-hold abnormal return approach, based on reference portfolio or a stock exchange index, to estimate abnormal returns in the long-run. There is growing literature on the biased BHAR estimates problem, that can result from the common estimation procedures. However, in the crisis condition, application of appropriate reference portfolio seems to be crucial. The aim of this research is to identify the impact of application of different stock exchange indices, as reference portfolios, on results obtained in the BHAR methodology in the crisis condition. The common practice is to use indices based on a sector in which the analysed company is operating or indices based on the size classification. The main thesis is that the application of one of these reference indices, especially in the crisis condition leads to rates of return, which can be considerably different in the case of another reference index. For analysis purposes two representative sectors of the Warsaw Stock Exchange were chosen. The research covers real BHAR calculations and comparative analyses of obtained results from different points of view: states of economy, market sectors and sizes of companies. (original abstract)
Pełny tekst
  1. Barber, B. M., J. D. Lyon (1997), Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics, Journal of Financial Economics, Vol. 43, no. 3, pp. 341-372.
  2. Blajer-Gołębiewska A., Czerwonka L. (2012), Long-Run IPO Overpricing: Evidence from the Warsaw Stock Exchange, World Journal of Social Sciences, Vol. 2, no. 1, pp. 34-44.
  3. Canina, L., Michaely R., Thaler R., Womack K. (1998), Caveat compounder: A warning about using the daily CRSP equal-weighted index to compute long-run excess returns, Journal of Finance, Vol. 53, no. 1, pp. 403-416.
  4. Cowan, A. R., Sergeant A.M.A. (2001), Interacting Biases, Non-Normal Return Distributions and the Performance of Tests for Long-Horizon Event Studies, Journal of Banking & Finance, Vol. 25, no. 4, pp. 741-765.
  5. Poland, the exceptional East European?(2012),, referred on (10/09/2012).
  6. Mitchell M. L., Stafford E. (2000), Managerial Decisions and Long-Term Stock Price Performance, The Journal of Business, Vol. 73, no. 3, pp. 287-329.
  7. Rosen R.J. (2006), Merger Momentum and Investor Sentiment: The Stock Market Reaction to Merger Announcements, Journal of Business, Vol. 79, no. 2, pp. 987-1017.
  8. Shumway, T. (1997), The Delisting Bias in CRSP Data, Journal of Finance, Vol. 52, no. 1, pp. 327-40.
  9. Vismara S., Paleari S., Ritter J.R. (2012), Europe's Second Markets for Small Companies, European Financial Management, Vol. 18, no. 3, pp. 352-388.
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