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Getting high on cannabis stock returns an event study

Author

Listed:
  • Afik, Zvika
  • Cohen, Tehila R.
  • Lahav, Yaron

Abstract

We report the Israeli firms’ market value reaction to announcements on initiating Cannabis-related activity. Using Event Study analysis, we find a significant positive effect of the announcements: a cumulative average abnormal return of 64% in three days. Similar stock price reactions are observed for most firms individually, though some of these firms’ activity in Cannabis has been declarative only without any related business action.

Suggested Citation

  • Afik, Zvika & Cohen, Tehila R. & Lahav, Yaron, 2022. "Getting high on cannabis stock returns an event study," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002877
    DOI: 10.1016/j.frl.2021.102226
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    References listed on IDEAS

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    1. Michael J. Cooper & Orlin Dimitrov & P. Raghavendra Rau, 2001. "A Rose.com by Any Other Name," Journal of Finance, American Finance Association, vol. 56(6), pages 2371-2388, December.
    2. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    3. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
    4. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cannabis; Event-study; Market reaction; Firm value;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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