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Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers'Event

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  • Leonardo Becchetti
  • Rocco Ciciretti

    ()
    (Department of Economics University of Roma Tor Vergata
    SEFeMEQ Department, University of Roma Tor Vergata and EPRU, University of Leicester School of Management)

Abstract

We analyse with an event study approach the stock market reaction to Lehman Brothers' filing for chapter 11. Our inquiry on abnormal returns of about 2,700 stocks around the event date documents that RiskMetrics-KLD indexes capture factors affecting investors' reaction to the shock. We also find that investors rationally attribute more value to the information on each rating domain than to affiliation/non-affiliation to the FTSE KLD 400 Social Index. Investors seem to discover, after the event, that KLD ratings provide original information which is not captured by traditional financial rating indicators.

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Bibliographic Info

Article provided by GDE (Giornale degli Economisti e Annali di Economia), Bocconi University in its journal Giornale degli Economisti e Annali di Economia.

Volume (Year): 70 (2011)
Issue (Month): 2 (July)
Pages: 3-58

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Handle: RePEc:gde:journl:gde_v70_n2_p5-58

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Related research

Keywords: Global Financial Crisis; Event Study; Corporate Governance; Product Quality; Ratings.;

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Cited by:
  1. Becchetti, Leonardo & Ciciretti, Rocco & Giovannelli, Alessandro, 2013. "Corporate social responsibility and earnings forecasting unbiasedness," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3654-3668.
  2. Marco Nicolosi & Stefano Grassi & Elena Stanghellini, 2011. "How to measure Corporate Social Responsibility," Quaderni del Dipartimento di Economia, Finanza e Statistica 96/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.

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