Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers' Event
AbstractWe analyse with an event study approach the stock market reaction to Lehman Brothers' ling for chapter 11. Our inquiry on abnormal returns of about 2,700 stocks around the event date documents that RiskMetrics-KLD corporate governance and product quality indexes capture factors a ecting investors' reaction to the shock. We also nd 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 nancial rating indicators.
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Bibliographic InfoPaper provided by Sustainable Investment Research Platform in its series Sustainable Investment and Corporate Governance Working Papers with number 2011/3.
Length: 47 pages
Date of creation: 25 Aug 2011
Date of revision:
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Postal: Economics of Corporate Sustainability Management, Department of Industrial Economics and Management, Royal Institute of Technology, SE-100 44 Stockholm, SWEDEN
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Global Financial Crisis; Event Study; Corporate Governance; Product Quality; Ratings;
Other versions of this item:
- Leonardo Becchetti & Rocco Ciciretti, 2011. "Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers'Event," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 70(2), pages 3-58, July.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G01 - Financial Economics - - General - - - Financial Crises
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- 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.
- Leonardo Becchetti & Rocco Ciciretti & Alessandro Giovannelli, 2012.
"Corporate Social Responsibility and Earnings Forecasting Unbiasedness,"
CEIS Research Paper
233, Tor Vergata University, CEIS, revised 08 Feb 2013.
- 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.
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