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

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Author Info

  • Becchetti, Leonardo

    ()
    (University of Rome “Tor Vergata")

  • Ciciretti, Rocco

    ()
    (University of Rome “Tor Vergata")

Abstract

We 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 Info

Paper provided by Sustainable Investment Research Platform in its series Sustainable Investment and Corporate Governance Working Papers with number 2011/3.

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Length: 47 pages
Date of creation: 25 Aug 2011
Date of revision:
Handle: RePEc:hhb:sicgwp:2011_003

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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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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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