What drives the market value of firms in the Defense industry ?
This paper investigates the relative importance of different types of news in driving significant stock price changes of firms in the defense industry. We implement a systematic event study with a sample of the 58 largest publicly listed companies in the defense industry, over the time period 1995-2005. We first identify, for each firm, the statistically significant abnormal returns over the time period, and then we look for information releases likely to cause such stock price movements. We find that stock price movements in the defense industry are, in many ways, influenced by the same events as in other industries (key role of formal earnings announcements or analysts' recommendations) but this industry also has some specific features, in particular the influence of geopolitical events and the relevance and frequency of bids and contracts on stock prices.
|Date of creation:||Apr 2006|
|Publication status:||Published in Cahiers de la Maison des Sciences Economiques 2006.37 - ISSN 1624-0340. 2006|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00115655|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pritamani, Mahesh & Singal, Vijay, 2001. "Return predictability following large price changes and information releases," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 631-656, April.
- Sandrine Lardic & Valérie Mignon, 2002. "Étude d’événements sur données intraquotidiennes françaises : les réactions des actionnaires aux annonces," Revue d'Économie Financière, Programme National Persée, vol. 66(2), pages 335-340.
- de Jong, Frank & Kemna, Angelien & Kloek, Teun, 1992. "A contribution to event study methodology with an application to the Dutch stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 11-36, February.
- Karolyi, G. Andrew & Martell, Rodolfo, 2005. "Terrorism and the Stock Market," Working Paper Series 2005-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
- Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
- David M. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc.
- Chen, Andrew H. & Siems, Thomas F., 2004. "The effects of terrorism on global capital markets," European Journal of Political Economy, Elsevier, vol. 20(2), pages 349-366, June.
- Robert Savickas, 2003. "Event-Induced Volatility and Tests for Abnormal Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(2), pages 165-178.
- 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.
- Paul Ryan & Richard J. Taffler, 2004. "Are Economically Significant Stock Returns and Trading Volumes Driven by Firm-specific News Releases?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1-2), pages 49-82.
- Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- Brockett, Patrick L. & Chen, Hwei-Mei & Garven, James R., 1999. "A new stochastically flexible event methodology with application to Proposition 103," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 197-217, November.
- Asquith, Paul & Bruner, Robert F. & Mullins, David Jr., 1983. "The gains to bidding firms from merger," Journal of Financial Economics, Elsevier, vol. 11(1-4), pages 121-139, April. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-00115655. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.