European Journal of Accounting, Auditing and Finance Research (EJAAFR)

EA Journals

Event Study

The market reaction to COVID-19: European Evidence (Published)

The aim of this study is to examine the market reaction to COVID- 19 on European capital markets and its long-run performance. Using a dataset of 3,181 firms over the period 2019-2021 results show that the COVID-19 effect differs by region, country and sector. The average cumulative abnormal returns (CARs) for the European countries under investigation are -12.32%, with Austria (-19.24%), Germany (-16.31%) and Ireland (-16.63%) being the most affected countries from the pandemic over the 11-day window around the event. Sectors were affected differently, with Energy (-15.74%), as expected, being the most negatively affected in the short run. Regarding the long-term effects of the pandemic, evidence based on the 18-month buy and hold raw returns (BHR) shows increase of 41.6%, with the Utilities sector being the best performer in the Southeastern EU with BHR returns of 124.6%. Interestingly, our evidence suggests that larger, more profitable, more efficient firms with greater operating cash flow ability were those that yield the greatest long run market return performance after the pandemic.

Citation:  Loizides G.,  Charitou  M., and  Lois P. (2023) The market reaction to COVID-19: European Evidence, European Journal of Accounting, Auditing and Finance Research, Vol.11, No. 3, pp.27-53

Keywords: Covid-19 pandemic; returns performance; Europe; market reaction, Event Study

Volatility Change and Abnormal Return around Rating Announcement (Published)

In this paper we test the effects of rating announcements on systematic risk and abnormal return in Tunisian stocks from 1997 to 2010. We find effects on volatility, risk, and abnormal return around announcements dates indicating that rating agencies provide new information to the market. All types of rating announcements (upgrades/downgrades, reviews and outlook reports), whether positive or negative, have a significant impact on risk and stock price.

Keywords: Abnormal Returns, Event Study, Rating, Volatility

The Effect of Earnings Announcement on Share Price of Manufacturing Companies on the Ghana Stock Exchange (Published)

It has been well documented in developed Capital markets that stock prices react to earnings announcement. This research therefore investigated the effect earnings announcement on market price of manufacturing firms on the Ghana Stock Exchange. The event study methodology was adopted for this study because it examines the effect of information on stocks. With a 21 days window and a 60 day estimation period, the researchers used the Standardized Excess Return approach which corrected for most of the challenges associated with intercompany aggregation of stocks. Using the Single Index and Risk Adjusted Returns Model the study found out that earnings announcement had no effect on stock price and as such that the Ghana Stock Exchange is not efficient in the semi strong form.

Keywords: Abnormal Returns, Earnings, Efficient Market., Event Study

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