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@PHDTHESIS{Felde:197566,
author = {Felde, Moritz-Alexander},
othercontributors = {Breuer, Wolfgang},
title = {{F}inancial market implications of firm operations in
countries designated as state sponsors of terrorism},
address = {Aachen},
publisher = {Publikationsserver der RWTH Aachen University},
reportid = {RWTH-CONV-143421},
pages = {IX, 186 S.},
year = {2012},
note = {Aachen, Techn. Hochsch., Diss., 2012},
abstract = {The first out of three papers assesses the short- and long
term financial impact of firm announcements to withdraw from
countries designated as State Sponsors of Terrorism. In an
event-study framework, announcement period abnormal returns
are analysed. Moreover, long-term return performance in the
period subsequent to the withdrawals is investigated.
Evidence indicates investors rewarded firms for withdrawing
from the designated countries. During the period prior to
announcement, sample firms experience a substantial,
statistically significant stock price increase. The positive
effect is more pronounced for US firms, for firms in the
bank and financial trading industry and for firms in the oil
and gas industry. In contrast, the long-term performance
analysis does not reveal return differences attributable to
terror-related considerations. During the long-term period
after withdrawal, a portfolio of withdrawing firms does not
display return differences to a portfolio of carefully
chosen control firms. The second paper analyses the
consequences of the U.S. Securities and Exchange
Commission’s (SEC) publication of an online tool for
detecting firms doing business in countries designated as
State Sponsors of Terrorism. Similar to the first paper,
short-term announcement period abnormal return reactions are
analysed before long-term performance is measured. Evidence
indicates investors punished firms for being mentioned in
the tool. In the period subsequent to the tool’s
publication, stock prices of mentioned firms decreased.
Furthermore, faint evidence consistent with the notion that
the portfolio of mentioned firms delivers abnormally
positive long-term returns is obtained. The third paper is
about ownership in such firms. As will become apparent,
pension and endowment funds are substantially less likely to
hold majority stakes in a firm if the firm has severe
business ties in a country designated as a State Sponsor of
Terrorism. For the reason that such investors shun firms
with operations in the designated countries, stocks of these
firms match the definition of neglected stocks in the sense
of Merton’s (1987) model. In this way, positive short-term
stock price reactions upon withdrawal and negative
short-term stock price reactions upon stigmatisation can be
reconciled by means of Merton’s (1987) theoretical
groundwork. Upon withdrawal, firms overcome neglect and
profit from increasing stock prices. By the same token,
firms receiving the terror-label due to them being mentioned
in the online tool are instantly neglected and suffer from a
decrease in stock prices.},
keywords = {Portfoliomanagement (SWD) / Anlageverhalten (SWD)},
cin = {812610},
ddc = {330},
cid = {$I:(DE-82)812610_20140620$},
shelfmark = {QK800-QK820},
typ = {PUB:(DE-HGF)11},
urn = {urn:nbn:de:hbz:82-opus-43377},
url = {https://publications.rwth-aachen.de/record/197566},
}
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