{"title":"事件多空指数:理论与应用","authors":"R. Fisman, Eric Zitzewitz","doi":"10.1257/aeri.20180399","DOIUrl":null,"url":null,"abstract":"We propose a stock market-based measure to capture initial beliefs about an event’s effect on firm profits, which may be used to measure whether initial expectations are subsequently realized. Our “Event Long-Short Index” is the difference in market-capitalization-weighted returns of firms that outperform versus underperform the market on the event date. We use post-event index returns to measure whether initial beliefs are reinforced or attenuated. We apply our approach to the 2016 US presidential election and Brexit referendum to illustrate the index and its interpretation and to validate it, showing that it moves as expected following subsequent political and business news. (JEL D22, D72, D83, G14, L25)","PeriodicalId":29954,"journal":{"name":"American Economic Review-Insights","volume":null,"pages":null},"PeriodicalIF":8.1000,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1257/aeri.20180399","citationCount":"14","resultStr":"{\"title\":\"An Event Long-Short Index: Theory and Applications\",\"authors\":\"R. Fisman, Eric Zitzewitz\",\"doi\":\"10.1257/aeri.20180399\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We propose a stock market-based measure to capture initial beliefs about an event’s effect on firm profits, which may be used to measure whether initial expectations are subsequently realized. Our “Event Long-Short Index” is the difference in market-capitalization-weighted returns of firms that outperform versus underperform the market on the event date. We use post-event index returns to measure whether initial beliefs are reinforced or attenuated. We apply our approach to the 2016 US presidential election and Brexit referendum to illustrate the index and its interpretation and to validate it, showing that it moves as expected following subsequent political and business news. (JEL D22, D72, D83, G14, L25)\",\"PeriodicalId\":29954,\"journal\":{\"name\":\"American Economic Review-Insights\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":8.1000,\"publicationDate\":\"2019-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1257/aeri.20180399\",\"citationCount\":\"14\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"American Economic Review-Insights\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1257/aeri.20180399\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"American Economic Review-Insights","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1257/aeri.20180399","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
An Event Long-Short Index: Theory and Applications
We propose a stock market-based measure to capture initial beliefs about an event’s effect on firm profits, which may be used to measure whether initial expectations are subsequently realized. Our “Event Long-Short Index” is the difference in market-capitalization-weighted returns of firms that outperform versus underperform the market on the event date. We use post-event index returns to measure whether initial beliefs are reinforced or attenuated. We apply our approach to the 2016 US presidential election and Brexit referendum to illustrate the index and its interpretation and to validate it, showing that it moves as expected following subsequent political and business news. (JEL D22, D72, D83, G14, L25)
期刊介绍:
The journal American Economic Review: Insights (AER: Insights) is a publication that caters to a wide audience interested in economics. It shares the same standards of quality and significance as the American Economic Review (AER) but focuses specifically on papers that offer important insights communicated concisely. AER: Insights releases four issues annually, covering a diverse range of topics in economics.