事件多空指数:理论与应用

IF 8.1 1区 经济学 Q1 ECONOMICS
R. Fisman, Eric Zitzewitz
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引用次数: 14

摘要

我们提出了一种基于股票市场的指标来捕捉关于事件对公司利润影响的初始信念,该指标可用于衡量初始预期是否随后实现。我们的“事件长短指数”是指在事件日期表现优于市场和表现不佳的公司的市值加权回报率的差异。我们使用事件后指数回报来衡量最初的信念是得到了强化还是减弱。我们将我们的方法应用于2016年美国总统大选和英国脱欧公投,以说明该指数及其解释,并对其进行验证,表明它在随后的政治和商业新闻之后如预期那样变化。(JEL D22,D72,D83,G14,L25)
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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)
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来源期刊
自引率
0.00%
发文量
27
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.
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