Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform
No 2011/3:
Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers' Event
Leonardo Becchetti ()
and Rocco Ciciretti ()
Abstract: We analyse with an event study approach the stock market
reaction to Lehman Brothers' ling for chapter 11. Our inquiry on abnormal
returns of about 2,700 stocks around the event date documents that
RiskMetrics-KLD corporate governance and product quality indexes capture
factors a ecting investors' reaction to the shock. We also nd that
investors rationally attribute more value to the information on each rating
domain than to affiliation/non-affiliation to the FTSE KLD 400 Social
Index. Investors seem to discover, after the event, that KLD ratings
provide original information which is not captured by traditional nancial
rating indicators.
Keywords: Global Financial Crisis; Event Study; Corporate Governance; Product Quality; Ratings; (follow links to similar papers)
47 pages, August 25, 2011
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