Scandinavian Working Papers in Business Administration
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 ()
Additional contact information
Leonardo Becchetti: University of Rome “Tor Vergata"
Rocco Ciciretti: University of Rome “Tor Vergata"
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
47 pages, August 25, 2011
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