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This study aims to provide an objective analysis of the state-of-the-art and intellectual development of publications related to event study methodology in business research.

The sample includes 1,219 papers related to event study methodology, covering all business disciplines and spanning 34 years from 1983 to 2016.

Through three stages of primary analysis, namely, initial sample, citation and co-citation analyses, the authors identified the publication trends, supplementary techniques, influential publications and intellectual clusters in the area of event study methodology in business.

The findings serve as a benchmark for the extensive literature related to event study methodology in business and may facilitate the transference of the amassed useful techniques among disciplines and the identification of future research directions.

The current study represents as a pioneering effort to review event study-related publications using bibliometric analysis.

The purpose of this paper is to demonstrate with real data the enhanced statistical power of a GLS‐based event study methodology that requires the same input data as the traditional tests.

The paper uses full sample, subsample and simulated modified sample analyses to compare the statistical power of the GLS methodology with traditional methods.

The paper finds that it is often the case that traditional tests will not reject the null when a GLS‐based test may (strongly) reject the null. The power of the former is poor.

There are many published event studies where the null is not rejected. This may be because of the phenomenon being tested but it may also be because of the lack of power of traditional estimators. Hence, rerunning them with the authors' more powerful test is likely to reject some currently well‐accepted null hypotheses of no event effect, stimulating new research ideas. Moreover, as individual stocks have become more volatile, the additional power of the authors' methodology to detect abnormal performance for recent and future events becomes even more important.

There are more than 500 event studies in the top finance journals, which can broadly be split into two subgroups: contemporaneous shocks like changes in regulation and non‐contemporaneous events like mergers. GLS contemporaneous modeling of covariances in the former showed little efficiency gains. The paper's GLS modeling of variances for the latter demonstrates potentially huge effects. Practitioners should be skeptical of prior results accepting the null of no event effect and incorporate GLS to be confident of their future findings.

This study aims to find the response by stock market against the announcements of quarterly earnings is empirically tested by exploiting event study methodology. Efficient market hypothesis (EMH) on Saudi stock exchange is also tried on.

The market model is applied to help gauge the expected returns and to illustrate abnormal returns around the event date.

The results established that Saudi Stock Market does not bear semi-strong form of EMH. How efficient is the Saudi market is also reflected through evidence of significant abnormal returns and post-earnings announcement drift around earning announcements dates.

The authors have not used analysts’ forecast as the expected earnings which are the limitation. As mentioned earlier, the authors used the quarterly earnings of the previous year as a proxy and that proxy could have been replaced by analysts’ forecast. Another limitation is that the trading volume in the event window is not considered.

The behavior of Saudi capital market is of much concern, and the study of this with a perspective of EMH is the significance of this paper.

All stakeholders closely watch earnings announcements and its share price movement around the announcement date. Recently, Saudi Arabia has opened its doors to foreign investors, and big foreign investors are going to enter into Saudi capital market, and after their entry, the behavior of market could be different. In the authors’ opinion, this is the right time to study the efficiency of Saudi market before the entry of foreign investors.

This study is based on the gap created by EMH of Saudi market using event methodology, observed in the existing literature, and it will be a contribution to literature.

With a sample of 22 banks, this study examines the significance of the news contents about the privatization of two public sector banks in India. New information does impact the stock markets. This study provides evidence on how the privatization of public sector banks impacted the returns of the Indian banking sector.

This study employs the standard event study methodology with the market model for estimating the normal returns.

The statistical results indicate that while the private sector banks experienced positive average abnormal returns on the event day, the cumulative effect of the announcement is negatively significant for both private and public sector banks. The statistical results also provide evidence of information leakage, with significant results before the announcement date. The shorter event windows analysis exhibits significant positive returns in the 5-days [−2, +2] window for the private sector banks and the entire sample, signifying a positive short-term impact on the private sector banks.

The event study literature captures the impacts of many events. However, to the best of our knowledge, the impacts of the privatization of the Indian public sector banks have never been examined using the event study methodology. Hence, this study anticipates being the first-ever study to fill this gap and extend the available literature in finance. In addition, although we provide Indian evidence, future studies may be oriented to capture cross-country impacts.

With computer technology fast becoming the engine that drives productivity, IT systems have become more pervasive in the daily operations of many businesses. Large, as well as small, businesses in the USA now rely heavily on IT systems to function effectively and efficiently. However, past studies have shown CEOs do not always understand how reliant their business is on IT systems. To the authors’ knowledge, no research has not yet examined if financial markets understand how IT affects the performance of businesses. The paper aims to discuss these issues.

In this study, the authors utilize the event study method to examine how financial markets interpret weaknesses in businesses IT systems. The authors examine this in the context of the Sarbanes-Oxley Act – Section 404 requirements and utilize the internal reporting requirement in the annual financial statement filing with the Securities Exchange Commission as a proxy to evaluate how the financial markets interpret IT weaknesses.

Using an event study, the authors show that the market does not necessarily understand and respond to the effects of IT weaknesses on overall financial performance of firms and thus challenge the efficient market hypothesis theory.

A second contribution is methodological in nature. IS researchers thus far have been using limited market benchmarks, statistical tests, and event windows in their respective event studies of market performance. This study shows shortcomings of that approach and the necessity of expanding usage of available event analysis tools. The authors show that using more than one market benchmark and statistical test across multiple time frames uncovers the effects that using a single benchmark and test over a single window would have overlooked.

The aim of this paper is to examine the long‐term abnormal returns of firms that have experienced chief executive officer (CEO) succession. According to Chief Executive magazine, directors rank CEO succession as the second most important issue their firms face, the first being strategic planning.

This study examines 202 CEO succession announcements. It utilizes two returns‐generating models to calculate abnormal returns for two estimation windows of 200 trading days before and after the succession event.

The results support the theory first developed by Guest (1962) that succession is an adaptive event. Specifically, this study shows that firms that experience a CEO change have positive abnormal returns, suggesting that new CEOs raise the firm performance. Moreover, this study shows that firms that experience CEO change due to CEO retirement improve firm performance in the post‐succession period, whereas succession due to CEO sudden death or illness seems to have no direct effect on the long‐term performance of these firms. Finally, this study provides strong evidence that outside successions help firms raise performance more than inside successions.

Like any empirical event‐study, the validity of the results depends on the absence of confounding events. Future research could be to explore the relationship between the information content of the CEO succession announcement and the market reaction.

This paper is believed to be the first attempt to empirically examine the relation between CEO turnover and long‐term firm performance through the analysis of the successor's origin and of the force initiating the change, by using an event study methodology.

The present study aims to examine the short-term effect of disinvestment oriented IPOs and FPOs on the stock market performance of Indian central public sector enterprises (CPSEs), which divested their equity between 2000 and 2017.

The analysis of stock price reaction is conducted for listing dates only in the case of IPOs and three different dates in the case of FPOs through the event study methodology. The three-event dates related to FPOs are public notification date (PND), issue announcement date (IAD) and price band date (PBD).

Overall empirical analysis indicates that investor sentiments are generally insignificant prior to and posts the PND (first date). The second major date of announcement that is (IAD) is new information in the market and returns are found to be significantly negative across both the periods that is before and after IAD. Thus, the analysis depicts strongly negative investor sentiments in the case of IAD. These results are further substantiated by negatively significant CAR (cumulative abnormal returns) values for both the pre and post-event windows of PBD as well.

Empirical analysis concludes that investors do not stand a chance to gain abnormal returns through initiating positions in the stocks of CPSEs during the alternative event dates analyzed.

Since the year 2000, disinvestment through public offering has gathered momentum, and this mode accounts for approximately 62% of the collective disinvestment funds generated by the government of India till now. But there have been very limited research studies on the market performance of disinvested CPSEs. This analysis provides new empirical evidence for the market reactions of retail investors in response to the sale of equity by the Indian government in CPSEs.

The purpose of this paper is to provide insight to practitioners who wish to forecast market returns based on event occurrences.

Using 64 distinct events that reoccurred from 2007 to 2016 in six different nations of both developing and developed economies, this study used an event study methodology to test whether or not sentiment impacted market returns.

This study found that investor sentiment did impact market returns. Furthermore, events that were in developed economies or were negative impacted the market returns more than events that are in developing economies or positive. The study also provides important information on the speed of price adjustment to new information. The events selected include festive holidays, bombings, natural disasters and sports matches, among other events which had been found to alter mood. This paper also found no empirical difference between using the statistical mean and economic capital asset pricing models. However, the Wilcoxon rank test did provide more significant events than the more conservative Corrado rank test.

Most comprehensive investor sentiment impact on market returns paper using an event study methodology. The results have implications for those who wish to forecast market returns based on event occurrences.

This paper aims to examine the stock market reactions of firms and industries in Malaysia to the government’s COVID-19 movement control order (MCO) announcement. As China is Malaysia’s leading trading partner, the authors also observe if the Chinese Government’s confirmation of human-to-human coronavirus transmission affects firms’ stock market reactions. In addition, this study examines whether the Malaysian Government’s ease of restrictions on economic activities affects firms’ stock market reactions. Finally, this study analyses the effect of COVID-19 number of confirmed cases on firms’ abnormal returns.

This study uses an event study methodology to determine the abnormal returns between day −30 to day 30 of the announcements. In addition, this study uses the regression estimation to determine whether the COVID-19 number of confirmed cases explain the abnormal returns.

This study finds that investors react negatively to the announcement of the MCO and confirmation of the human-to-human transmission of coronavirus over the event windows. However, the cumulative average abnormal returns (CAARs) started to recover when stimulus packages were introduced, and the lockdown measures were eased, allowing businesses to reopen. This study also finds that only firms in the health-care sector reported significant positive CAARs. Stock returns of the utilities and telecommunication firms showed no changes, while eight other sectors fell remarkably. The results also show that the COVID-19 number of confirmed cases adversely affects firms’ abnormal returns.

This study suggests that stock prices incorporate bad and good news surrounding the announcements of major international and local events related to the COVID-19 pandemic. Thus, investors should consider such factors in making investment decisions.

To the best of the authors’ knowledge, this paper is one of the early research works investigating the stock market reactions to the COVID-19 major announcements (MCO, human-to-human transmission and ease of restrictions on economic activities) using an event study methodology in an emerging market, namely, Malaysia. This study is timely in light of the recently increasing calls for researchers to analyse the potential economic impacts of COVID-19 on global capital markets, especially in emerging markets whose evidence is scarce.

Today, information systems and technology provides a wide set of tools for companies to increase the efficiency of their businesses. Although technology offers many benefits to businesses, it also brings risks as the information systems security breaches. Security breaches and their financial impact is a constant concern of the researchers and practitioners. This paper explores information systems breaches and their financial impacts on the publicly traded companies in different sectors.

After a comprehensive data collection process, data from 192 events are analyzed by employing Event Study Methodology and a comparison of the results between the four highly affected sectors (Consumer Goods, Technology, Financial and Communications) is presented. The abnormal returns on the prices of stocks after the events are calculated with the Market Model. Also, the results of the Market Adjusted Model and Mean Adjusted Model are presented to support the results.

While information systems security breaches have a significant negative impact on the Financials and the Technology sectors for all the event windows in the study ([−5, 0], [−5, 1], [−5, 5], and [−5, 10]), the significant negative impact is observed only on the [−5, 5] and [−5, 10] event windows for the Consumer Goods sector. No significant negative impact is observed in the Communications sector, in fact, the cumulative abnormal returns are positive for this sector.

The contribution of this paper to provide evidence about the financial impacts of the information systems breaches for businesses in different sectors. While there are studies that have previously focused on the information systems breaches and their financial impacts on businesses, to the best of our knowledge, this is the first study that compares this effect between the four highly impacted sectors. With a relatively larger sample size and broader event windows than the past studies in the literature, statistical evidence is provided to managers to justify their investments in information security and build preventive measures to secure the market value of their firms.