TY  - JOUR
A1  - Skiera, Bernd
A1  - Bayer, Emanuel
A1  - Schöler, Lisa
T1  - What should be the dependent variable in marketing-related event studies?
T2  - International journal of research in marketing
N2  - Most event studies rely on cumulative abnormal returns, measured as percentage changes in stock prices, as their dependent variable. Stock price reflects the value of the operating business plus non-operating assets minus debt. Yet, many events, in particular in marketing, only influence the value of the operating business, but not non-operating assets and debt. For these cases, the authors argue that the cumulative abnormal return on the operating business, defined as the ratio between the cumulative abnormal return on stock price and the firm-specific leverage effect, is a more appropriate dependent variable. Ignoring the differences in firm-specific leverage effects inflates the impact of observations pertaining to firms with large debt and deflates those pertaining to firms with large non-operating assets. Observations of firms with high debt receive several times the weight attributed to firms with low debt. A simulation study and the reanalysis of three previously published marketing event studies shows that ignoring the firm-specific leverage effects influences an event study's results in unpredictable ways.
KW  - Event study
KW  - Cumulative abnormal return
KW  - Leverage effect
KW  - Shareholder value
KW  - Stock market
KW  - Marketing-finance interface
KW  - Financial structure
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/77336
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-773368
SN  - 0167-8116
VL  - 34
IS  - 3
SP  - 641
EP  - 659
PB  - Elsevier
CY  - Amsterdam
ER  -