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What should be the dependent variable in marketing-related event studies?

Skiera, Bernd, Bayer, Emanuel and Schöler, Lisa 2017, What should be the dependent variable in marketing-related event studies?, International journal of research in marketing, vol. 34, no. 3, pp. 641-659, doi: 10.1016/j.ijresmar.2017.01.002.

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Title What should be the dependent variable in marketing-related event studies?
Author(s) Skiera, BerndORCID iD for Skiera, Bernd orcid.org/0000-0001-9285-2013
Bayer, Emanuel
Schöler, Lisa
Journal name International journal of research in marketing
Volume number 34
Issue number 3
Start page 641
End page 659
Total pages 19
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2017-09
ISSN 0167-8116
Keyword(s) event study
cumulative abnormal return
leverage effect
shareholder value
stock market
marketing-finance interface
financial structure
Summary 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.
Language eng
DOI 10.1016/j.ijresmar.2017.01.002
Field of Research 1505 Marketing
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2017, The Authors
Free to Read? Yes
Use Rights Creative Commons Attribution licence
Persistent URL http://hdl.handle.net/10536/DRO/DU:30099283

Document type: Journal Article
Collections: Faculty of Business and Law
Open Access Collection
Department of Marketing
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Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.