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The Impact of CEO-related Events on Price Returns

The Impact of CEO-related Events on Price Returns. Thanawan Chaiwatana Peerapat Khayim Brian Bunn Ned Baramov Georgi Ivanov. Agenda. Objective Methodology Results Conclusion And Further Steps Q&A. Objective. Examine the impact of CEO-related events on company returns

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The Impact of CEO-related Events on Price Returns

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  1. The Impact of CEO-related Events on Price Returns Thanawan Chaiwatana Peerapat Khayim Brian Bunn Ned Baramov Georgi Ivanov

  2. Agenda • Objective • Methodology • Results • Conclusion And Further Steps • Q&A

  3. Objective • Examine the impact of CEO-related events on company returns • Establish whether there are any visible trends • Isolate and quantify the effect of these events on price performance

  4. Methodology • Data Collection • Query the Dow Jones database • Screen for events such as Retired, Fired, Died and Resigned • Data Extraction • Examine a 24-month window • Segment the results for each event by MCAP

  5. Methodology Contd. • Filter Data • Calculate Excess Returns • Examine results on a quarterly cumulative basis • Perform the same analysis on a month-by-month basis to focus in greater detail on notable trends

  6. Results • Three-month timeframe analysis • Results consistent with the expectations that Firing is good news and Retire & Resign are bad news • This seems to be the case for the first 3 months after the event and diminishes with time • Further analysis was necessary that focused on that timeframe.

  7. Results (Continued) • Monthly Analysis – Aggregate Excess Returns

  8. Conclusion And Further Steps • It is hard to base a trading strategy on our findings • Analyze data in greater detail – i.e. day-to-day basis • Regress the event variable along with other micro/macro factors to quantify the impact on returns • Determine the significance of other factors – time CEO has been with the company, industry specifics, power structure of company etc.

  9. Q & A

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