Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers'Event
Leonardo Becchetti and
Rocco Ciciretti
Giornale degli Economisti, 2011, vol. 70, issue 2, 3-58
Abstract:
We analyse with an event study approach the stock market reaction to Lehman Brothers' filing for chapter 11. Our inquiry on abnormal returns of about 2,700 stocks around the event date documents that RiskMetrics-KLD indexes capture factors affecting investors' reaction to the shock. We also find 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 financial rating indicators.
Keywords: Global Financial Crisis; Event Study; Corporate Governance; Product Quality; Ratings. (search for similar items in EconPapers)
JEL-codes: G01 G14 G24 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (5)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Working Paper: Stock Market Reaction to the Global Financial Crisis: testing for the Lehman Brothers' Event (2011) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:gde:journl:gde_v70_n2_p5-58
Ordering information: This journal article can be ordered from
http://www.gde.unibocconi.it
Access Statistics for this article
More articles in Giornale degli Economisti from GDE (Giornale degli Economisti e Annali di Economia), Bocconi University via Sarfatti, 25 - 20136 Milano (Italy).
Bibliographic data for series maintained by Erika Somma ( this e-mail address is bad, please contact ).