Impact of the Brexit vote announcement on long-run market performance

Wael Bousselmi, Patrick Sentis and Marc Willinger
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Wael Bousselmi: CREST - Centre de Recherche en Economie et Statistique [Bruz] - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz]
Patrick Sentis: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier

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Abstract: We examine how the Brexit announcement influenced the long-run market performance of British and European listed firms. Using daily data and a sample composed of 3,015 European listed firms (805 UK and 2,210 non-UK), we find that, over a 12-month horizon, the Brexit announcement negatively affected the long-run market performance of UK firms (regardless of their business activities) and European non-British (non-UK hereafter) firms that conduct most of their business activities within the British area. We also provide evidence that, after the Brexit announcement, analysts' earnings forecasts and the realized accounting decreased and the return volatility increased for UK firms

Keywords: financial market; event study; Brexit; buy-and-hold; macroeconomic news (search for similar items in EconPapers)
Date: 2020
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Published in Bankers Markets & Investors : an academic & professional review, 2020, 163, ⟨10.54695/bmi.163.3026⟩

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Related works:
Working Paper: Impact of the Brexit vote announcement on long-run market performance (2018)
Working Paper: Impact of the Brexit vote announcement on long-run market performance (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03026615

DOI: 10.54695/bmi.163.3026

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