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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

The Impact of CEO-related Events on Price Returns

Thanawan Chaiwatana

Peerapat Khayim

Brian Bunn

Ned Baramov

Georgi Ivanov

agenda
Agenda
  • Objective
  • Methodology
  • Results
  • Conclusion And Further Steps
  • Q&A
objective
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
methodology
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
methodology contd
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
results
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.
results continued
Results (Continued)
  • Monthly Analysis – Aggregate Excess Returns
conclusion and further steps
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.
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