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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 - PowerPoint PPT Presentation
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The Impact of CEO-related Events on Price Returns
Thanawan ChaiwatanaPeerapat Khayim
Brian BunnNed Baramov
Georgi Ivanov
AgendaObjectiveMethodologyResultsConclusion And Further StepsQ&A
ObjectiveExamine 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
MethodologyData Collection
Query the Dow Jones database Screen for events such as Retired, Fired, Died and Resigned
Data ExtractionExamine a 24-month window Segment the results for each event by MCAP
Methodology Contd.
Filter DataCalculate Excess ReturnsExamine results on a quarterly cumulative basisPerform the same analysis on a month-by-month basis to focus in greater detail on notable trends
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
Time Window Of Returns Retire Death & Fired Resign
12 months 42.11% 47.92% 35.56%9 months 42.11% 44.00% 43.48%6 months 37.50% 46.15% 45.10%3 months 51.22% 44.23% 52.83%
% Companies With Lower Excess Returns
Monthly Analysis – Aggregate Excess Returns
Results (Continued)
NegativePositive
-2
-1
0
1
23
0
2
4
6
8
10
12
14
Number of Companies
Months Relative to Event
Excess Returns Fire Event
Companies in Aggregate
NegativePositive
-2
-1
0
1
2
3
0
5
10
15
20
25
Frequency Count
Months Relative to Event
Excess ReturnsDeath Event
Companies in Aggregate
Negative
Positive -2
-1
01
23
0
5
10
15
20
25
30
Number of Companies
Months Relative to Event
Excess ReturnsRetire Event
Companies in Aggregate
Negative
Positive
-2
-1
0
1
2
3
0
5
10
15
20
25
30
35
40
Frequency count
Month Relative to Event
Excess ReturnsResignation Event
Companies in Aggregate
Conclusion And Further StepsIt is hard to base a trading strategy on our findingsAnalyze data in greater detail – i.e. day-to-day basisRegress the event variable along with other micro/macro factors to quantify the impact on returnsDetermine the significance of other factors – time CEO has been with the company, industry specifics, power structure of company etc.
Q & A
