1997/01/01 by Judith F. Posnikoff · 4 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Corporate Finance and Governance #Capital Investment and Risk Analysis #Financial Reporting and Valuation Research
paper · doi:10.1111/j.1465-7287.1997.tb00456.x
openalex publication_date 1997/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/05/21
This paper uses standard event‐study methodology to analyze the effect of announcing disinvestment or withdrawal of U.S. firms from South Africa during the 1980s on those firms' returns. Several different measures of abnormal return indicate a consistent and significant positive announcement effect, particularly for the two‐ and three‐day periods surrounding the public announcement. With one exception, these results hold even when the variables are normalized by their respective standard deviations to account for possible changes in variance due to the announcement. Using the “ordinary cross‐sectional” test statistic rather than the usual t‐statistic explicitly accounts for a change in variance at announcement throughout the analysis.