Risks and Returns of Ecommerce Announcements: An Event Study Analysis
This paper takes an event study approach to examine the return and risk effects associated with ecommerce announcements and analyzes the drivers of risk effects.Three models are adopted to examine the risk and return effects of ecommerce announcements and the results suggest that: (1) returns show a significant post-event decrease in both 2000 and 2008,after controlling for the risk changes; (2) return effects become different in both 2000 and 2008,after controlling for risk effects; (3) a significant increase in total risk is associated with the event; (4) systematic risk does not change significantly following the event in 2008, but shows a significant post-event increase in 2000; (5) unsystematic risk increases after the event in both 2000 and 2008.The cross-sectional analysis suggests that in 2000, ecommerce in tangible goods is perceived to be less risky than ecommerce for digital goods and services.
E-commerce stock return stock risk IT event study
HUANG Shan HUANG Jinghua
Sauder School of Business,University of British Columbia,Vancouver,V6T 1Z2,Canada School of Economics and Management,Tsinghua University,Beijing,100084
国内会议
上海
英文
419-424
2011-12-02（万方平台首次上网日期，不代表论文的发表时间）