# Event study `kaal:entity:event-study` **Status.** derived This node is assembled mechanically from the 18 claims that carry the concept tag `event-study`. It is a roster of what the corpus says under this term. It is **not** an adjudicated definition: no single statement here has been ruled canonical, and no first-appearance call has been made. Read the claims and judge for yourself. ## Every claim under this term 18 claims across 1 works, 2015 to 2015. **2015** - [2629451-001](https://wulfkaal.github.io/claims/2629451-001) [empirical/evidenced] -- Stock prices respond significantly and predictably in a positive direction to the DOJ press release announcing execution of a non- or deferred prosecution agreement and to the start of the N/DPA term. > We document a significant and predictable positive stock price response to the DOJ press release and the start of the N/DPA term. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-002](https://wulfkaal.github.io/claims/2629451-002) [empirical/evidenced] -- The market does not price the three defining N/DPA events in isolation; it treats the announcement, the start of the term, and the end of the term as sequential and conditional events. > Our tests indicate that the market interprets the three events not in isolation but as sequential and conditional events. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-004](https://wulfkaal.github.io/claims/2629451-004) [empirical/evidenced] -- There is no systematic price momentum beyond the three core N/DPA event dates, which the authors read as evidence that the market is reasonably efficient with respect to N/DPA information. > We observe no systematic price momentum beyond the three core dates identified in our study, implying that the market is reasonably efficient with respect to information about N/DPAs. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-005](https://wulfkaal.github.io/claims/2629451-005) [empirical/evidenced] -- Investors react negatively to impending N/DPA driven changes in the period before the agreement is executed, but once the N/DPA is executed they generally treat it as a positive event for the firm. > Our results suggest that while investors consistently react negatively to impending N/DPA changes prior to N/DPA execution, post N/DPA execution, investors generally do perceive N/DPAs as a positive event for the respective entity. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-007](https://wulfkaal.github.io/claims/2629451-007) [mechanism/argued] -- The combination of a positive market reaction at the start of the N/DPA term and a negative reaction at its end is evidence that the governance changes N/DPAs mandate actually matter to firm value. > We interpret the positive market reaction at the beginning of the N/DPA term and investors' negative reaction at the end of the N/DPA term as evidence that governance changes mandated by N/DPAs matter. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-011](https://wulfkaal.github.io/claims/2629451-011) [empirical/asserted] -- This is the first study to examine stock price reactions to non- and deferred prosecution agreements, using all publicly available N/DPAs across several industries from 1993 to 2015 (N=330). > This is the first study that examines stock price reactions to N/DPAs. Our hand- selected dataset contains all publicly available N/DPAs in several industries from 1993 to 2015 (N=330). Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-012](https://wulfkaal.github.io/claims/2629451-012) [design/argued] -- The event study design is appropriate for N/DPAs because the wrongdoing event is identifiable through the execution of a reasonably standardized agreement and because information about the firm's wrongdoing can change the distribution of stock returns. > (1) the event of corporate wrongdoing is identifiable through N/DPAs execution and N/DPA executions are reasonably similar in format, (2) the information pertaining to N/DPA firm wrongdoing has the potential to change the distribution of stock returns, Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-013](https://wulfkaal.github.io/claims/2629451-013) [definitional/argued] -- The date of the DOJ press release announcing execution is the only reliable announcement date for an N/DPA, so it is the defensible event date for measuring market reaction. > The only reliable N/DPA announcement date is the date of the DOJ press release pertaining to the execution of the respective NDPA - ANDPAE. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-015](https://wulfkaal.github.io/claims/2629451-015) [condition/asserted] -- Pre-announcement leaks about a pending N/DPA, including leaks by prosecutors, should not move markets significantly because leaked details carry no certainty or finality as to final terms or fine amount. > We assume that such leaks will not precipitate significant market movements as there is no certainty or finality as to the final terms of the NDPA and the amount of a fine. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-016](https://wulfkaal.github.io/claims/2629451-016) [mechanism/argued] -- Unlike legislative mandates, N/DPA governance changes are preceded by no public debate or publicity, so their effect on firm value is not gradually incorporated into prices and is therefore testable by event study. > congressional mandates, prior to the ANDPAE there is no public debate or other publicity pertaining to the anticipated governance changes in the NDPA or possible fines. Accordingly, the effect of NDPA governance changes on firm value is not gradual and therefore testable. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-017](https://wulfkaal.github.io/claims/2629451-017) [empirical/evidenced] -- Around the DOJ announcement, N/DPA firms show a significant positive cumulative abnormal return trend before day minus five, a significant drop at day minus five, and negative CARs relative to matched competitors from day minus four to day minus one. > the CARs for N/DPA firms show a significant positive trend before t=-5, followed by a significant drop at -5 before the event date t=0 ANDPAE and negative CARs in comparison with the competitors from t=-4 to t=-1. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-018](https://wulfkaal.github.io/claims/2629451-018) [empirical/evidenced] -- After the DOJ announcement, competitor firms' cumulative abnormal returns trend negative from day zero to day twenty five while N/DPA firms' CARs continue on a neutral to positive trend. > Figure 2a demonstrates that while the competitor CARs show a negative trend from t=0 to t=25, the neutral/positive trend in N/DPA firms' CARs continues from t=0 to t=25. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-021](https://wulfkaal.github.io/claims/2629451-021) [empirical/evidenced] -- Immediately before the N/DPA term becomes effective, from day minus three to day minus one, the market prices the onset of the term as a negative event. > suggests that the market assesses the impact of the beginning of the N/DPA term as a negative event immediately before the N/DPAs become effective from t=-3 to t=-1. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-022](https://wulfkaal.github.io/claims/2629451-022) [empirical/evidenced] -- From the first day of the N/DPA term through day twenty five, the period in which mandated governance improvements are in force, the market prices the N/DPA as a positive event for the firm. > BNDPAT t=0 and from t=0 to t=25, when N/DPA governance improvements are in effect, Figures 3 and 3a show that the market assesses such N/DPAs as a positive event for the respective entity. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-023](https://wulfkaal.github.io/claims/2629451-023) [empirical/evidenced] -- The sign of the market reaction reverses at the end of the N/DPA term: where the announcement and the start of the term produce positive CARs, the end of the term produces negative CARs at day zero and from day one through day fifteen. > Unlike ANDPAE and BNDPAT that show positive CARs for N/DPA firms, at ENDPAT N/DPA firms show negative CARs at t=0 and from t=1 to t=15. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-026](https://wulfkaal.github.io/claims/2629451-026) [empirical/evidenced] -- The data support Hypothesis 2: the market reacts positively at the DOJ announcement and at the start of the N/DPA term and negatively at the end of the term. > Figures 2 to 4a support Hypothesis 2: The market reacts positively at ANDPAE (E1a) and BNDPAT (E1b) and negatively at ENDPAT (E1c). Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-029](https://wulfkaal.github.io/claims/2629451-029) [empirical/evidenced] -- The data support Hypothesis 3: the market reacts positively when N/DPA governance changes become mandatory at the start of the term and negatively when they cease to be mandatory at its end. > Figures 3, 3a, 4, and 4a support Hypothesis 3: The market reacts positively at BNDPAT (E1b) and negatively at ENDPAT (E1c). Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 - [2629451-034](https://wulfkaal.github.io/claims/2629451-034) [failure/argued] *(failure mode)* -- The study's results may be biased toward low impact N/DPAs, because firms that were acquired, merged, or went bankrupt as a result of an N/DPA had to be dropped for lack of public trading data, and those are precisely the highest impact cases. > It is possible that our results are skewed towards N/DPAs that had a relatively low impact on the respective entity. Because of lacking public trading data, we had to remove those firms subject to N/DPAs that were acquired, merged or went bankrupt as a result of the N/DPA execution. Wulf A. Kaal, Timothy Lacine, Stock Price Response to Non- and Deferred Prosecution Agreements (2015). SSRN: https://ssrn.com/abstract=2629451 ## Verify Every claim above resolves to a record carrying a verbatim source quote, the sha256 of the source PDF, and a preformatted citation. Nothing here asks to be taken on trust. curl -s https://wulfkaal.github.io/entities/event-study.md | sha256sum **Canonical form.** This markdown file is the canonical hashed representation of this entity node. Its sha256 is the content hash.