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The effect of firm-specific characteristics on the stock market returns during the COVID-19 pandemic: An event study

Koning, Cas C. de (2021) The effect of firm-specific characteristics on the stock market returns during the COVID-19 pandemic: An event study.

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Abstract:This thesis investigated the Dutch stock market reaction to the COVID-19 pandemic with the use of an event study method with the event date set on the first trading day the lockdown was enforced (March 16th). The study uses a sample of 75 companies listed in the Netherlands on one of the three indices (AEX, AMX, AScX). Ten firm-specific characteristics were tested on their correlation to cumulative abnormal return with the use of a multiple regression analysis in SPSS, with each variable having a hypothesis. The study only found board size to have a (positive) statistically significant correlation to cumulative abnormal return. Meaning, firms with a larger board experience a less adverse impact on the COVID-19 pandemic than other firms.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:49 domestic science, 83 economics, 85 business administration, organizational science, 88 social and public administration
Programme:Business Administration MSc (60644)
Link to this item:http://purl.utwente.nl/essays/88222
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