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
Establish whether there are any visible
trends
Isolate and quantify the effect of these
events on price performance
Methodology
Data Collection
Query the Dow Jones database
Screen for events such as Retired, Fired, Died
and Resigned
Data Extraction
Examine a 24-month window
Segment the results for each event by MCAP
Methodology Contd.
Filter Data
Calculate Excess Returns
Examine results on a quarterly
cumulative basis
Perform the same analysis on a
month-by-month basis to focus in
greater detail on notable trends
Results
Three-month timeframe analysis
% Companies With Lower Excess Returns
Time Window
Of Returns
Retire
Death & Fired
Resign
12 months
9 months
6 months
3 months
-
42.11%
42.11%
37.50%
51.22%
47.92%
44.00%
46.15%
44.23%
35.56%
43.48%
45.10%
52.83%
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 (Continued)
Monthly Analysis – Aggregate Excess Returns
Excess Returns
Fire Event
Com panies in Aggregate
Excess Returns
Death Event
Com panies in Aggregate
25
14
12
20
10
15
8
Num ber of
Com panies
Frequency Count
10
6
3
3
2
2
4
1
2
-1
0
0
-2
Negative
Positive
Excess Returns
Retire Event
Com panies in Aggregate
Months Relative to
Event
0
-1
-2
Negative
1
5
Months Relative to
Event
0
Positive
Excess Returns
Resignation Event
Com panies in Aggregate
30
40
25
35
30
20
25
Num ber of
15
Com panies
Frequency count
20
3
15
10
2
10
1
5
0
-1
Positive
Negative
0
-2
Months Relative to Event
0
-1
-2
Positive
2
1
Negative
3
5
0
Month Relative to Event
Conclusion And Further Steps
It is hard to base a trading strategy on our
findings
Analyze data in greater detail – i.e. day-today basis
Regress the event variable along with
other micro/macro factors to quantify the
impact on returns
Determine the significance of other factors
– time CEO has been with the company,
industry specifics, power structure of
company etc.
Q&A