Impact of the Brexit vote announcement on long-run market performance

Wael Bousselmi, Patrick Sentis and Marc Willinger
Additional contact information
Wael Bousselmi: CREST - Centre de Recherche en Economie et Statistique [Bruz] - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz]
Patrick Sentis: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier

CEE-M Working Papers from CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro

Abstract: We examine how the Brexit announcement influenced the long-run market performance of British and European listed firms. Using daily data and a sample composed of 3,015 European listed firms (805 UK and 2,210 non-UK), we find that, over a 12-month horizon, the Brexit announcement negatively affected the long-run market performance of UK firms (regardless of their business activities) and European non-British (non-UK hereafter) firms that conduct most of their business activities within the British area. We also provide evidence that, after the Brexit announcement, analysts' earnings forecasts and the realized accounting decreased and the return volatility increased for UK firms

Keywords: Brexit; buy-and-hold; event study; financial market; macroeconomic news (search for similar items in EconPapers)
Date: 2018-12-14
New Economics Papers: this item is included in nep-bec, nep-eec and nep-int
Note: View the original document on HAL open archive server: https://hal.science/hal-01954920
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://hal.science/hal-01954920/document (application/pdf)

Related works:
Working Paper: Impact of the Brexit vote announcement on long-run market performance (2020)
Working Paper: Impact of the Brexit vote announcement on long-run market performance (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpceem:hal-01954920

Access Statistics for this paper

More papers in CEE-M Working Papers from CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro Contact information at EDIRC.
Bibliographic data for series maintained by Laurent Garnier ().