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DISINVESTMENT FROM SOUTH AFRICA: THEY DID WELL BY DOING GOOD
Author(s) -
POSNIKOFF JUDITH F.
Publication year - 1997
Publication title -
contemporary economic policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.454
H-Index - 49
eISSN - 1465-7287
pISSN - 1074-3529
DOI - 10.1111/j.1465-7287.1997.tb00456.x
Subject(s) - disinvestment , statistic , economics , variance (accounting) , econometrics , standard deviation , statistics , mathematics , accounting , macroeconomics , foreign direct investment
This paper uses standard event‐study methodology to analyze the effect of announcing disinvestment or withdrawal of U.S. firms from South Africa during the 1980s on those firms' returns. Several different measures of abnormal return indicate a consistent and significant positive announcement effect, particularly for the two‐ and three‐day periods surrounding the public announcement. With one exception, these results hold even when the variables are normalized by their respective standard deviations to account for possible changes in variance due to the announcement. Using the “ordinary cross‐sectional” test statistic rather than the usual t‐statistic explicitly accounts for a change in variance at announcement throughout the analysis.