Event studies · US equities
How do markets price a change at the top?
O'Malley Research builds event datasets from regulatory filings and measures how share prices respond, starting with CEO turnover across US listed companies.
Item 5.02 filings indexed
311,730
Aug 2004 – present
In current study
57,806
8-Ks, last five years
Universe
US
SEC registrants
Dataset
Building
CEO events being classified
Research programme
3 modules
- 01In progress
CEO turnover
Departures and appointments of chief executives, measured as abnormal returns around the first public announcement.
- 02Planned
Announcement sentiment
A text-based tone score on each announcement, tested against structured features: forced vs planned, insider vs outsider successor.
- 03Planned
Bankruptcy monitor
Chapter 11 filings and the price path of listed equity before and after the petition.
Approach
01
Source
Every Form 8-K reporting Item 5.02 on SEC EDGAR, the disclosure US-listed companies must file within four business days of a CEO change.
02
Classification
Our own rules identify CEO changes in the filing text, merge follow-up filings, and date each event by its first announcement.
03
Measurement
Abnormal returns relative to a market model estimated before the event, with stated windows and test statistics.