Event-study approach: the case of Airbnb and hotel stocks

Figures & data

Table 1. Announcements with exact and general location.

	Announcements	Stocks	2017	2018	2019
All Sample	180	1114	100%	100%	100%
Exact location	48	145	11%	28%	29%
General location	132	969	89%	72%	71%

The table presents data pertaining to the distribution of announcements categorized by specificity of location, delineating between those with exact location and those characterized by a more general indication of location.

Table 2. Descriptive statistics of market indices yields.

Country	Index	N	Mean	Std. Dev.	Min.	Median	Max.
USA	S&P 500	798	0.052	0.799	−4.100	0.050	4.960
France	CAC 40	812	0.030	0.948	−8.040	0.010	4.140
Australia	S&P/ASX 200	803	0.030	0.721	−3.200	0.070	3.340
India	BSE Sensex 30	570	0.067	0.686	−2.580	0.080	2.210
Japan	Nikkei 225	807	0.033	1.202	−7.920	0.050	7.160
UK	FTSE 100	803	0.028	0.796	−3.150	0.050	3.580
China	Shanghai SE 50	771	0.056	1.115	−5.330	0.050	6.280
Germany	DAX	803	0.028	0.987	−6.820	0.060	3.510
Thailand	SET 100	777	0.038	0.767	−3.280	0.070	4.420
Spain	IBEX 35	812	0.014	1.103	−12.350	0.030	3.760

The values of the mean, standard deviation, minimum, median, and maximum are presented in the table as percentages. The indices presented are the leading indices in each country.

Figure 1. Cumulative average abnormal return (CAAR) behavior during the 61-day event window surrounding the event day for general and exact locations.

Note: The horizontal axis shows days relative to the event day t = 0. The dashed lines denote the 95% confidence intervals. The lines in black and gray indicate the CAAR_−30,+30 for exact and general location, respectively.

Figure 2. Parametric and nonparametric test results during 231 days around the event.

Note: The horizontal axis shows the days relative to the event day t = 0. The dashed horizontal lines denote statistical significance at the 5% level. The lines in black and gray indicate the results of the parametric and nonparametric tests respectively.

Figure 3. The cumulative percentage of announcements with a negative cumulative abnormal return (CAR) during the seven-day event window surrounding the event day for general and exact locations.

Note: Columns in black and in gray indicate announcements with a negative CAR for exact and general locations, respectively.

Table 3. Cumulative abnormal return (CAR) for general and exact locations.

Panel A: General location
Daily time	CAR(%)	ORDIN	PATELL	BMP	RANK	GRANK-Z	WSRT
Event window surrounding the event day
CAR[−1,+1]	0.019	0.174	−0.999	−0.913	0.427	0.565	0.461
CAR[−3,+1]	0.026	0.183	−1.140	−0.954	1.880*	1.078	−1.247
CAR[−5,+5]	0.160	0.771	−0.360	−0.306	−0.723	0.803	0.383
CAR[−10,+10]	0.116	0.405	−1.855*	−1.637	4.387***	1.974*	1.956*
Pre−event and post−event window
CAR[−3,0]	0.029	0.231	−0.774	−0.646	1.277	0.841	0.950
CAR[−2,0]	0.043	0.393	−0.386	−0.318	0.756	0.718	0.762
CAR[−1,0]	0.022	0.249	−0.516	−0.473	0.538	0.520	0.325
CAR[0,0]	0.033	0.524	0.365	0.372	−0.270	−0.275	−0.896
CAR[0,+1]	0.030	0.334	−0.450	−0.436	−0.361	−0.038	−0.518
CAR[0,+2]	−0.030	−0.268	−1.471	−1.414	0.343	0.442	0.231
CAR[0,+3]	0.094	0.747	0.404	0.372	−2.369**	−0.318	−1.214
Panel B: Exact location
Event window surrounding the event day
CAR[−1,+1]	−1.149	−4.785***	−8.905***	−2.325**	6.002***	2.222**	3.527***
CAR[−3,+1]	−1.683	−5.431***	−10.156***	−3.082***	8.519***	2.705***	4.067***
CAR[−5,+5]	−1.268	−2.759***	−5.242***	−2.223**	6.527***	1.849*	2.716***
CAR[−10,+10]	−1.525	−2.401**	−4.482***	−2.410**	7.724***	1.854*	2.797***
Pre−event and post−event window
CAR[−3,0]	−1.449	−5.227***	−10.060***	−3.051***	6.527***	2.530**	3.691***
CAR[−2,0]	−1.219	−5.079***	−9.539***	−2.786***	4.511***	2.306**	3.470***
CAR[−1,0]	−0.915	−4.666***	−9.075***	−2.259**	3.265***	2.019**	3.186***
CAR[0,0]	−0.671	−4.841***	−8.068***	−5.178***	3.838***	3.314***	4.781***
CAR[0,+1]	−0.905	−4.618***	−7.536***	−3.228***	3.845***	2.006**	2.929***
CAR[0,+2]	−0.807	−3.362***	−5.636***	−2.907***	3.629***	1.759*	2.533**
CAR[0,+3]	−0.884	−3.189***	−5.333***	−3.188***	4.239***	1.808*	2.590***

Panel A and panel B present CARs for general and exact locations, respectively. The parametric tests in columns 3–5 include the t-statistics (displayed as ORDIN), the Patell test (displayed as PATELL), and the standardized cross-sectional approach (displayed as BMP). The nonparametric tests in columns 6–8 include the Corrado rank test (displayed as RANK), the generalized standardized abnormal return (displayed as GRANK-Z), and the Wilcoxon signed-rank test (displayed as WSRT). For p-values, *, **, and *** denote statistical significance at the 10%, 5%, and 1% levels respectively.

Table 4. Cumulative abnormal return (CAR) behavior for general and exact locations in the short term.

	Panel A: Event window [−10,+10]				Panel B: Event window [−3,+1]
	General location		Exact location		General location		Exact location
Daily time	CAR(%)	ORDIN	CAR(%)	ORDIN	CAR(%)	ORDIN	CAR(%)	ORDIN
Event window surrounding the event day
CAR[−1,+1]	0.012	0.112	−1.143***	−4.705	0.012	0.110	−1.135***	−4.626
CAR[−3,+1]	0.015	0.110	−1.682***	−5.363	0.015	0.107	−1.674***	−5.283
CAR[−5,+5]	0.132	0.641	−1.288***	−2.768
CAR[−10,+10]	0.058	0.203	−1.579**	−2.457
Pre- and post-event windows
CAR[−3,0]	0.018	0.142	−1.450***	−5.167	0.016	0.129	−1.443***	−5.092
CAR[−2,0]	0.035	0.323	−1.218***	−5.012	0.034	0.315	−1.208***	−4.924
CAR[−1,0]	0.014	0.164	−0.911***	−4.592	0.013	0.149	−0.905***	−4.514
CAR[0,0]	0.026	0.418	−0.673***	−4.795	0.025	0.402	−0.670***	−4.727
CAR[0,+1]	0.024	0.269	−0.905***	−4.561	0.024	0.270	−0.901***	−4.495
CAR[0,+2]	−0.037	−0.346	−0.812***	−3.342
CAR[0,+3]	0.079	0.638	−0.897***	−3.197

Panels A and B represent the CAR in the [−10, +10] and [−3, +1] windows, respectively. In each panel, the first two columns refer to CAR and t-statistics (displayed as ORDIN) of announcements with general location, and the last two columns refer to CAR and t-statistics (displayed as ORDIN) of announcements with exact locations. For p-values, *, **, and *** denote statistical significance at the 10%, 5,% and 1% levels, respectively.

Table 5. Cumulative abnormal return (CAR) behavior according to the IM and MAR models for general and exact locations.

	Panel A: Index Model (IM)				Panel B: Mean Adjusted Returns (MAR)
	General location		Exact location		General location		Exact location
Daily time	CAR(%)	ORDIN	CAR(%)	ORDIN	CAR(%)	ORDIN	CAR(%)	ORDIN
Event window surrounding the event day
CAR[−1,+1]	0.033	0.302	−1.233***	−5.047	−0.049	−0.329	−0.770**	−2.290
CAR[−3,+1]	0.041	0.293	−1.746***	−5.537	−0.074	−0.386	−1.238***	−2.853
CAR[−5,+5]	0.167	0.805	−1.407***	−3.007	−0.075	−0.263	−0.577	−0.896
CAR[−10,+10]	0.076	0.265	−1.774***	−2.745	−0.068	−0.174	−0.543	−0.611
Pre- and post-event windows
CAR[−3,0]	0.043	0.348	−1.430***	−5.069	−0.112	−0.650	−1.138***	−2.931
CAR[−2,0]	0.057	0.530	−1.201***	−4.915	−0.056	−0.377	−0.968***	−2.880
CAR[−1,0]	0.035	0.398	−0.917***	−4.596	−0.086	−0.710	−0.670**	−2.440
CAR[0,0]	0.047	0.753	−0.681***	−4.827	−0.090	−1.043	−0.472**	−2.432
CAR[0,+1]	0.045	0.504	−0.997***	−4.998	−0.052	−0.430	−0.572**	−2.085
CAR[0,+2]	−0.003	−0.032	−0.965***	−3.952	−0.164	−1.101	−0.417	−1.239
CAR[0,+3]	0.109	0.873	−1.069***	−3.790	−0.090	−0.522	−0.350	−0.900

Panels A and B represent the CAR according to the index model (IM) and mean adjusted returns (MAR), respectively. In each panel, the first two columns refer to CAR and t-statistics (displayed as ORDIN) of announcements with general location, and the last two columns refer to CAR and t-statistics (displayed as ORDIN) of announcements with exact location. For p-values, *, **, and *** denote statistical significance at the 10%, 5%, and 1% levels, respectively.

Table

Location
North America	Europe
United States	France	United Kingdom	Germany	Spain
Company
Braemar Hotels & Resorts Inc.	Accor SA	Accor SA	Accor SA	Melia Hotels International SA
Choice Hotels International, Inc.	Pierre Et Vacances SA	Intercontinental Hotels Group PLC	Hilton Worldwide Holdings, Inc.	NH Hotel Group SA
City Holding Company		Intercontinental Hotels Group PLC	Orascom Development Holding Ltd
Hyatt Hotels Corporation		Malin Corporation PLC	Intercontinental Hotels Group PLC
Intercontinental Hotels Group PLC		Melia Hotels International SA	Pierre Et Vacances SA
Summit Hotel Properties, Inc.		Mid Wynd International Investment Trust PLC
Marriott International, Inc.
Pebblebrook Hotel Trust
Sunstone Hotel Investors, Inc.
Sotherly Hotels Inc.
Starwood Property Trust, Inc.
Xenia Hotels & Resorts, Inc.
AdvisorShares Vice
Wynd Hotel & Banquet
Location
Australasia	Asia
Australia	India	Japan	China	Thailand
Company
Hotel Property Investment	Brigade Enterprises Ltd	Fujita Kanko Inc.	Great Eagle Holdings Ltd	MBK Hotel & Tourism (MBK PLC)
	Eih Ltd	Imperial Hotel Ltd	Huangshan Tourism Development
	Indian Hotel Company Ltd	Resorttrust, Inc.	Shangri-La Asia Ltd
	Taj Gvk Hotels and Resorts Ltd	Royal Holdings Co., Ltd
	BSE Sensex 30	Agora Hospitality Group
		MBK Hotel & Tourism (MBK PLC)