Impact of Bovine Spongiform Encephalopathy on Agribusiness in the United Kingdom: Results of an Event Study of Equity Prices
评估英国政府宣布疯牛病可能传染人类后，对农业企业股价的影响，发现牛肉、宠物食品、饲料和乳制品行业出现显著负异常收益，其他肉类行业为正异常收益。
Abstract This article assesses the impact on agribusinesses of the United Kingdom Government's announcement of a possible link between Bovine Spongiform Encephalopathy and human health. Three approaches are employed to derive benchmark models against which abnormal returns are estimated, a simple market model, Scholes‐Williams approach, and an autoregressive distributed lag model. Abnormal returns are estimated for single firms and for subsectors over an eight‐day event window. The autoregressive distributed lag model performs best and indicates significant negative abnormal returns in the beef, pet food, animal feed, and dairy sectors and positive abnormal returns in the other meats sector.