Applications of event study methodology to lodging stock performance

This dissertation presents three studies applying event study methodology to lodging stock performance and exploring two primary research questions: (a) Is there abnormal stock performance for lodging stocks surrounding specified events that could indicate market inefficiencies that can be exploited by market actors, and, (b) Are there event study methodologies that are more or less robust for use in lodging stock event studies that should be considered in future research? The literature review identifies and discusses the literature in four primary areas: (a) event study methodology; (b) issues identified with event studies conducted within a single industry, in this case the lodging industry (c) a review of hospitality stocks in general; and (d) a discussion of the extant lodging stock event study literature. The dissertation proposes revised procedures for addressing the methodological issues of non-normality and crosssectional dependence in the data through the use of both parametric and nonparametric tests, and the three studies within this dissertation utilized these revised procedures. The first paper, entitled “Parametric and Nonparametric Analysis of Abnormal Stock Return and Volume Activity for Lodging Stock Mergers from 2004 to 2007,” presents a study on the unprecedented number of hotel company mergers that took place between 2004 and 2007. The purpose of this study was to determine, using both parametric and nonparametric event study methodologies, whether there were abnormal stock returns or volume activity in the periods surrounding the merger announcement in the trading of 19 public hotel companies that were merged during this period. The study identified statistically significant abnormal returns only on the merger announcement date and statistically