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How Markets Value The Blockchain Technology: An Empirical Analysis

Schleiss, Samuel LU (2018) NEKN02 20181
Department of Economics
Abstract (Swedish)
In this work company announcements of blockchain name changes are empirically analysed to obtain a sense of how markets value the blockchain technology. This “blockchain effect” is analysed using an event study in order to calculate cumulative abnormal returns for multiple event windows. The “blockchain effect” generates cumulative average abnormal return of 58 percent for the five days surrounding the announcement day. The effect stays stable over a +90 day post-event period and thus persists, at the least, over the short- to medium-term. No significant variations across different firm specific characteristics, such as industry or stock exchange listing, are observed. The results are robust to outliers and momentum effects, however, the... (More)
In this work company announcements of blockchain name changes are empirically analysed to obtain a sense of how markets value the blockchain technology. This “blockchain effect” is analysed using an event study in order to calculate cumulative abnormal returns for multiple event windows. The “blockchain effect” generates cumulative average abnormal return of 58 percent for the five days surrounding the announcement day. The effect stays stable over a +90 day post-event period and thus persists, at the least, over the short- to medium-term. No significant variations across different firm specific characteristics, such as industry or stock exchange listing, are observed. The results are robust to outliers and momentum effects, however, the results show dependency on investors’ market sentiment, that is; in market upturns, significantly greater abnormal returns are generated than in market downturns. The results show strong similarities in terms of market valuation to comparable technological innovations in the past. (Less)
Please use this url to cite or link to this publication:
author
Schleiss, Samuel LU
supervisor
organization
course
NEKN02 20181
year
type
H1 - Master's Degree (One Year)
subject
keywords
Blockchain, Event Study, Bitcoin, Valuation, Name Change, Markets
language
English
id
8946188
date added to LUP
2018-07-02 15:39:29
date last changed
2018-07-02 15:39:29
@misc{8946188,
  abstract     = {{In this work company announcements of blockchain name changes are empirically analysed to obtain a sense of how markets value the blockchain technology. This “blockchain effect” is analysed using an event study in order to calculate cumulative abnormal returns for multiple event windows. The “blockchain effect” generates cumulative average abnormal return of 58 percent for the five days surrounding the announcement day. The effect stays stable over a +90 day post-event period and thus persists, at the least, over the short- to medium-term. No significant variations across different firm specific characteristics, such as industry or stock exchange listing, are observed. The results are robust to outliers and momentum effects, however, the results show dependency on investors’ market sentiment, that is; in market upturns, significantly greater abnormal returns are generated than in market downturns. The results show strong similarities in terms of market valuation to comparable technological innovations in the past.}},
  author       = {{Schleiss, Samuel}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{How Markets Value The Blockchain Technology: An Empirical Analysis}},
  year         = {{2018}},
}