Disinvestment from South Africa: They did well by doing good

This paper uses standard event-study methodology to analyze the effect of announcing disinvestment or withdrawal of U.S. firms from South Africa during the 1980s on those firms' returns. Several different measures of abnormal return indicate a consistent and significant positive announcement effect, particularly for the two- and three-day periods surrounding the public announcement. With one exception these results hold even when the variables are normalized by their respective standard deviations to account for possible changes in variance due to the announcement. Using the ''ordinary cross-sectional'' test statistic rather than the usual t-statistic explicitly accounts for a change in variance at announcement throughout the analysis.