Stock Return Response Modeling

In this paper, we provide an overview of the stock return response modeling methodology for assessing the value relevance of marketing measures. We begin with a valuation model showing the linkages between marketing measures and financial market valuation, which provides the foundation for stock return response modeling. We review some guidelines for undertaking this type of analysis and provide an illustrative example. We then discuss the relation of this approach to some widely used alternative approaches and conclude with directions for future research.