Whom South Africa, which reports all South African companies with operations in other African countries at the end of 2006. This publication enumerates the subsidiaries and operations of each South African multinational and reports partial information on the date of initial investment, holdings, and number of employees in each subsidiary. From it, all rms listed in the JSE, and with operations or subsidiaries in African HIPC eligible countries during the period of the initiatives (1995-2006) were selected, to obtain a sample of 35 companies with 187 subsidiaries in 26 countries. This information was complemented and checked with data from United Nations Conference on Trade and Development (1993, 2004), Graham and Whiteside (1997-2004), Lexis-Nexis (2007), business-press reports relating parent and subsidiaries in Lexis-Nexis and Factiva-Newsplus, and information requests directly sent to South African companies identied as having aliates in eligible African HIPC countries.<sup>9</sup> The date of initial investment in subsidiaries located in African HIPC countries reveals whether a parent company is aected by a specic debt relief event. For instance, only companies with active subsidiaries in African HIPC-eligible countries in June 1996 are considered as aected by the original HIPC initiative announcement. Table 2 presents the list of parent companies with investments in African countries that have been eligible for the HIPC initiative since 1996 and the median size in assets and sales of these companies at the end of 2006. The nal row of the table displays the average of each measure across companies. Both assets and sales of parents are at about US$ 2 bn, and the average parent company has about 4 subsidiaries. Parent companies with interests in HIPC countries are also homogeneously distributed across industries, as shown in Table 3. Utilities are the only industry where no South African company has aliates in other African HIPC countries.

Stock returns and corporate-event data for the selected parent companies were obtained from Bloomberg. The market return is based on the JSE All Shares Index and the industry return associated to each parent is that of the FT JSE Index of the industry of the primary activity of the parent company, both also obtained from Bloomberg. The fraction of parent companies with available return data has increased during the period, but even in 1996 there are return data available for more than 70 percent of the rms. Corporate event data included in _Si,t_<sup>_l_comprisethe</sup> following corporate action types: capital changes, corporate events, and distributions, all as dened by Bloomberg.<sup>10</sup> In the benchmark results, the parameters of the model are estimated using estimation and event windows of 180 and 15 calendar days before each event, roughly corresponding to 112 and 10 market-trading days, respectively, and using lumped returns.<sup>11</sup> Nevertheless, results for dierent estimation windows, event windows, and using trade-to-trade returns to control for thin-trading are presented below as robustness checks.

> 9A letter was sent to each parent company with missing information requesting data on initial investment date and size of subsidiaries, reaching a response rate of about 30 percent.

> 10The following specic corporate actions are included: Acquired, Acquisition, Cash Dividend, Corporate Meeting, Debt Oering-New Issue, De-listing, Divestiture, Equity Oering, Fiscal Year End, Change ID, Number Change, Listing Name, Change Par Value, Change Rights Oerings, Stock Buyback, Stock Dividend, Stock Split, and Ticker Symbol Change.

> 11This means that during periods of inactivity all returns are assigned to the rst day in which there is new activity.

10