consistent with a 10 percent increase in the value of those operations.<sup>13</sup> The results, therefore, indicate that the announcement of major debt relief initiatives conveys positive news for South African multinational companies with aliates in eligible African HIPC countries that translate in an abnormal increase in their share returns.

The gures in Panels B to D show that there is heterogeneity in the response to the dierent major debt relief initiatives. The announcement of the original HIPC initiative does not have a signicant impact on the returns of parent companies (Panel B). So, apparently nancial markets did not perceive this announcement as aecting the valuation of parent companies with ongoing operations in HIPC eligible countries. However, this evidence has to be taken with caution because in the data there are only 10 South African parent companies with activities in HIPC countries in 1996. On the contrary, the announcement of the Enhanced HIPC initiative and the MDRI results in a statistically signicant increase in cumulative abnormal returns of about two percentage points (Panels C and D). The _CAR_ increases from -30 basis points three days before the announcement of the Enhanced HIPC to 150 basis points the day of the announcement. In the case of the MDRI, the _CAR_ rose from -20 basis points three days before the event to 140 basis points the day after it, and climbed to 200 basis points ten days after the announcement of the initiative. These results support the hypothesis that markets considered the last two major debt relief initiatives as signicantly positive news for parent companies with operations in eligible countries.

The conclusions about the impact of major debt relief initiatives on the pattern of cumulative abnormal returns are robust to changes in the length of the estimation and event windows. Results for dierent estimation windows are summarized in the various panels of Figure 4, where the bold lines depict the evolution of the baseline estimates of the _CAR_ obtained with an estimation window of 112 trading days, and the thin lines display the evolution of the _CAR_ for smaller estimation windows ranging from 52 to 102 trading days, in increments of 10. The shaded area corresponds to the envelope of the estimated patterns, and the crosses mark whether the _CAR_ are statistically signicant. It is clear in the gures that the pattern of the _CAR_ does not vary importantly with the reduction of the estimation window, especially for the Enhanced HIPC and MDRI, where not only the sequence of _CAR_ evolves similarly regardless of the estimation window, but also the range spanned by the dierent estimates does not deviate importantly from the baseline results.<sup>14</sup> Changing the length of the event window from the baseline level of 10 trading days around the event to 5 and 20 trading days does not qualitatively change the evolution of the _CAR_ either, as shown in Figure 5. The level of the _CAR_ varies with the length of the window around the announcement of the original HIPC initiative, but the pattern and level of _CAR_ for all major initiatives together, as well as those for the Enhanced HIPC and MDRI, are largely unaected by these changes in length.

> 13This is because the total value of the multinational equals the sum of the value of their subsidiaries. Thus, a percentage increase in the value of a subsidiary creates a percentage increase in the value of the parent that is proportional to the fraction of the total value represented by the subsidiary.

> 14Results for longer windows are not reported because the benchmark value is at the long end of values used with daily data, but the results remain unaected.

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