Comparative advertising has been more widely used in the United States. However, based on research that has been done in the past, the effectiveness of comparative advertising is still a controversial argument even though it is generally believed that comparative advertising is more effective than non-comparative advertising. Previous studies have been mainly focusing on the effects on consumer behavior. This study tries to fill the research gap to emphasize on the effects from investors’ perspectives. Therefore, the effect of comparative advertising on stock returns is investigated. Also, since many American firms are doing business in other countries and begin advertising their products or services, the attention should be paid more to cross-cultural study which has received little so far. In this paper, an overview on comparative advertising is provided, along with developing a comprehensive model to empirically investigate the relationship between the release of comparative advertising and stock prices. Lastly, the findings and recommendations for future research are discussed.