The Econometrics of Event Studies

Abstract:     
The number of published event studies exceeds 500, and the literature continues to grow. We provide an overview of event study methods. Short-horizon methods are quite reliable. While long-horizon methods have improved, serious limitations remain. A challenge is to continue to refine long-horizon methods. We present new evidence that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility. This reinforces the importance of examining event study statistical properties for non-randomly selected samples.

Number of Pages in PDF File: 51

Keywords: Event studies, econometrics, surveys, accounting, corporate finance, market efficiency

JEL Classification: B23, C10, M41, G14

working papers series