Event Studies: A Methodology Review
36 Pages Posted: 2 Aug 2009 Last revised: 20 Aug 2010
Date Written: July 26, 2010
Abstract
Originally developed as a statistical tool for empirical research in accounting and finance, event studies have since migrated to other disciplines as well, including economics, history, law, management, marketing, and political science. Despite the elegant simplicity of a standard event study, variations in methodology and their relative merits continue to attract attention in the literature. This paper reviews some of the fundamental topics in short-term event study methodology, with an attempt to add new perspectives to some pressing topics.
Keywords: Event studies, Abnormal returns, Nonparametric statistical tests
JEL Classification: C10, C12, C14, C15, G14
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Alternative Methods for Robust Analysis in Event Study Applications
-
By Scott E. Hein and Peter Westfall
-
Conducting Event Studies on a Small Stock Exchange
By Jan Bartholdy, Dennis Olson, ...
-
On the Statistical Significance of Event Effects on Unsystematic Volatility
By Jimmy E. Hilliard and Robert Savickas
-
Conducting Event Studies With Asia-Pacific Security Market Data
By Charles J. Corrado and Cameron Truong
-
By George S. Ford and Audrey D. Kline
-
HAC Standard Errors and the Event Study Methodology: A Cautionary Note
By George S. Ford, John D. Jackson, ...