Event Studies: A Methodology Review

28 Pages Posted: 2 Mar 2011

See all articles by Charles J. Corrado

Charles J. Corrado

Deakin University - School of Accounting, Economics & Finance

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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: Financial event study, Abnormal returns, Event-induced volatility

JEL Classification: C12, C14, C15, G14, G15

Suggested Citation

Corrado, Charles J., Event Studies: A Methodology Review. Accounting & Finance, Vol. 51, No. 1, pp. 207-234, 2011. Available at SSRN: https://ssrn.com/abstract=1774325 or http://dx.doi.org/10.1111/j.1467-629X.2010.00375.x

Charles J. Corrado (Contact Author)

Deakin University - School of Accounting, Economics & Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia
61492446214 (Phone)

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