Choosing Among Alternative Long-Run Event-Study Techniques

Journal of Economic Surveys, Forthcoming

Posted: 5 Aug 2012 Last revised: 5 Dec 2013

Multiple version iconThere are 2 versions of this paper

Date Written: July 15, 2012

Abstract

This paper reviews the long-run event-study debate by outlining the strengths and weakness of the most commonly used alternative techniques. The discussion highlights that prior literature has failed to provide a single risk-adjusted model of long-run abnormal returns with no biases. Subsequently, the paper provides guidance on how one can choose among pertinent alternative techniques and concludes by underlying that researchers ought to choose among alternative techniques after considering issues such as (i) the nature of dataset and market of interest, (ii) the event type (regulatory or corporate), (iii) returns’ time-interval, (iv) association of the event with accounting data, (v) sample characteristics and prior evidence regarding similar events, as well as (vi) risk changes following the event. Robustness tests are essential, while the road for further research regarding the appropriate technique(s) is open.

Keywords: long-run abnormal returns, bad model problems, statistical tests, chosen techniques, robustness tests

JEL Classification: G11, G12, G14, G3

Suggested Citation

Dionysiou, Dionysia, Choosing Among Alternative Long-Run Event-Study Techniques (July 15, 2012). Journal of Economic Surveys, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2123786

Dionysia Dionysiou (Contact Author)

University of Stirling ( email )

Accounting and Finance Division
Stirling, FK9 4LA
United Kingdom

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