A Note on Event Studies in Finance and Management Research
24 Pages Posted: 29 Oct 2015
Date Written: October 28, 2015
Event studies are a common research method in finance and management research. This note argues that the validity of inferences based on announcement effects hinges critically on controls for confounding events and appropriate statistical tests. We present a unique case where data is available for a replication of two key studies. Specifically, we examine and demonstrate the importance of systematic confounding information on findings of the effect of corporate name changes on stock market reactions. We demonstrate that systematic confounding events are critical challenges when testing theories about investors’ reactions in finance and management research.
JEL Classification: G14, G34
Suggested Citation: Suggested Citation