A Note on Event Studies in Finance and Management Research

24 Pages Posted: 29 Oct 2015

See all articles by Ivana Naumovska

Ivana Naumovska

INSEAD

Abe de Jong

Rotterdam School of Management, Erasmus University; Monash University

Date Written: October 28, 2015

Abstract

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

Naumovska, Ivana and de Jong, Abe, A Note on Event Studies in Finance and Management Research (October 28, 2015). INSEAD Working Paper No. 2015/84/EFE. Available at SSRN: https://ssrn.com/abstract=2682003 or http://dx.doi.org/10.2139/ssrn.2682003

Ivana Naumovska (Contact Author)

INSEAD ( email )

Boulevard de Constance
77305 Fontainebleau Cedex
France

Abe De Jong

Rotterdam School of Management, Erasmus University ( email )

P.O. Box 1738
Room T08-25
Rotterdam, 3000 DR
Netherlands
+31 10 408 1022 (Phone)

HOME PAGE: http://https://www.rsm.nl/people/abe-de-jong/

Monash University ( email )

900 Dandenong Rd
Room H3-56
Caulfield East, Victoria 3145
Australia

HOME PAGE: http://https://research.monash.edu/en/persons/abe-de-jong

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