Cambridge University Research Paper in Management Studies Working Paper No. 08/2000
9 Pages Posted: 8 Jan 2003
Date Written: March 2000
Cross-sectional averages of logarithmic returns have been used to measure shareholder wealth effects in several Event Studies. No adequate explanation of the implied portfolio strategy has ever been provided in the literature. We argue that the method is biased or does not portray a realistic portfolio strategy. It should therefore be used with caution in the 'event study' literature.
Keywords: Event Study, Continuously Compounded Returns, Geometric Mean, Wealth Effects, Corporate Finance, Market Efficiency
JEL Classification: G14, G34
Suggested Citation: Suggested Citation
Dissanaike, Gishan and Le Fur, Alexandre, On the Use of the Log CAR Measure in Event Studies (March 2000). Cambridge University Research Paper in Management Studies Working Paper No. 08/2000. Available at SSRN: https://ssrn.com/abstract=352940 or http://dx.doi.org/10.2139/ssrn.352940