Download this Paper Open PDF in Browser

Event Study Under Noisy Estimation Period

54 Pages Posted: 11 Apr 2003  

Nihat Aktas

WHU - Otto Beisheim School of Management

Eric de Bodt

Université de Lille

Jean-Gabriel Cousin

Université Lille Nord de France - SKEMA Business School

Multiple version iconThere are 2 versions of this paper

Date Written: April 10, 2003


Since the contribution of Fama, Fisher, Jensen and Roll (1969), event studies have become an important reference tool for empirical research in finance. The original methodology has been improved in order to tackle numerous problems such as event-date uncertainty, event clustering, event-induced variance phenomena.... Somewhat surprisingly, the determination of the estimation period has attracted less interest. It remains most frequently routinely determined as a fixed window prior to the event announcement day, during which it is supposed that no other significant events have happened. In practice, in large sample studies, validation of this assumption on a case-by-case basis is out of reach, despite the fact that it is known to be violated for some specific corporate events. The case of merger and acquisitions, in particular the behavior of bidders who make repetitive acquisitions (and acquisition attempts), is a typical example. In this work we propose an adaptation of the basic methodology by taking explicitly into account the likely existence of firm-specific events during the estimation period. We first realize a standard specification and power analysis, following the Brown and Warner (1980, 1985) scheme. We then show that the proposed method changes significantly the inferences realized on a sample of around 580 merger and acquisition operations concerning the bidders' abnormal returns.

Notes: Previously titled "Event Study under Disturbed Estimation Period"

Suggested Citation

Aktas, Nihat and de Bodt, Eric and Cousin, Jean-Gabriel, Event Study Under Noisy Estimation Period (April 10, 2003). EFMA 2003 Helsinki Meetings. Available at SSRN: or

Nihat Aktas (Contact Author)

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179

Eric De Bodt

Université de Lille ( email )

1 place Déliot, BP381
59020 Lille Cedex
+03 20 90 74 77 (Phone)
+03 20 90 77 02 (Fax)


Jean-Gabriel Cousin

Université Lille Nord de France - SKEMA Business School ( email )

1 place Déliot - BP381
Lille, 59020

Paper statistics

Abstract Views