Event Studies With Intraday Data

38 Pages Posted: 31 Jan 2023 Last revised: 15 Mar 2023

Date Written: March 14, 2023

Abstract

Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a potentially material event. I compile a dataset of systematic, independent, and objective characterizations of each ticker-year, ticker-halfyear, ticker-quarter, and ticker-month, as statistically and economically significant efficient, statistically and economically significant inefficient, or otherwise. I find that capital markets during the first two months of the COVID-19 lockdown were statistically and economically significantly less efficient.

Keywords: Market efficiency; Intraday data; Event studies; Earnings announcements; Key developments; COVID-19.

JEL Classification: G14; G12; C58; C33; C36.

Suggested Citation

Bhattacharya, Rajeev, Event Studies With Intraday Data (March 14, 2023). Available at SSRN: https://ssrn.com/abstract=4341907 or http://dx.doi.org/10.2139/ssrn.4341907

Rajeev Bhattacharya (Contact Author)

Washington Finance and Economics ( email )

United States

HOME PAGE: http://washington-finance.com

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