On the Use of the Log Car Measure in Event Studies

6 Pages Posted: 3 Oct 2003

See all articles by Gishan Dissanaike

Gishan Dissanaike

University of Cambridge - Judge Business School

Alexandre Le Fur

Dresdner Kleinwort Wasserstein - Equity Capital Markets

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Abstract

Cross-sectional averages of log 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.

JEL Classification: G12

Suggested Citation

Dissanaike, Gishan and Le Fur, Alexandre, On the Use of the Log Car Measure in Event Studies. Available at SSRN: https://ssrn.com/abstract=437915

Gishan Dissanaike (Contact Author)

University of Cambridge - Judge Business School ( email )

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Alexandre Le Fur

Dresdner Kleinwort Wasserstein - Equity Capital Markets ( email )

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London EC3P 3DB
United Kingdom
+44 207 475 9813 (Phone)
+44 207 475 7515 (Fax)

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