On the Use of the Log Car Measure in Event Studies
6 Pages Posted: 3 Oct 2003
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: Suggested Citation