Event Studies: A Methodology Review
36 Pages Posted: 2 Aug 2009 Last revised: 20 Aug 2010
Date Written: July 26, 2010
Originally developed as a statistical tool for empirical research in accounting and finance, event studies have since migrated to other disciplines as well, including economics, history, law, management, marketing, and political science. Despite the elegant simplicity of a standard event study, variations in methodology and their relative merits continue to attract attention in the literature. This paper reviews some of the fundamental topics in short-term event study methodology, with an attempt to add new perspectives to some pressing topics.
Keywords: Event studies, Abnormal returns, Nonparametric statistical tests
JEL Classification: C10, C12, C14, C15, G14
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