The Econometrics of Event Studies

ArXiv ID: ssrn-608601 “View on arXiv”

Authors: Unknown

Abstract

The number of published event studies exceeds 500, and the literature continues to grow. We provide an overview of event study methods. Short-horizon methods ar

Keywords: Event Study, Market Efficiency, Abnormal Returns, Event Study Methodology, Equity

Complexity vs Empirical Score

• Math Complexity: 4.0/10
• Empirical Rigor: 6.0/10
• Quadrant: Street Traders
• Why: The paper reviews established econometric methods (like risk-adjusted returns and significance testing) rather than introducing complex new mathematics, scoring moderate math complexity. It emphasizes empirical implementation through statistical properties, data constraints (daily vs. monthly returns), and real-world application guidelines, warranting moderate empirical rigor.

  flowchart TD
    A["Research Goal: Assess Market Efficiency & Impact of Equity Events"] --> B["Data Collection: Event Dates, Stock Prices, Market Indices"]
    B --> C["Methodology: Short-Horizon Event Study"]
    C --> D["Computation: Abnormal Returns AR_t = R_it - E[R_it|Market Model"]]
    D --> E["Aggregation: Cumulative Abnormal Returns CAR"]
    E --> F["Statistical Testing: Significance of CAR"]
    F --> G["Key Outcome: Evidence of Market Efficiency or Anomalies"]