The Econometrics of Event Studies
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"]