Event studies: A methodology review

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Abstract:

Abstract

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: Abnormal returns; C12; C14; C15; Event-induced volatility; Financial event study; G14; G15

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/j.1467-629X.2010.00375.x

Publication date: March 1, 2011

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