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The Econometrics of Event Studies

S.P. KOTHARI
Massachusetts Institute of Technology (MIT) - Sloan School of Management
JEROLD B. WARNER
University of Rochester - Simon School

October 20, 2004



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 are quite reliable. While long-horizon methods have improved, serious limitations remain. A challenge is to continue to refine long-horizon methods. We present new evidence that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility. This reinforces the importance of examining event study statistical properties for non-randomly selected samples.


Keywords: Event studies, econometrics, surveys, accounting, corporate finance, market efficiency

JEL Classifications: B23, C10, M41, G14

Working Paper Series

[此贴子已经被作者于2006-4-16 23:55:13编辑过]

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