This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Standard Errors in Event Studies

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Salinger, Michael
Abstract

Even if true abnormal returns are uncorrelated, estimated abnormal returns are not. This paper presents a simple formula for the variance of estimated cumulative abnormal returns. Both returns and dummy variable procedures for estimating the standard error correctly, taking account of both intertemporal and contemporaneous correlation of estimated residuals, are discussed. They are then applied to an event study of post-merger performance. It is shown that ignoring either the intertemporal or contemporaneous correlation of residuals can result in significant underestimates of standard errors.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.cambridge.org/abstract_S0022109000007894
File Format: text/html
File Function: link to article abstract page
Download Restriction: no

Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 27 (1992)
Issue (Month): 01 (March)
Pages: 39-53
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:27:y:1992:i:01:p:39-53_00

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Email:
Web page: http://journals.cambridge.org/jid_JFQ

For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Amarnath Ananthanarayanan, 1998. "Is There A Green Link A Panel Data Value Event Study Of The Relationship Between Capital Markets And Toxic Releases," Departmental Working Papers 199818, Rutgers University, Department of Economics. [Downloadable!]
  2. Ian Lange & Joshua Linn, 2008. "Bush v. Gore and the Effect of New Source Review on Power Plant Emissions," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 40(4), pages 571-591, August. [Downloadable!] (restricted)
    Other versions:
  3. Nihat Atkas & Eric Bodt & Richard Roll, 2001. "Market Response to European Regulation," University of California at Los Angeles, Anderson Graduate School of Management 1013, Anderson Graduate School of Management, UCLA. [Downloadable!]
  4. Alan J. Auerbach & Kevin A. Hassett, 2005. "The 2003 Dividend Tax Cuts and the Value of the Firm: An Event Study," NBER Working Papers 11449, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Bartholdy, Jan & Olson, Dennis & Peare, Paula, 2006. "Conducting event studies on a small stock exchange," Finance Research Group Working Papers F-2006-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Other versions:
  6. Yvonne Löffler & Ralf Elsas, 2001. "Equity Carve-Outs and Corporate Control in Germany," Working Paper Series: Finance and Accounting 86, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  7. Robert Feinberg & Richard Harper, 1999. "Regime Effects of EU Market Integration Policies on the UK Financial Sector," Review of Industrial Organization, Springer, vol. 15(4), pages 357-365, December. [Downloadable!] (restricted)
  8. Lucy Beverley, 2008. "Stock Market Event Studies and Competition Commission Inquiries," Working Papers 08-16, Centre for Competition Policy, University of East Anglia. [Downloadable!]
  9. Bronwyn H. Hall & Megan MacGarvie, 2006. "The Private Value of Software Patents," NBER Working Papers 12195, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Victor Stango, 2002. "Strategic responses to regulatory threat in the credit card market," Working Paper Series WP-02-02, Federal Reserve Bank of Chicago. [Downloadable!]
    Other versions:
  11. Nihat Aktas & Eric de Bodt & Laurent Liagre, 2006. "Le décollage d'EADS:le point de vue des marchés financiers," Revue Finance Contrôle Stratégie, Editions Economica, vol. 9(1), pages 5-34, March. [Downloadable!]
  12. Sara Fisher Ellison & Wallace P. Mullin, 1997. "Gradual Incorporation of Information into Stock Prices: Empirical Strategies," NBER Working Papers 6218, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Malcolm Arnold & David Parker, 2009. "Stock market perceptions of the motives for mergers in cases reviewed by the UK competition authorities: an empirical analysis," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(4), pages 211-233. [Downloadable!]
  14. Nihat Aktas & Eric Bodt & Richard Roll, 2004. "European M&A Regulation is Protectionist," University of California at Los Angeles, Anderson Graduate School of Management 1252, Anderson Graduate School of Management, UCLA. [Downloadable!]
  15. Lidén, Erik R., 2003. "Swedish Stock Recommendations: Information Content or Price Pressure?," Working Papers in Economics 98, Göteborg University, Department of Economics, revised 19 Sep 2003. [Downloadable!]
Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-23.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.