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Event studies and the importance of the estimation methodology

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Author Info
John Jairo García
Abstract

This paper aims to review the literature on event studies. It highlights the importance of the methodology used for estimating long-run abnormal returns, as event studies are sensitive to the returns generating process in this time horizon (Savickas, 2003, and Aktas et al., 2007). We find that the impact of events has to be controlled for in the long run without regard to the estimation of the window for abnormal returns, in which the best estimation methodology, in terms of robustness, turns out to be the two-state market model

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Publisher Info
Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

Volume (Year): (2009)
Issue (Month): 70 ()
Pages: 223-235
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Handle: RePEc:lde:journl:y:2009:i:70:p:223-235

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Related research
Keywords: event studies; abnormal returns;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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This page was last updated on 2009-11-29.

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