The Event Study Methodology since 1969
This paper discusses the event study methodology, beginning with FFJR (1969), including hypothesis testing, the use of different benchmarks for the normal rate of return, the power of the methodology in different applications and the modeling of abnormal returns as coefficients in a (multivariate) regression framework. It also focuses on frequently encountered statistical problems in event studies and their solutions. Copyright 1998 by Kluwer Academic Publishers
Volume (Year): 11 (1998)
Issue (Month): 2 (September)
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