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Performing an event study: An exercise for finance students

Author

Listed:
  • William A. Reese
  • Russell P. Robins

Abstract

This exercise helps instructors teach students how to perform a simple event study. The study tests to see if stocks earn abnormal returns when added to the S&P 500. Students select a random sample of stocks that were added to the index between January 2000 and July 2015. The accompanying spreadsheet calculates cumulative abnormal returns and cumulative abnormal trading volume and plots them in separate graphs. Students are asked to analyze the data and draw conclusions. Through this exercise, students learn how to conduct an event study and determine if a statistically significant event has occurred.

Suggested Citation

  • William A. Reese & Russell P. Robins, 2017. "Performing an event study: An exercise for finance students," The Journal of Economic Education, Taylor & Francis Journals, vol. 48(3), pages 206-215, July.
    • Handle: RePEc:taf:jeduce:v:48:y:2017:i:3:p:206-215
    DOI: 10.1080/00220485.2017.1320603
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    Cited by:

    1. Monica Martinez-Blasco & Vanessa Serrano & Francesc Prior & Jordi Cuadros, 2023. "Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-34, December.
    2. Parikh Abhishek, 2019. "Impact of demonetization on shareholders` wealth: case of India," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 9(9), pages 217-229, September.
    3. Mugebe, P. & Kizil, M.S. & Yahyaei, M. & Low, R., 2023. "Foundation of a framework for evaluating the impact of mining technological innovation on a company's market value," Resources Policy, Elsevier, vol. 85(PA).

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