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The Basic ESA Design

In: Event Studies for Financial Research

Author

Listed:
  • Doron Kliger
  • Gregory Gurevich

Abstract

In chapter 3 we introduced the basic logic behind ESA, proceeded with technical specifications for its practical implementation, and concluded by describing the result interpretation regarding market efficiency and information content of the analyzed event. In chapter 4 we illustrated these ideas by using a simplified example. Hereafter, we recapitulate and elaborate on the main stages of ESA. While there is no unique structure encompassing all event studies, the flow of analysis we bring here may be of relevance to many cases. In particular, we introduce hypothesis testing and corresponding basic statistical analysis, for the case where there is no clustering among the observations, to wit, the event windows of the sampled securities are not overlapping.1 We refer here to the analysis of stock returns with daily frequency. Some of the definitions and equations introduced in chapter 3 are replicated here for convenience.

Suggested Citation

  • Doron Kliger & Gregory Gurevich, 2014. "The Basic ESA Design," Palgrave Macmillan Books, in: Event Studies for Financial Research, chapter 0, pages 51-63, Palgrave Macmillan.
  • Handle: RePEc:pal:palchp:978-1-137-36879-9_5
    DOI: 10.1057/9781137368799_5
    as

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