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Event studies and the importance of the estimation methodology

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  • 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

Suggested Citation

  • John Jairo García, 2009. "Event studies and the importance of the estimation methodology," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 70, pages 223-235.
    • Handle: RePEc:lde:journl:y:2009:i:70:p:223-235
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    File URL: https://revistas.udea.edu.co/index.php/lecturasdeeconomia/issue/view/248
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    More about this item

    Keywords

    event studies; abnormal returns;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • 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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