IDEAS home Printed from https://ideas.repec.org/a/oup/amlawe/v15y2013i2p495-541.html
   My bibliography  Save this article

Valid Inference in Single-Firm, Single-Event Studies

Author

Listed:
  • Jonah B. Gelbach
  • Eric Helland
  • Jonathan Klick

Abstract

Single-firm event studies play an important role in both scholarship and litigation despite the general invalidity of standard inference. We use a broad cross-section of 2000--2007 CRSP data and find that the standard approach performs poorly in terms of both Type I and Type II error rates. We discuss a simple-to-use alternative, the SQ test, based on sample quantiles of the empirical distribution of pre-event fitted excess returns, which has correct asymptotic Type I error rate. Results suggest that the test will be useful in studying the impact of firm-specific events such as regulation, anti-trust rulings, and corporate or securities litigation. Copyright 2013, Oxford University Press.

Suggested Citation

  • Jonah B. Gelbach & Eric Helland & Jonathan Klick, 2013. "Valid Inference in Single-Firm, Single-Event Studies," American Law and Economics Review, American Law and Economics Association, vol. 15(2), pages 495-541.
    • Handle: RePEc:oup:amlawe:v:15:y:2013:i:2:p:495-541
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/aler/aht009
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jeffrey L. Hoopes & Daniel H. Reck & Joel Slemrod, 2015. "Taxpayer Search for Information: Implications for Rational Attention," American Economic Journal: Economic Policy, American Economic Association, vol. 7(3), pages 177-208, August.
    2. Guangdong Xu & Wenming Xu & Shudan Xu, 2018. "Does the establishment of the Ministry of Environmental Protection matter for addressing China’s pollution problems? Empirical evidence from listed companies," Economics of Governance, Springer, vol. 19(3), pages 195-224, August.
    3. Gabriel E Lade & C -Y Cynthia Lin Lawell & Aaron Smith, 2018. "Policy Shocks and Market-Based Regulations: Evidence from the Renewable Fuel Standard," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 100(3), pages 707-731.
    4. Dongil Daniel Keum, 2023. "Managerial political power and the reallocation of resources in the internal capital market," Strategic Management Journal, Wiley Blackwell, vol. 44(2), pages 369-414, February.
    5. Samson Mukanjari & Thomas Sterner, 2024. "Do markets Trump politics? Fossil and renewable market reactions to major political events," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 805-836, April.
    6. Andersen Martin & Bauhoff Sebastian, 2017. "The Share Price Effect of CVS Health’s Announcement to Stop Selling Tobacco: A Comparative Case Study Using Synthetic Controls," Forum for Health Economics & Policy, De Gruyter, vol. 20(1), pages 1-13, June.
    7. Oscar Bernal Diaz & Astrid Herinckx & Ariane Szafarz, 2014. "Which short-selling regulation is the least damaging to market efficiency? Evidence from Europe," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 37, pages 244-256, March.
    8. Saravana Jaikumar & Viswanath Pingali & Vineet Virmani, 2019. "Shareholders’ reaction to ethical image of sports teams: an event study in the Indian Premier League," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(4), pages 283-300, December.
    9. Doran, Colin & Stratmann, Thomas, 2021. "How does liability affect prices? Railroad sparks and timber," International Review of Law and Economics, Elsevier, vol. 66(C).
    10. Zeng, James Si, 2021. "Does regulation of defensive tactics with mandatory rules benefit shareholders? Evidence from event studies in China," International Review of Law and Economics, Elsevier, vol. 66(C).
    11. Günster, Andrea & van Dijk, Mathijs, 2016. "The impact of European antitrust policy: Evidence from the stock market," International Review of Law and Economics, Elsevier, vol. 46(C), pages 20-33.
    12. Xu, Wenming & Xu, Guangdong, 2020. "Understanding public enforcement of securities law in China: An empirical analysis of the enforcement actions of the CSRC and its regional offices against informational misconduct," International Review of Law and Economics, Elsevier, vol. 61(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:amlawe:v:15:y:2013:i:2:p:495-541. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/aler .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.