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The Event Study Approach

In: Event Studies for Financial Research

Author

Listed:
  • Doron Kliger
  • Gregory Gurevich

Abstract

As explained in the previous chapter, ESA comprises an effective tool for assessing the information content of events, as perceived by market participants, as well as for shedding light on the issue of market efficiency. The underlying idea in common event studies is to track the market prices of securities whose issuing firms were involved in the studied event, in order to detect market-related reactions. The prices are tracked over a period that is potentially relevant for evaluating the effect of the event on the prices of the traded securities; this period is termed the event window.1

Suggested Citation

  • Doron Kliger & Gregory Gurevich, 2014. "The Event Study Approach," Palgrave Macmillan Books, in: Event Studies for Financial Research, chapter 0, pages 19-43, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-36879-9_3
    DOI: 10.1057/9781137368799_3
    as

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