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Issues in ESA Design

In: Event Studies for Financial Research

Author

Listed:
  • Doron Kliger
  • Gregory Gurevich

Abstract

Chapter 3 outlined the fundamental stages of ESA, the essence of which we employed in the simplified example introduced in chapter 4, and chapter 5 presented a detailed recap of the basic ESA technique and demonstrated statistical analysis and hypothesis testing. The present chapter elaborates on frequently encountered technical issues and corresponding event study designs. In doing so, we do not purport to offer an exhaustive catalog embracing all existing caveats. Rather, our goal is to discuss common issues in a readily accessible manner, addressing the needs of academic researchers and practitioners who are interested in getting acquainted with ESA. Elaborate discussions on these and related topics are offered by a number of available ESA methodological reviews. For instance, Peterson (1989) and MacKinlay (1997) are two such relevant surveys. Another broad review by Kothari and Warner (2007) offers a thorough discussion on related issues with multiple references to classical, as well as more recent, event studies. We begin with the issue of clustering among the sample observations, to wit, with situations where event windows of the sampled securities are overlapping.

Suggested Citation

  • Doron Kliger & Gregory Gurevich, 2014. "Issues in ESA Design," Palgrave Macmillan Books, in: Event Studies for Financial Research, chapter 0, pages 65-83, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-36879-9_6
    DOI: 10.1057/9781137368799_6
    as

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