the Event Study Webpage

by Don Cram
Under construction...suggestions/references appreciated.

What is an event study? An event study, in economics/finance/accounting research, is an analysis of whether there was a statistically significant reaction in financial markets to past occurences of a given type of event that is hypothesized to affect public firms' market values.

To go further:

The event that affects a firm's market value may be within the firm's control, such as the event of the announcement of a stock split. Or the event may be outside the firm's control, such as the event of a legislative act being passed, or a regulatory ruling being announced, that will affect the firm's future operations in some way.

The basic recipe for an event study is:

A large academic literature has built up reflecting debate on how to do the evaluation (3) in a statistically sound way. Issues, for example, include how to measure what usual returns are for a firm, how to summarize returns during an event-period, how to control for market-wide effects.

Selected general sources on the event study methodology (in alphabetical order by first author) include:

Classic event study references are included in Andrew Karolyi's syllabus for his Winter 1995 course taught at Ohio State, Fin 921: Empirical Research in Finance at, as of 5 August 1997 and still available as of 2/99. Karolyi is now at University of Western Ontario (2/99). In the Ohio State course, Karolyi included the following articles under Event Study Methodology (with the Boehmer article required reading for his course and the others supplementary): A similar online list with some interesting references is the Professor Frank Finn's reading list for University of Queensland course 455 in business finance, at (as of 2/99). Some other important papers are: Programs for event studies Data for event studies: Event study applications are too numerous to list, but a starter sampling is as follows: Event study applications not yet published in a peer-reviewed journal, whose drafts are available on the web in full text: Note event studies of the efficiency of markets may be classified at G14 in the JEL classification system. Please send suggestions, comments, and requests.


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