event studies


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Event Study

A study to determine what effect the release of information or its timing has on a security's price. Most analysts believe that information should be released in portions so that the market can price out good or bad information and reduce volatility. However, followers of the efficient markets hypothesis argue that doing that is unnecessary because information is reflected in the security's price immediately. Event studies help shed light on which school, if either, is correct; as with anything, there is the potential for bias within the study itself.

event studies

Research that attempts to determine if particular events produce abnormal returns from stock investments. For example, researchers have conducted event studies in an attempt to determine if stock splits, dividend increases, and earnings announcements produce abnormal returns.
References in periodicals archive ?
Event studies were conducted as early as in the 1930s in a paper measuring the price impact of common stock splits (Dolley, 1933).
We investigate whether the merger announcement dates provided in the Securities Data Corporation (SDC) database are handled correctly by researchers performing event studies.
Even before the Halliburton case was decided, one of the major D&0 insurance carriers, MG, was out in front with an endorsement that would pay for event studies if recommended by defense counsel drawn from MG'S list of pre-approved attorneys.
However, before launching into a discussion of political event studies in financial markets, I provide some background.
Using high-frequency event studies, I find the introduction of unconventional policy in the winter of 2008-09 had a strong, stabilizing impact on banks and especially on life insurance companies, consistent with the positive effects on legacy asset prices and future business dominating any impulse for additional risk taking.
Event studies and the law: part II: empirical studies of corporate law, American Law and Economics Review 4: 380-423.
152) Following Dura, courts have widely accepted the use of event studies to establish ex post price distortion or loss causation.
The concerns expressed in the literature are of relevance for catastrophe event studies and--in particular--the September 11, 2001, attacks (hereafter, "9-11").
Specific examples are presented to illustrate how event studies are being used by business.
MacKinlay (1997) provides a review of event studies applied to the areas of economics and finance.
In event studies of this type, the difference between the expected returns and the actual returns are the abnormal returns, denoted by AR.
The dynamic event studies performed by the JPL team were unlike most performed for products functioning here on Earth.