Event study


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Event study

A statistical study that examines how the release of information affects prices at a particular time.

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.
References in periodicals archive ?
Two developments aided the expansion and dissemination of event study methodology over the past 25 years.
Contract awarded for Provision of event study and traffic count for chingay 2018.
Morningstar used two approaches in its analysis: a Fama-MacBeth regression to measure the relationship between the rating and performance of related funds and an event study framework to measure the performance of a given rating over different time (event) horizons, ranging from one month to 60 months.
In sections on case examples, organizational forms, and consequences of fragmenting, they consider such aspects as new business models in-the-making in extant multinational corporations: digital transformation in a telco, global integration strategies in time of crisis: an event study of the impact of the global financial crisis on the exporting strategies of Turkish subsidiaries, tied up and shocked: how relational contracting with suppliers constrains global buyers during an economic crisis, global shift-back's: a strategy for reviving manufacturing competencies, and industrial district firms do not smile: structuring the value chain between local and global.
In the event study methodology, we only need to look in for returns as this study assumes that all other factors are reflected in stock price changes due to efficient market hypothesis and this is what makes event study methodology extremely popular with the researchers.
With this goal in mind, we analyze the target, bidder and combined bank cumulative abnormal returns (CARs) utilizing standard event study methodology.
First, we use an event study methodology to examine stock returns, which isolates the effect of a catastrophe from other factors that may impact the insurance market.
Rosa (2012) used an event study to examine the surprise component of LSAP announcements.
We use an event study approach which incorporates three volatility models in order to obtain abnormal variances and provide a procedure that reports the results as a volatility index.
Part V then considers assessing price impact (and materiality) arguments using an event study (i.
To test the research questions, we investigate abnormal returns (AR) via an event study approach with a market model, which follows Mikkelson and Partch (1986), to identify the impact of companies' sport sponsorships on their market values.