Chapter 1

Econometrics of Event Studies*

S.P.    Sloan School of Management, E52-325, Massachusetts Institute of Technology, 50 Memorial Drive, Cambridge, MA 02142, USA

Jerold B.    William E. Simon Graduate School of Business Administration, University of Rochester, Rochester, NY 14627-0107, USA


The number of published event studies exceeds 500, and the literature continues to grow. We provide an overview of event study methods. Short-horizon methods are quite reliable. While long-horizon methods have improved, serious limitations remain. A challenge is to continue to refine long-horizon methods. We present new evidence illustrating that properties of event study methods can vary by ...

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