You are here

References for the Event Study Methodology

S. Armitage 1995. Event study methods and evidence on their performance. Journal of Economic Surveys, 8 (4): 25-52
U. Bhattacharya; H. Daouk; B. Jorgenson; C. Kehr 2000. When an event is not an event: The curious case of an emerging market. Journal of Financial Economics, 55 (1): 69-101
J. Binder 1998. The event study methodology since 1969. Review of Quantitative Finance and Accounting, 11 (2): 111-137
J. Binder 1985. On the use of multivariate regression models in event studies. Journal of Accounting Research, 23 (1): 370-383
W.G. Blacconiere; W.D. Northcutt 1997. Environmental information and market reactions to environmental legislation. Journal of Accounting, Auditing & Finance, 12 (2): 149-178
E. Boehmer; J. Musumeci; A. Poulsen 1991. Event study methodology under conditions of event-induced variance. Journal of Financial Economics, 30 (2): 253-272
R.G. Bowman 1983. Understanding and conducting event studies. Journal of Business Finance and Accounting, 10 (4): 561-584
S. Brown; J. Warner 1985. Using daily stock returns: The case of event studies. Journal of Financial Economics, 14 (1): 3-31
J.Y. Campbell; W.L. Andrew; A.C. MacKinlay 1997. Event study analysis.
E. Dimson 1979. Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7 (2): 197-226
J. Dombrow; R. Mauricio; C.F. Sirmans 2000. A complete non-parametric event study approach. Review of Quantitative Finance and Accounting, 14 (4): 361-380
E.F. Fama; L. Fisher; M. Jensen; R. Roll 1969. The adjustment of stock prices to new information. International Economic Review, 10 (1): 1-21
A.C. MacKinlay 1997. Event studies in economics and finance. Journal of Economic Literature, 35 (3): 13-39
P. Malatesta 1986. Measuring abnormal performance: The event parameter approach using joint generalized least sqaures. Journal of Financial and Quantitative Analysis, 21 (1): 27-38
A. McWilliams; D. Siegel 1997. Event studies in management research: Theoretical and empirical issues. Academy of Management Journal, 40 (3): 626-657
P.P. Peterson 1989. Event studies: A review of issues and methodology. Quarterly Journal of Business and Economics, 28 (3): 36-66
N.R. Prabhala 1997. Conditional methods in event studies and an equilibrium justification for standard event study procedures. Review of Financial Studies, 10 (1): 1-38
M. Salinger 1992. Value event studies. The Review of Economics and Statistics, 74 (4): 671-677
M. Salinger 1992. Standard errors in event studies. Journal of Financial and Quantitative Analysis, 27 (1): 39-53
M. Scholes; J. Williams 1977. Estimating betas from nonsynchronous data. Journal of Financial Economics, 5 (3): 309-328
S. Sefcik; R. Thompson 1986. An approach to statistical inference in cross-sectional models with security abnormal returns as dependent variable. Journal of Accounting Research, 24 (2): 316-334
M. Subramani; E. Walden 2001. The dot-com effect: The impact of e-commerce announcements on the market value of firms. Information Systems Research, 12 (2): 135-154
R. Thompson 1985. Conditioning the return-generating process of firm specific events: A discussion of event study methods. Journal of Financial and Quantitative Analysis, 20 (2): 151-168
R. Thompson 1995. Empirical methods of event studies in corporate finance. Handbooks in Operations Research and Management Science, 9 963-992
Z. Zhang 2001. The impact of IMF term loans on US bank creditors’ equity values: An event study of South Korea's case. Journal of International Financial Markets, Institutions and Money, 11 (3-4): 363-394