Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods

Rex Thompson

Journal of Financial and Quantitative Analysis, 1985, vol. 20, issue 2, 151-168

Abstract: Empirical investigations into the codetermination of security prices and economic events are called event studies. There are several ways of estimating the codetermination of interest. Since Fama, Fisher, Jensen, and Roll [8], it has been general practice to first translate variables into rates of return, then net out general market movements, and, finally, examine the relationship between residual returns and events. The methodology in all of its variants falls under the rubric of “residual analysis.”

Date: 1985
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