The "Standard Error" of Event Studies: Lessons from the 2016 Election
Justin Wolfers () and
Eric Zitzewitz ()
AEA Papers and Proceedings, 2018, vol. 108, 584-89
The 2016 Election offers an unusually stark warning about the limitations of event studies. In four separate pre-election event windows, financial market responses to shifts in electoral probabilities were consistent with expectations that a surprise Trump win would lead the S&P 500 to fall by 11 percent. The initial decline that accompanied Trump's win was more than reversed on the day after the election, however, suggesting a reassessment of its expected effect. We discuss explanations for this reassessment. But our broader point is methodological: today's event study may not reveal tomorrow's market expectation.
JEL-codes: D72 G14 (search for similar items in EconPapers)
Note: DOI: 10.1257/pandp.20181090
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
https://www.aeaweb.org/articles/attachments?retrie ... N6iSQ51tm7_A74YYzRRV (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aea:apandp:v:108:y:2018:p:584-89
Ordering information: This journal article can be ordered from
Access Statistics for this article
AEA Papers and Proceedings is currently edited by William Johnson and Kelly Markel
More articles in AEA Papers and Proceedings from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().