Modelling multiperiod patterns in stock-market reactions to events, with an application to serial acquisitions

Minh Phuong Doan and Piet Sercu

International Review of Financial Analysis, 2021, vol. 77, issue C

Abstract: In event studies, the now standard window of a few days may miss relevant price movements if the market’s reaction to the news announcement tends to be slow or if the initial reaction tends to be partially or wholly undone afterwards. We propose a parsimonious hybrid of splines and Almon lags to detect and classify various patterns of post-event reactions spread over many periods. The scheme can interact with one or more event characteristics (like deal size), and the resulting non-linear model can be estimated via maximum likelihood (ML).

Keywords: Event study; Post-event reaction; Almon distributed lag; Serial acquisitions (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001824

DOI: 10.1016/j.irfa.2021.101854

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