Event studies and the importance of the estimation methodology

John García ()

Lecturas de Economía, 2009, issue 70, 223-235

Abstract: This paper aims to review the literature on event studies. It highlights the importance of the methodology used for estimating long-run abnormal returns, as event studies are sensitive to the returns generating process in this time horizon (Savickas, 2003, and Aktas et al., 2007). We find that the impact of events has to be controlled for in the long run without regard to the estimation of the window for abnormal returns, in which the best estimation methodology, in terms of robustness, turns out to be the two-state market model

Keywords: event studies; abnormal returns (search for similar items in EconPapers)
JEL-codes: G14 G34 G38 (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://revistas.udea.edu.co/index.php/lecturasdeeconomia/issue/view/248 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2009:i:70:p:223-235

Ordering information: This journal article can be ordered from
Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

Access Statistics for this article

Lecturas de Economía is currently edited by Carlos Andrés Vasco Correa

More articles in Lecturas de Economía from Universidad de Antioquia, Departamento de Economía Contact information at EDIRC.
Bibliographic data for series maintained by Carlos Andrés Vasco Correa ().