Performing an event study: An exercise for finance students

William A. Reese and Russell P. Robins

The Journal of Economic Education, 2017, vol. 48, issue 3, 206-215

Abstract: This exercise helps instructors teach students how to perform a simple event study. The study tests to see if stocks earn abnormal returns when added to the S&P 500. Students select a random sample of stocks that were added to the index between January 2000 and July 2015. The accompanying spreadsheet calculates cumulative abnormal returns and cumulative abnormal trading volume and plots them in separate graphs. Students are asked to analyze the data and draw conclusions. Through this exercise, students learn how to conduct an event study and determine if a statistically significant event has occurred.

Date: 2017
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DOI: 10.1080/00220485.2017.1320603

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