The Event Study Approach

Doron Kliger and Gregory Gurevich

Chapter Chapter 3 in Event Studies for Financial Research, 2014, pp 19-43 from Palgrave Macmillan

Abstract: Abstract As explained in the previous chapter, ESA comprises an effective tool for assessing the information content of events, as perceived by market participants, as well as for shedding light on the issue of market efficiency. The underlying idea in common event studies is to track the market prices of securities whose issuing firms were involved in the studied event, in order to detect market-related reactions. The prices are tracked over a period that is potentially relevant for evaluating the effect of the event on the prices of the traded securities; this period is termed the event window.1

Keywords: Stock Return; Abnormal Return; Event Study; Market Return; Market Reaction (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-36879-9_3

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DOI: 10.1057/9781137368799_3

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