Assignment_3.pdf - Assignment 3 ECON 4410 Event Study...

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ECON 4410 Assignment 3 Event Study: Quarterly Earnings Announcement The goal of this assignment is to gain hands-on experience of how an event study is conducted. The event of interest is quarterly earnings announcements. You would like to examine whether stock prices respond to earnings surprises and if so, how quickly. While this is a great simplification of an actual event study, it will give you a tangible glimpse into how such studies are conducted. In an actual event study, researchers typically work with portfolios of stocks while you will chose 3-4 individual stocks (number of group members -1) to examine whether earnings surprises are quickly and correctly incorporated in the stock price. The Assignment_3_data.xlsx file on Moodle contains the example that I discuss below. 1. Find a date when your chosen company announced its quarterly earnings. This is your event date . For example, find the date when your company announced its earnings for the first quarter of the fiscal year 2016. The event that I chose for my example is the earnings announcement for the first quarter of the fiscal year 2013, which Apple made on 23 January 2013. 2. Data collection A. Stock Prices and Stock Market Index: Use a data source of your choice to collect daily data on a chosen stock and broad market index. For my example, I used YahooFinance to collect daily data on the stock of interest to me (AAPL) and the S&P 500 index over the period 1 Jan. 2012 – 15 Feb. 2013: Look up the company of your choice using the Look Up menu at the top left. Click on Historical Prices in the menu on the left and download data on your chosen stock and a market index.
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  • Winter '13
  • AdamWilczynski

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