event_studies09_10_v1[1]

event_studies09_10_v1[1] - We thank Professor Norman Strong...

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We thank Professor Norman Strong for kindly providing this set of notes. This set of notes provides quite rigorous and useful discussions of event study methodologies. At different points, it also provides useful references. We don't have a text book for BMAN30190. In a way, you may use this document to assist your understanding of my lectures. At various points, you might find this note a bit heavy for reading. However, if you understand my lectures, you should be able to understand a large part of it. For those who are interested in going deeper in event studies, you may use this note to guide your further private study. Ning
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Manchester Accounting and Finance Group Manchester Business School Event studies © Norman Strong
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2 Slide 1 Event studies Manchester Accounting and Finance Group BMAN70162 Advanced empirical finance This document includes slides and accompanying notes on event studies, which are an important and widely used research technique, particularly in accounting and finance. Familiarity with event studies is essential for understanding many research articles in accounting and finance (and increasingly in business and management), particularly in the areas of market efficiency and corporate finance. Early event studies tended to focus on stock performance, usually measured by returns, during a short window around an event. Later developments applied the event study methodology to study returns over longer intervals and particularly to the study of returns over 1–5 years before or after an event. The methodological problems of conducting long- horizon event studies are more complex than those associated with short-window event studies. The supplementary notes in this handout elaborate on some, but not all points on the slides. The slides and notes provide an overview of event studies.
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3 Slide 2 Event studies: lecture outline Event studies: lecture outline 1 What is an event study? What is an event study? 2 Outline of how to conduct an event study Outline of how to conduct an event study 3 General issues in conducting an event study General issues in conducting an event study 4 Special problems of estimation and testing Special problems of estimation and testing 5 Evidence on how well they work 6 Long horizon event studies 7 Selection bias and endogeneity in event studies in event studies
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4 Slide 3 1. What is an event study? 1. What is an event study? • It It ’s a test of how stock prices/(volumes) s a test of how stock prices/(volumes) react to a financial event react to a financial event – some studies assume informational efficiency some studies assume informational efficiency and test for the information content or value and test for the information content or value relevance of an event relevance of an event – some studies test for informational efficiency some studies test for informational efficiency • Can use it in both clinical studies and Can use it in both clinical studies and large sample studies large sample studies
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event_studies09_10_v1[1] - We thank Professor Norman Strong...

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