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Event study
An Event study is a statistical method to assess the impact of an event on the value of a firm. For example, the announcement of a merger between two business entities can be analyzed to see whether investors believe the merger will create or destroy value. The basic idea is to find the abnormal return attributable to the event being studied by adjusting for the return that stems from the price fluctuation of the market as a whole.〔Ronald J. Gilson and Bernard S. Black, The Law and Finance of Corporate Acquisitions, 2 edition, 1995, 194-195.〕
As the event methodology can be used to elicit the effects of any type of event on the direction and magnitude of stock price changes, it is very versatile. Event studies are thus common to various research areas, such as accounting and finance, management, economics, marketing, information technology, law, and political science.
One aspect often used to structure the overall body of event studies is the breadth of the studied event types. On the one hand, there is research investigating the stock market responses to economy-wide events (i.e., market shocks, such as regulatory changes, or catastrophic events). On the other hand, event studies are used to investigate the stock market responses to corporate events, such as mergers and acquisitions, earnings announcements, debt or equity issues, corporate reorganisations, investment decisions and corporate social responsibility (MacKinlay 1997;〔MacKinlay, A. C. “Event Studies in Economics and Finance,” ''Journal of Economic Literature'' Vol. XXXV, Issue 1 (March 1997). Available at:http://www.jstor.org/stable/2729691〕 McWilliams & Siegel, 1997〔McWilliams, A. and Siegel, D. "Event studies in management research: Theoretical and empirical issues" Academy of Management Journal, Vol. 40, No. 3, (1997)〕).
==Methodology==
The general event study methodology is explained in, for example, MacKinlay (1997)〔 or Mitchell and Netter (1994).〔Mitchell, Mark L. and Jeffry M. Netter. "The Role of Financial Economics in Securities Fraud Cases: Applications at the Securities and Exchange Commission." The Business Lawyer February 1994〕 In MacKinlay (1997), this is done "using financial market data" to "measure the impact of a specific event on the value of a firm". He argues that "given rationality in the marketplace, the effects of an event will be reflected immediately in security prices. Thus a measure of the event's economic impact can be constructed using security prices observed over a relatively short time period". It is important to note that short-horizon event studies are more reliable than long-horizon event studies〔Chen, M.Y., 'I Just Did 400 Million Event Studies' – A Study of Market Model Robustness and Deterioration in Times of Crisis (2014). Available at: http://ssrn.com/abstract=2534446〕 as the latter have many limitations. However, Kothari and Warner (2005) were able to refine long-horizon methodologies in order to improve the design and reliability of the studies over longer periods.〔Kothari, S.P., and Jerold B. Warner, 200(), "Econometrics of Event Studies" Retrieved from: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=608601〕
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