The challenges and innovations of event study methodology
Date
2017
Authors
Ramiah, V.
Wallace, D.
McIver, R.P.
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Ramirez, E.
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Book chapter
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Source details - Title: Financial management: methods, outcomes and challenges, 2017 / Ramirez, E. (ed./s), Ch.3, pp.65-90
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Abstract
Event study methodology has been extensively used in the finance literature to capture how stock markets react to certain information events such as mergers and acquisitions, financial crises, terrorist activities, changes to financial and environmental regulations, natural catastrophes, and many other events. Nonetheless, this methodology has been criticised on several grounds, including: the choice of an asset pricing model to determine normal returns; that abnormal returns are not normally distributed; the undue influence of firm-specific information events; and failure to account for the asynchronicity of market returns, stock market integration and spillover effects. In this book chapter, we: (1) Provide a brief history of the event study methodology; (2) show its various recent applications; and (3) identify the innovations that have occurred in this field.
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Copyright 2017 Nova Science Publishers