A Re-Evaluation of Event-Study Methodology

摘要: This paper provides evidence through observations and simulations that Cumulative Abnormal Return (CAR) can result in misleading inferences about market efficiency post-event behavior. A set of 96 companies known to have multiple events a simulation returns with are used test three invalidating hypotheses on event-study methodology. We find the use artificial portfolios event studies biases CAR downward, increased volatility around day lowers significance abnormal returns, time series individual securities is larger magnitude higher than cross-sectional portfolio.