grad-event-study
事件研究法 (Event Study)
Overview
The event study method (Fama et al., 1969; MacKinlay, 1997) isolates the abnormal return attributable to a specific event by comparing actual returns against a model of expected (normal) returns. Cumulative abnormal returns (CAR) over an event window quantify the total market reaction.
When to Use
- Measuring market reaction to earnings announcements, M&A, policy changes, or regulatory events
- Testing semi-strong form market efficiency
- Quantifying the economic significance of corporate disclosures
- Comparing market reactions across different event types or firm characteristics
When NOT to Use
- The event date is ambiguous or the information leaked gradually
- Confounding events overlap with the event window
- The firm's stock is illiquid with many zero-return days
- The event was widely anticipated and fully priced before the event window
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