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