What Is an Event Study?

Event Study is a statistical method that studies whether the stock price will fluctuate when an event occurs in the market, and whether it will produce "abnormal returns". Information, you can know whether the fluctuation of the stock price is related to the event.

Incident research

The event study was initiated by Ball & Brown (1968) and Fama et al. (1969). The principle is to select a specific event according to the research purpose, and to study samples before and after the event

In the research process, you must first decide what the research hypothesis is. After deciding to study the hypothesis, it is necessary to determine the type of event and its event date, the estimation period and the calculation period of the event period.

It is estimated that

According to the research hypothesis, the abnormal return rate and the test results are analyzed, and an explanation is provided.