A note on event studies in finance and management research

Abe De Jong, Ivana Naumovska

Research output: Contribution to journalArticleResearchpeer-review

15 Citations (Scopus)

Abstract

Event studies are a common research method in finance and management research. This note argues that the validity of inferences based on announcement effects hinges critically on controls for confounding events and appropriate statistical tests. We present a unique case where data is available for a replication of two key event studies. Specifically, we examine and show the importance of systematic confounding information on findings of the effect of corporate name changes on stock market reactions. We demonstrate that systematic confounding events are critical challenges when testing theories about investors' reactions in finance and management research.

Original languageEnglish
Pages (from-to)1659-1672
Number of pages14
JournalReview of Finance
Volume20
Issue number4
DOIs
Publication statusPublished - 1 Jul 2016
Externally publishedYes

Keywords

  • G14
  • G34

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