Using daily stock returns. The case of event studies

Stephen J. Brown; Jerold B. Warner

doi:10.1016/0304-405X(85)90042-X

Using daily stock returns. The case of event studies

Stephen J. Brown, Jerold B. Warner

Research output: Contribution to journal › Article › Research › peer-review

3940 Citations (Scopus)

Abstract

This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteristics are ignored. However, recognition of autocorrelation in daily excess returns and changes in their variance conditional on an event can sometimes be advantageous. In addition, tests ignoring cross-sectional dependence can be well-specified and have higher power than tests which account for potential dependence.

Original language	English
Pages (from-to)	3-31
Number of pages	29
Journal	Journal of Financial Economics
Volume	14
Issue number	1
DOIs	https://doi.org/10.1016/0304-405X(85)90042-X
Publication status	Published - 1 Jan 1985
Externally published	Yes

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Using daily stock returns. The case of event studies

Abstract

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