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Econometrics of Event Studies
Econometrics of Event Studies
S. P. Khotari,Jerold B. Warner,6 Authors,Alan Wancier
2007 · DOI: 10.1016/B978-0-444-53265-7.50015-9
1,170 Citations
TLDR
New evidence is presented illustrating that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility, which reinforces the importance of using stratified samples to examine event study statistical properties.