|Appears in Collections:||Accounting and Finance Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Choosing Among Alternative Long-Run Event-Study Techniques|
|Keywords:||Long-run abnormal returns|
Bad model problems
|Citation:||Dionysiou D (2015) Choosing Among Alternative Long-Run Event-Study Techniques, Journal of Economic Surveys, 29 (1), pp. 158-198.|
|Abstract:||This paper reviews the long-run event-study debate by outlining the strengths and weakness of the most commonly used alternative techniques. The fist part of the discussion highlights that prior literature has failed to provide a single risk-adjusted model of long-run abnormal returns with no biases. Subsequently, the paper provides guidance on how one can choose among pertinent alternative techniques. As a conclusion, researchers ought to choose among alternative techniques after considering issues such as (i) the nature of dataset and market of interest, (ii) the event type (regulatory or corporate), (iii) returns' time-interval, (iv) association of the event with accounting data, (v) sample characteristics and prior evidence regarding similar events, as well as (vi) risk changes following the event. Robustness tests are essential, while the road for further research regarding the appropriate technique(s) is open.|
|Rights:||The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.|
|Affiliation:||Accounting and Finance|
|Dionysiou_JES 2015.pdf||250.9 kB||Adobe PDF||Under Embargo until 31/12/2999 Request a copy|
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