Review of Quantitative Finance and Accounting

, Volume 8, Issue 3, pp 211–228

An Investigation of Event Study Methodologies with Clustered Events and Event Day Uncertainty

Authors

  • SANG Lee
    • International Securities Division
    • The Korea Securities Research Institute, (The Korea Securities Dealers Association)
  • OSCAR Varela
    • Department of Economics and FinanceUniversity of New Orleans
Article

DOI: 10.1023/A:1008258820244

Cite this article as:
Lee, S. & Varela, O. Review of Quantitative Finance and Accounting (1997) 8: 211. doi:10.1023/A:1008258820244

Abstract

The specification and power of mean-adjusted, market and quadratic models in event studies using OLS, Patell, Jaffe and GLS are examined. Simulation is used with security and portfolio returns to capture different cross correlations. The market model is always superior in specification and power compared to the mean-adjusted and quadratic models. The use of OLS with the market model is supported in the absence of clustered events and event day uncertainty, whereas use of Jaffe with the market model is supported in the presence of these problems.

Event Study MethodsContemporaneous CorrelationsEvent ClusteringEvent Day Uncertainty

Copyright information

© Kluwer Academic Publishers 1997