Review of Quantitative Finance and Accounting

, Volume 11, Issue 2, pp 111-137

The Event Study Methodology Since 1969

  • John BinderAffiliated withDepartment of Finance (MC 168), College of Business, University of Illinois-Chicago

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This paper discusses the event study methodology, beginning with FFJR (1969), including hypothesis testing, the use of different benchmarks for the normal rate of return, the power of the methodology in different applications and the modeling of abnormal returns as coefficients in a (multivariate) regression framework. It also focuses on frequently encountered statistical problems in event studies and their solutions.

Event study finance methodology