個股研究中事件窗口(英文)(pdf 24頁)

Determination of the Appropriate Event Window Length
in Individual Stock Event Studies
Dmitry Krivin, Robert Patton, Erica Rose, and David Tabak*
It is common practice to assess the average effect of some type of
announcement on stock prices by performing event studies on a large
sample of firms and then averaging or otherwise combining the results.
One benefit of this procedure is that the event window length can be
standardized across observations because the errors from having too
long or short an event window should have a small impact on the
average by the Law of Large Numbers. Here, we examine various
potential rules for determining the length of an event window when
looking at a limited number of observations. We find that rules based
on continuing price movements yield window lengths that correlate
with the “size” of the news, as measured by the magnitude of earnings
surprises, while a rule based on abnormally high volume does not have
this property.
I. INTRODUCTION
Event studies have become standard tools for economists attempting to measure the
effect of a particular announcement or category of announcement. The basic event study
technique is by now well known and used in a number of fields.1 As with many modern
economic analyses, the event study is an attempt to quantify some variable (in this case, the
response of a stock price to some event) in an objective manner that is standard and replicable,
and thus would have measurable statistical properties. With a given event to be studied, the
standard event study technique leaves a limited number of choices to the analyst, thereby
reducing the potential for subjective decisions and bias. Probably the most prominent of these
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