Event Study Regression Equation. Let L_1 T_1 - T_0 1 the estimation window length with T_0 as the earliest day of the estimation window and T_1 the latest day of the estimation window relative to the event day and L_2 T_2 - T_1 the event window length with T_2 as the latest day of the event window relative to the event day. Chad Coffman President discusses the use of event studies in class action securities litigation.
From the methodology papers much is known about how to do and how not to do an event study. In section 4 the regression based approach is illustrated with bank-merger data and Section 5 concludes. As the event date T 1 1 to T 2 is the event window and T 0 1 to T 1 is the estimation window.
Abnormal return AR is also used in an Event analysis to measure the impacts of an Event.
The form of the regression is htX htexpXβ where ht is referred to as an underlying hazard function. L R is an b x2 matrix with a vector of ones in the first column and the vector of market return observations Rk. Of event study methods. Global Economics Whiteboard Series.
