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Event Studies and the Measurement of Abnormal Returns
Finance & Accounting
Pages 7 (1757 words)
Event Studies and the Measurement of Abnormal Returns Introduction Event is the occurrence of any such activity that impacts its environment and triggers many other activities and happenings. It is a continuous process of everybody’s life. Some events are very common such as birth of a child, death of a beloved one, marriage ceremonies, etc.
This paper is aimed at identifying the events of stock market and making a case study of one of the events. Many studies were carried out for the events of stock market. Study was made on the influences of stock splits and stock prices by Dolley (1933). Publication of papers in the leading business journals indicate that the event studies were done by Myers (1948), by Barker (1956), (1957), (1958) and by Ashley (1962). Event studies were introduced to the financial experts and managers through two papers first by Ball Brown in 1968 and second by Fama et al in 1969. The methodology of studying events of the capital markets have developed and advanced manifold since then and yet the two papers of Brown and Fama provide the core elements of an event. MacKinlay (1997) The market model developed by Ball Brown and Fama contributed in their success. Their model was patterned after the Capital Asset Pricing Model (CAPM) developed in 1964 by Sharpe. The data from the Center for Research in Security Prices (CRSP) at University of Chicago was used by Ball Brown and Fama which also made it a standard source for research for the entire capital markets. The development of computer hardware and statistical analytical software and its increasing access and usage also played important role in the success of event studies. ...
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