Event studies – an introduction

Many students and researchers at some time deal with what is called “Event studies“. Wikipedia has the following definition: An Event study is a statistical method to assess the impact of an event on the value of a firm. Event studies can involve many types of events: Mergers & acquisitions, Initial Public Offerings, Quarterly statement announcements, etc. Starting research on specific types of events requires that you identify the information that is needed and what sources can be used to get the necessary data. Stock or Company identifiers are often very important when using several databases to get data.

Because students may not have often done an event study I recorded a 23 minute weblecture that I organised on 15 December 2011. Using a small case study some of the basic problems and solutions when doing event studies are demonstrated. For this case the databases Compustat North America, Zephyr and CRSP were used as an example.

Students at the Vrije Universiteit can find the weblecture in the Data Center course in Blackboard in the Menu-category Weblectures. The lecture is also available through iTunes U. This is the University channel available in iTunes where you can find weblectures from many universities worldwide on many subjects. The weblecture on event studies can be found and viewed in iTunes U if you search for the following string of 5 keywords:

“Event Studies introduction Vrije Universiteit


Referral post to previous blog

My older posts on the earlier blog remain available. Some links to specific sections are: