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Thread: Event Clustering in an Event Study

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    Event Clustering in an Event Study




    Dear All,

    I conducted an Event-Study to assess price effects. Now the result show widely fluctuating abnormal returns. Since the event-date across all companies from my example are on the same date (i.e. event-clustering) I was wondering if these fluctuations can be explained by this clustering?

    If yes, why?

    Thanks a lot,
    Christoph

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    hi Chris

    i'm conducting too an event study and i find the same problem of the clustering of the windows or the events. i read an article of Brown and warner 1980, they propose a method name: crude dependence adjustment. this method consit to divide the abnormal return of each securities by their standard deviation. you can read the article of Brown and warner for more informations.

    i hope that i answered your question. if you have any other informations, pleaaaaaaase let me knows.
    NB: Sorry for my english, but i'm trying to improve it

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