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