+ Reply to Thread
Results 1 to 2 of 2

Thread: Event Clustering in an Event Study

  1. #1
    Points: 2,602, Level: 31
    Level completed: 2%, Points required for next Level: 148

    Thanked 0 Times in 0 Posts

    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,

  2. #2
    Points: 2,481, Level: 30
    Level completed: 21%, Points required for next Level: 119

    Thanked 0 Times in 0 Posts

    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

+ Reply to Thread


Similar Threads

  1. Probability of event
    By banebt in forum Probability
    Replies: 7
    Last Post: 03-08-2011, 02:06 PM
  2. an event study? I can't stand. which way should I choose?
    By tiago2 in forum Statistical Research
    Replies: 3
    Last Post: 01-02-2011, 06:15 PM
  3. event within an interval
    By laupl in forum Probability
    Replies: 0
    Last Post: 11-11-2010, 11:47 AM
  4. event study t-stat
    By smidge.messenger in forum Statistics
    Replies: 0
    Last Post: 04-17-2010, 12:49 PM
  5. Calculatng an event
    By SmileAli in forum Probability
    Replies: 1
    Last Post: 04-05-2010, 03:40 AM

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts

Advertise on Talk Stats