Event analysis For each security estimation window event window post-event window 12 · Three " windows” In event time estimation window event window post-event window Event window pre-event period; event date; post event period
Event analysis • For each security: • estimation window event window post-event window • Three “windows” in event time • estimation window • event window; • post-event window. • Event window: pre-event period; event date; post event period. T0 T1 T2 T3
Properties of individual stocks In the event time Rir =a+BA,+Qi N(0.G covIe.e IT3°1r A]=0.≠j0rk≠0 Are these assumptions plausible? For each stock i i=1.2..n estimate a, B, on estimation window form residuals for event window use ols
Properties of individual stocks • In the event time: • Are these assumptions plausible? • For each stock • estimate on estimation window • form residuals for event window • use OLS iτ αi βi τ iτ R = + Λ + e ~ ( 0, ) 2 i N i e τ Λ τ σ cov[ , Λ ] = 0, ≠ ≠ 0 − e e i jor k iτ j τ k τ i,i = 1,2,..., n αi βi , −T−l − l 0 l