Past is prologue: Inference from the cross section of returns around an event

• 成果类型: Article
• 署名作者: Cohn, Jonathan B.; Johnson, Travis L.; Liu, Zack; Wardlaw, Malcolm I.
• 署名单位: University of Texas System; University of Texas Austin; University of Houston System; University of Houston; University System of Georgia; University of Georgia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104278
• 发表日期: 2026-06
• 页码: 104278
• 关键词: event studies; inference; Standard errors; clustering; ASSET PRICES EVIDENCE; FIRM VALUE EVIDENCE; political uncertainty; natural experiment; Abnormal returns; MARKET; COSTS; RISK; RESPONSIBILITY; performance

摘要

Confounding events can cause false positives when testing the relationship between short-term returns around a quasi-experimental event and firm characteristics. We show that this risk is severe in practice - return characteristic relationships are often statistically significant at the 1% level on over 30% of all trading days. Benchmarking a relationship against the distribution of the same relationship on pre-event days is effective at addressing the problem. We introduce a novel GLS variation of this approach that achieves large gains in statistical power relative to OLS and provide Stata and Python modules that implement both procedures.