Journal of Financial Economics Vol. 22 No. 1 1988
Investigating security-price performance in the presence of event-date uncertainty
open access
Abstract
This paper introduces an event-study method that incorporates the possibility of a random event date. Consistent with empirical evidence, we assume an event may affect not only the conditional mean of a security's return, but also its conditional variance. We compare the statistical power and efficiency of our maximum-likelihood method with the standard application of traditional event-study methods to multiday security returns. Assuming a two-day event period, our empirical results provide evidence that the multiday approach is robust. We use our maximum-likelihood method to investigate the valuation effects of stock splits and stock dividends.
- DOI
- 10.1016/0304-405x(88)90025-6
- Volume
- 22
- Issue
- 1
- Pages
- 123-153
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref