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- W1567121588 abstract "Traditional event study methods use regression models to estimate market models and conduct statistical tests. We present a method based on option-implied information about the distribution of stock returns and the co-movement with return factors. This method decreases the reliance on historical market information, uses more contemporaneous inputs, and avoids potential bias from standard regression approaches. We derive this method for one- and two-factor models and provide illustrations of how it compares to the historical and in-sample approaches. We discuss empirical implementation issues and situations where this forward-looking approach might be most appropriate." @default.
- W1567121588 created "2016-06-24" @default.
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- W1567121588 date "2013-01-01" @default.
- W1567121588 modified "2023-09-27" @default.
- W1567121588 title "Event Studies Using Forward-Looking Information" @default.
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- W1567121588 doi "https://doi.org/10.2139/ssrn.2215096" @default.
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