Appropriate Event Window Length in Event Studies

Event studies have found several applications in financial and accounting researches as the standard method to assess the average effect of some types of announcement on stock prices. In a large sample of announcements, event window length can be standardized (fixed) across observations, because the...

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Autores principales:	Mohammad Hossein Ghaemi, Javad Masoumi
Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2011
Materias:	event study event window abnormal return tehran stock exchange Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/fe8e0262542542e0a6d446221abb999d
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id	oai:doaj.org-article:fe8e0262542542e0a6d446221abb999d
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spelling	oai:doaj.org-article:fe8e0262542542e0a6d446221abb999d2021-11-04T19:41:02ZAppropriate Event Window Length in Event Studies2008-89142476-292X10.22103/jak.2011.17https://doaj.org/article/fe8e0262542542e0a6d446221abb999d2011-06-01T00:00:00Zhttps://jak.uk.ac.ir/article_17_ea1a212609503416c4701f9f7caffbdd.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XEvent studies have found several applications in financial and accounting researches as the standard method to assess the average effect of some types of announcement on stock prices. In a large sample of announcements, event window length can be standardized (fixed) across observations, because the errors from having too long or too short event window should have small impact in average by the Law of Large Numbers. But in small samples (in emerging markets) we cannot use this procedure. Here, we examine various potential rules for determining the length of an event window when looking at limited number of observations. We consider the announcements of adjustment of predicted earnings (by companies) in Tehran Stock Exchange during 1386 to 1388. To determining the length of time period affecting the market, tree methods are used. We also examine the relationship between the length of event window and the amount of unexpected earnings.Mohammad Hossein GhaemiJavad MasoumiShahid Bahonar University of Kermanarticleevent studyevent windowabnormal returntehran stock exchangeAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 2, Iss 6, Pp 7-25 (2011)
institution	DOAJ
collection	DOAJ
language	FA
topic	event study event window abnormal return tehran stock exchange Accounting. Bookkeeping HF5601-5689
spellingShingle	event study event window abnormal return tehran stock exchange Accounting. Bookkeeping HF5601-5689 Mohammad Hossein Ghaemi Javad Masoumi Appropriate Event Window Length in Event Studies
description	Event studies have found several applications in financial and accounting researches as the standard method to assess the average effect of some types of announcement on stock prices. In a large sample of announcements, event window length can be standardized (fixed) across observations, because the errors from having too long or too short event window should have small impact in average by the Law of Large Numbers. But in small samples (in emerging markets) we cannot use this procedure. Here, we examine various potential rules for determining the length of an event window when looking at limited number of observations. We consider the announcements of adjustment of predicted earnings (by companies) in Tehran Stock Exchange during 1386 to 1388. To determining the length of time period affecting the market, tree methods are used. We also examine the relationship between the length of event window and the amount of unexpected earnings.
format	article
author	Mohammad Hossein Ghaemi Javad Masoumi
author_facet	Mohammad Hossein Ghaemi Javad Masoumi
author_sort	Mohammad Hossein Ghaemi
title	Appropriate Event Window Length in Event Studies
title_short	Appropriate Event Window Length in Event Studies
title_full	Appropriate Event Window Length in Event Studies
title_fullStr	Appropriate Event Window Length in Event Studies
title_full_unstemmed	Appropriate Event Window Length in Event Studies
title_sort	appropriate event window length in event studies
publisher	Shahid Bahonar University of Kerman
publishDate	2011
url	https://doaj.org/article/fe8e0262542542e0a6d446221abb999d
work_keys_str_mv	AT mohammadhosseinghaemi appropriateeventwindowlengthineventstudies AT javadmasoumi appropriateeventwindowlengthineventstudies
_version_	1718444690151309312

Appropriate Event Window Length in Event Studies

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