Covariance Analysis as an Alternative Event‐Study Methodology

Abstract

Today the most common way of testing for the presence of abnormal stock market returns is by following the pioneering work of Fama, Fisher, Jensen, and Roll (1969). Their benchmark approach examines whether or not the stochastic behavior of firms' market‐conditional returns is significantly affected by some specific event like an earnings announcement, CEO's death, or brokerage house recommendation.

Citation

Hogan, S. (1996), "Covariance Analysis as an Alternative Event‐Study Methodology", Managerial Finance, Vol. 22 No. 3, pp. 54-61. https://doi.org/10.1108/eb018554