A note on intraday event studies

Title: A note on intraday event studies
Creator: Marshall, Ben R.; Nguyen, Nick; Visaltanachoti, Nuttawat
Relation: European Accounting Review Vol. 28, Issue 3, p. 605-619
Publisher Link: http://dx.doi.org/10.1080/09638180.2018.1530606
Publisher: Routledge
Resource Type: journal article
Date: 2019
Description: We investigate the specification and power of intraday event study test statistics. Mean, market, and matched firm models generate well-specified return results for a range of intervals up to 60 min around the event. These models detect return shocks equivalent to one spread in one-minute interval data and three spreads in longer intervals. Researchers using intraday return event studies can, therefore, be confident in their robustness. Some volume event study approaches have reasonable power but they are not generally well specified, while a matched-firm approach gives the best combination of specification and power for spread event studies.
Subject: intraday; event study; specification test; power test
Identifier: http://hdl.handle.net/1959.13/1458516
Identifier: uon:45446
Identifier: ISSN:0963-8180
Language: eng
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