Valid Inference in Single-Firm , Single-Event Studies

@inproceedings{Gelbach2009ValidII,
  title={Valid Inference in Single-Firm , Single-Event Studies},
  author={Jonah B. Gelbach and Eller},
  year={2009}
}
We first discuss the role of single-firm event studies in law and finance scholarship and in securities litigation. We discuss the (previously known) invalidity of the standard, t-statistic-based approach to inference in single-firm event studies. We then use a broad cross-section of CRSP data for the 2000-2007 period to investigate the standard approach’s performance using real-world data. Our results show that the standard approach is plagued by systematic, downward bias in asymptotic Type I… CONTINUE READING