Brown and Warner (Journal of Financial Economics, 1985) is mainly talks about the methodology to do event studies. Through test the daily stock returns and the way characteristics of these data affect the method to do the event studies which talks about the firm-specific events affect share price.
For the experimental design, first, we need to build sample construction. In the article , the authors randomly choose 250 securities and their daily return from CRSP. Then, we define the day '0' as the the day of a event. The first 239 days is design as estimation period and the following 11 days as the event period.
The second step is measure the excess return.
The third step is test the statistics under the null hypothesis.
For my own event study, I need to reproduce the equation that:
I have read a article that "The correlation between apple product launch and stock price" which talks about iPhone 5 release has pumped Apple price to new records as investors jump in the strongly desired stock.
It is interestingÃ¯Â¼Âso I want to know how does the companies shares behave around important product release dates.
Here is the new product release influence the stock price of Apple Inc.
I read the news about the new products release of 30 famous companies in Factiva of Hofstra Libraries, I try my best to find the newest and representative Products of the Fortune 500. ThenÃ¯Â¼Âthrough the CRSP (Center for Research in Security Prices) and Finance.yahoo.com, I get the history stock price from dateÃ¯Â¼Â-250Ã¯Â¼Â5Ã¯Â¼Âof these companies when the event that new products release happened of those companies.
I read the article from Brown and Warner (Journal of Financial Economics, 1985), named using daily stock return-the...