Another Look At Theoretical And Em-pirical Issues In Event Study Methodology

<p class="MsoNormal" style="text-align: justify; text-indent: 0in; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-family: &quot;CG Times&quot;,&quot;serif&quot;; font-size: 10pt;">The goal of this manuscript is to help to improve the integrity of research that uses event study methodology.<span style="mso-spacerun: yes;">&nbsp; </span>We discuss issues related to correctly performing event studies and, in some cases, provide alternatives to a variety of recommendations made by McWilliams and Siegel (1997) regarding the application of event study methodology. While McWilliams and Siegel provide a good starting point for providing guidance in the use of event study methodology, our revised recommendations add additional value beyond McWilliams and Siegel by being more consistent with statistical theory, existing research results, and accepted practice.<span style="mso-spacerun: yes;">&nbsp; </span>These recommendations, along with those found in McWilliams and Siegel, should lead to higher quality research, regardless of the discipline to which event study methodology is applied.</span></p>