事件研究方法综述

An Overview of Event Study Methodology

事件研究是一种经验财务研究方法,运用这种方法可以评估某一事件发生时的市场反应。文章首先介绍应用该方法的研究设计,然后对平均非正常收益率、累计平均非正常收益率的计算进行归纳,并介绍了它们的统计检验方法,包括参数检验和非参数检验方法。最后介绍事件研究方法在当前的应用和发展趋势。

Event study methodology is an empirical financial research method, which can be used to evaluate the market reaction when an event occurs. This paper firstly introduces the research design of the method, and summarizes the calculation of average abnormal rate of return and cumulative average abnormal rate of return. This paper firstly provides a review of the research design with respect to event study methodology, and also introduces their statistical test methods including parameter test and non-parameter test methods. Finally, the paper discusses the current application and development trend of event research methods.