A Note on Intraday Event Studies. Issue 3 (27th May 2019)

• Record Type: Journal Article
• Authors: Marshall, Ben R.; Nguyen, Nick; Visaltanachoti, Nuttawat
• Is Part Of: European accounting review. Volume 28:Issue 3(2019)
• Page Start: 605
• Page End: 619
• Publication Date: 2019-05-27
• Subjects: Intraday -- Event study -- Specification test -- Power test; G12 -- G14; Accounting -- Europe -- Periodicals; Accounting -- Periodicals; Comptabilité -- Europe -- Périodiques; Comptabilité -- Pays de l'Union européenne -- Périodiques; 657.094
• DOI: 10.1080/09638180.2018.1530606
• Languages: English
• ISSNs: 0963-8180

Abstract

Abstract: 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.