Event studies Impact of "event on security prices Earning announcement; stock split; block trade; merger announcement; regulatory change Need a model of“ normal or“ expected returns constant mean market model: multifactor models abnormal returns=Actual-normal study abnormal returns: moments cumulative abnormal returns statistical inferenceEvent studies • Impact of “event” on security prices: • Earning announcement; stock split; block trade; merger • announcement; regulatory change. • Need a model of “normal” or “expected” returns: • constant mean; market model; multifactor models. • Abnormal returns=Actual-Normal • study abnormal returns: moments • cumulative abnormal returns • statistical inference. •