Announcements produce effects on the share price, more or less intense according to the news and the degree of market efficiency. In order to measure these effects, the principal methodology used in the research, from economy to finance, is the event study, introduced in 1969 by Fama, Fisher, Jensen and Roll to estimate the impact that news has on the share return. Since its original version, the event study methodology, nevertheless it has continued to represent the reference model of most empirical evidence, has undergone in time various adaptations by researchers, worried about rendering their estimates to the real effects that the news can have on the share prices. Therefore, this paper intends to provide some suggestions for the methodology use, considering the different solutions proposed by literature for various types of announcement and concentrating, in particular, the attention on the benchmark choice and the determination modality of the event window and the event estimation.
L'effetto delle news sul prezzo delle azioni: l'event study
INTRISANO, Carmelo
2008-01-01
Abstract
Announcements produce effects on the share price, more or less intense according to the news and the degree of market efficiency. In order to measure these effects, the principal methodology used in the research, from economy to finance, is the event study, introduced in 1969 by Fama, Fisher, Jensen and Roll to estimate the impact that news has on the share return. Since its original version, the event study methodology, nevertheless it has continued to represent the reference model of most empirical evidence, has undergone in time various adaptations by researchers, worried about rendering their estimates to the real effects that the news can have on the share prices. Therefore, this paper intends to provide some suggestions for the methodology use, considering the different solutions proposed by literature for various types of announcement and concentrating, in particular, the attention on the benchmark choice and the determination modality of the event window and the event estimation.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
