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- Wed Apr 20, 2016 5:49 pm
- Forum: Econometric Discussions
- Topic: Event Study - Event Induced Volatility for One Firm
- Replies: 0
- Views: 2174
Event Study - Event Induced Volatility for One Firm
Normally, in a stock price event study, we assume that the daily variance in the estimation period is the same as that during the event window. The event-induced volatility literature (eg, Boehmer, 1991; Brown, Warner 1985) suggests that when an event induces higher volatility, then the standard dev...