Standard Errors in Event Studies
给出了估计累积异常收益率方差的一个简单公式，并讨论了正确估计标准误的方法，考虑了估计残差的时间序列和截面相关性，应用于并购后绩效的事件研究。
Even if true abnormal returns are uncorrelated, estimated abnormal returns are not. This paper presents a simple formula for the variance of estimated cumulative abnormal re? turns. Both returns and dummy variable procedures for estimating the standard error correctly, taking account of both intertemporal and contemporaneous correlation of esti? mated residuals, are discussed. They are then applied to an event study of post-merger performance. It is shown that ignoring either the intertemporal or contemporaneous correlation of residuals can result in significant underestimates of standard errors.