Value Event Studies
讨论衡量事件对公司股权价值影响的正确方法，指出事件窗口内有股息时累计异常收益不适用，并推导了含股息时的价值效应公式，应用于博帕尔灾难对联合碳化物公司价值的研究。
This paper discusses appropriate methodology for measuring the effect of an event on the value of a firm's equity. Th e key points are (1) cumulative abnormal returns do not measure the effect of an event on firm value if there are dividends during the event window; (2) it is generally appropriate to use pre-event parameters of the return-generating process even if the event alters the parameters during the event window, and (3) controlling for fact ors other than the return on the market portfolio improves the power of the estimation. The formula for the effect of an event on the value of a firm when there are dividends during the event window is developed a nd applied to a study of the effect of the Bhopal disaster on the value of Union Carbide. Copyright 1992 by MIT Press.