Value of Latent Information: Alternative Event Study Methods
提出一个计量模型，利用事件发生概率和公司事前信息来估算潜在信息的市场价值，并检验事前信息变量的显著性。模拟表明，结合事件期和事前数据能减少事件研究中的偏差。
ABSTRACT This paper presents an econometric model to value latent information underlying corporate events. This model computes the market's inference of the value of latent information from the probability of an event, conditional on firm‐specific, preevent information. It provides a convenient framework for testing significance of preevent information variables, such as accounting attributes and lagged stock return. Simulations show that this model, when applied to both event and preevent period data, can decrease the incidence of bias in event studies. If restricted to only event period data, this model reduces to a truncated regression and does not perform as well as standard procedures.