What should be the dependent variable in marketing-related event studies?
本文指出，在营销事件研究中，使用股票累计异常收益率作为因变量会因忽略企业杠杆效应而产生偏差，建议改用经营业务累计异常收益率（即股票累计异常收益率除以企业特定杠杆效应）作为更合适的因变量。
Most event studies rely on cumulative abnormal returns, measured as percentage changes in stock prices, as their dependent variable. Stock price reflects the value of the operating business plus non-operating assets minus debt. Yet, many events, in particular in marketing, only influence the value of the operating business, but not non-operating assets and debt. For these cases, the authors argue that the cumulative abnormal return on the operating business, defined as the ratio between the cumulative abnormal return on stock price and the firm-specific leverage effect, is a more appropriate dependent variable. Ignoring the differences in firm-specific leverage effects inflates the impact of observations pertaining to firms with large debt and deflates those pertaining to firms with large non-operating assets. Observations of firms with high debt receive several times the weight attributed to firms with low debt. A simulation study and the reanalysis of three previously published marketing event studies shows that ignoring the firm-specific leverage effects influences an event study's results in unpredictable ways.