A Note on Intraday Event Studies
研究了日内事件研究检验统计量的设定和统计功效，发现均值、市场及匹配公司模型在事件前后60分钟内表现良好，能有效检测回报冲击，而成交量方法设定不佳，匹配公司方法在价差事件研究中效果最佳。
We investigate the specification and power of intraday event study test statistics. Mean, market, and matched firm models generate well-specified return results for a range of intervals up to 60 min around the event. These models detect return shocks equivalent to one spread in one-minute interval data and three spreads in longer intervals. Researchers using intraday return event studies can, therefore, be confident in their robustness. Some volume event study approaches have reasonable power but they are not generally well specified, while a matched-firm approach gives the best combination of specification and power for spread event studies.