Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Estudio de eventos (CAR y BHAR)× | Análisis de Datos de Alta Frecuencia y Microestructura de Mercados× | |
|---|---|---|
| Campo | Finanzas | Finanzas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1997 | 2007 |
| Autor original≠ | MacKinlay (review); Kothari & Warner (econometrics) | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) |
| Tipo≠ | Abnormal-return model for financial events | Market microstructure / high-frequency econometrics |
| Fuente seminal≠ | MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13–39. link ↗ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 |
| Alias≠ | event study, cumulative abnormal return analysis, abnormal return analysis, CAR | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı |
| Relacionados≠ | 4 | 5 |
| Resumen≠ | The event study is a financial research method that measures the impact of a news release, policy change, or corporate event on asset prices through cumulative abnormal returns. Reviewed by MacKinlay (1997) and formalised econometrically by Kothari and Warner (2007), it is the standard tool for testing the efficient-market hypothesis and analysing the information content of events. | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). |
| ScholarGateConjunto de datos ↗ |
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