Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Event Study× | Augstas frekvences datu un tirgus mikrostruktūras analīze× | |
|---|---|---|
| Nozare | Finanses | Finanses |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 1997 | 2007 |
| Autors≠ | MacKinlay (review); Kothari & Warner (econometrics) | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) |
| Tips≠ | Abnormal-return model for financial events | Market microstructure / high-frequency econometrics |
| Pirmavots≠ | 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 |
| Citi nosaukumi≠ | 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 |
| Saistītās≠ | 4 | 5 |
| Kopsavilkums≠ | 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). |
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