方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 事件研究法（CAR 和 BHAR）× | 高频数据与市场微观结构分析× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1997 | 2007 |
| 提出者≠ | MacKinlay (review); Kothari & Warner (econometrics) | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) |
| 类型≠ | Abnormal-return model for financial events | Market microstructure / high-frequency econometrics |
| 开创性文献≠ | 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 |
| 别名≠ | 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 |
| 相关≠ | 4 | 5 |
| 摘要≠ | 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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