Event study methodologies in information systems research

Abstract

Event studies are based on the theoretical framework of efficient capital markets and the notion that security prices include all information available to the market. As a result, announcements made by firms provide to market participants information that can be impounded into the market price. This paper investigates the use of event studies in information systems and accounting information systems research using a three-pronged approach. First, this paper provides a comprehensive survey of research that uses event study methodologies, where the events are announcements made by firms about issues related to information systems, e.g., announcements of the adoption of enterprise resource planning systems and of the effect of security breaches in firms' information systems. Second, this paper summarizes event study methodologies used in prior research, along with some of the key parameters and concerns associated with their implementation. Third, this paper provides remarks on key event study modeling issues, and it offers recommendations to researchers.

An Investor's Perspective on Infectious Diseases and Their Influence on Market Behavior

“…Recent literature used event study to measure the effect of specific events, such as the effect of the Alaskan oil spill on the stock performance of petroleum companies and the effect of war on the stock performance of transportation companies. When the business of a company is affected by a specific event, either directly or indirectly, the result is significant abnormal returns (Epstein, Schnietz 2002;Chen 2005;Returns et al 2007;Lin et al 2008;Raghu et al 2008;Chavis, Leslie 2009;Yanase, Yasuda 2010;Konchitchki, O'Leary 2011;Castañeda, Vargas 2012;Da Graca, Masson 2012).…”

Generating Domain-Specific Dictionaries Using Bayesian Learning

“…In order to study the stock market reaction, we use the daily abnormal return of the corresponding company. Therefore, we use the common event study methodology (Konchitchki and O'Leary, 2011;MacKinlay, 1997) where we determine the normal return, i. e. the return which is expected in the absence of a news disclosure, by a market model. This market model assumes a stable linear relation between market return and normal return.…”

Do Smoking Bans Always Hurt the Gaming Industry? Differentiated Impacts on the Market Value of Casino Firms in Macao

“…To test for the abnormal returns, and event windows are set to include some number of days both before and after the event date. Long event windows include between three and ten days before and after the event ([-3,+3], [-10,+10]) to allow for prior leakage of information, or a slightly postponed response (Konchitchki and O'Leary, 2011;MacKinlay, 1997 Konchitchki and O'Leary, 2011).…”