Karolyi, G. Andrew; Martell, Rodolfo - Charles A. Dice Center for Research in Financial … - 2005
publicly traded firms are targets. An event study analysis around the day of the attacks uncovers evidence of a statistically … sometimes plague event studies. We must, however, be
cautious and acknowledge the possibility of the existence of idiosyncratic … effects. In traditional
event studies, these effects wash out when the number of events with non-overlapping event
windows …